The Impact of Determinants on the Volatility of Banking Sector Stock Returns in Europe
The Impact of Determinants on the Volatility of Banking Sector Stock Returns in Europe
Author(s): Katarzyna NiewińskaSubject(s): Social Sciences, National Economy, Financial Markets
Published by: Wydawnictwo Naukowe Wydziału Zarządzania Uniwersytetu Warszawskiego
Keywords: beta; historical volatility; implied volatility; unemployment rate
Summary/Abstract: The aim of the paper is to examine the impact of macroeconomic determinants on the volatility of banking sector stock returns in Europe. The research was conducted for 182 banks in 26 European countries in which banks are listed in the stock market. The research method used was static panel models. The results obtained indicate that the selected determinants that influence the analysed variables are: unemployment rate, long-term interest rate, beta as well implied volatilities of the S&P500 and EUROSTOXX50 indices.
Journal: Problemy Zarządzania
- Issue Year: 16/2018
- Issue No: 3 (76)
- Page Range: 50-60
- Page Count: 11
- Language: English, Polish