Details
| Original language | English |
|---|---|
| Pages (from-to) | 1601-1613 |
| Number of pages | 13 |
| Journal | Applied Financial Economics |
| Volume | 20 |
| Issue number | 20 |
| Publication status | Published - 14 Oct 2010 |
| Externally published | Yes |
Abstract
In this article we investigate whether contagion is present in the banking sector by analysing how banks are affected by negative earnings surprises from their competitors. The banking sector is of crucial importance for the economy and, thus, highly regulated on an individual bank level. However, a high degree of contagion risk should call for a regulation of the financial network rather than solely regulating on an individual level. To be able to make a judgement about the magnitude of possible contagion effects we compare the results of the banking sector with the results of the nonbanking industries. We find that earnings surprises cause significant contagion in the banking sector. In contrast, we do not find this effect in the nonbanking sectors, including the insurance sector. The magnitude of contagion in the banking sector is positively related with the size of the bank reporting an earnings surprise, as well as the size of the affected banks.
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)
- Finance
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
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In: Applied Financial Economics, Vol. 20, No. 20, 14.10.2010, p. 1601-1613.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Intra-industry contagion effects of earnings surprises in the banking sector
AU - Prokopczuk, Marcel
PY - 2010/10/14
Y1 - 2010/10/14
N2 - In this article we investigate whether contagion is present in the banking sector by analysing how banks are affected by negative earnings surprises from their competitors. The banking sector is of crucial importance for the economy and, thus, highly regulated on an individual bank level. However, a high degree of contagion risk should call for a regulation of the financial network rather than solely regulating on an individual level. To be able to make a judgement about the magnitude of possible contagion effects we compare the results of the banking sector with the results of the nonbanking industries. We find that earnings surprises cause significant contagion in the banking sector. In contrast, we do not find this effect in the nonbanking sectors, including the insurance sector. The magnitude of contagion in the banking sector is positively related with the size of the bank reporting an earnings surprise, as well as the size of the affected banks.
AB - In this article we investigate whether contagion is present in the banking sector by analysing how banks are affected by negative earnings surprises from their competitors. The banking sector is of crucial importance for the economy and, thus, highly regulated on an individual bank level. However, a high degree of contagion risk should call for a regulation of the financial network rather than solely regulating on an individual level. To be able to make a judgement about the magnitude of possible contagion effects we compare the results of the banking sector with the results of the nonbanking industries. We find that earnings surprises cause significant contagion in the banking sector. In contrast, we do not find this effect in the nonbanking sectors, including the insurance sector. The magnitude of contagion in the banking sector is positively related with the size of the bank reporting an earnings surprise, as well as the size of the affected banks.
UR - http://www.scopus.com/inward/record.url?scp=77957727541&partnerID=8YFLogxK
U2 - 10.1080/09603107.2010.508718
DO - 10.1080/09603107.2010.508718
M3 - Article
AN - SCOPUS:77957727541
VL - 20
SP - 1601
EP - 1613
JO - Applied Financial Economics
JF - Applied Financial Economics
SN - 0960-3107
IS - 20
ER -