Research Discussion Papers, Bank of Finland
No 16/2012:
What determines bank stock price synchronicity? Global evidence
Bill Francis, Iftekhar Hasan ()
, Liang Song and Bernard Yeung
Abstract: This paper examines what institutional and bank-specific
factors determine bank stock price synchronicity. Using data on 37
countries from 1996–2007, we find that bank stocks are more aligned with
the whole market (1) during the financial crisis; (2) in countries that
have more credit provided by banks; (3) in countries that do not have
explicit depository insurance; and (4) in countries that have lower
bank-level disclosure. The results hold for both emerging and developed
economy subsamples. Furthermore, in emerging economies, bank stocks in
countries with higher degree of state-owned bank are more synchronized with
the whole market, similarly, in developed markets, lower banking freedom
enhances bank stock price synchronicity. Finally, the effects of state
ownership, protection of property rights, and bank size are all more
pronounced when determining bank stock price synchronicity during the
financial crisis period.
Keywords: stock price synchronicity; financial crisis; bank ownership; deposit insurance; banking freedom; bank disclosure; (follow links to similar papers)
JEL-Codes: G12; G14; G15; G21; G38; N20; (follow links to similar papers)
46 pages, April 18, 2012
Before downloading any of the electronic versions below
you should read our statement on
copyright.
Download GhostScript
for viewing Postscript files and the
Acrobat Reader for viewing and printing pdf files.
Full text versions of the paper:
BoF_DP_1216.pdf 
Download Statistics
- This paper is forthcoming as:
-
Francis, Bill, Iftekhar Hasan, Liang Song and Bernard Yeung, 'What determines bank stock price synchronicity? Global evidence', Journal of Financial Intermediation.
Questions (including download problems) about the papers in this series should be directed to Minna Nyman ()
Report other problems with accessing this service to Sune Karlsson ()
or Helena Lundin ().
Programing by
Design by Joachim Ekebom
