The Impact of Determinants on the Volatility of Banking Sector Stock Returns in Europe

被引：0
|
作者：
Niewinska, Katarzyna [1 ]
机构：
[1] Univ Warsaw, Fac Management, Szturmowa St 1-3, PL-02678 Warsaw, Poland
来源：
PROBLEMY ZARZADZANIA-MANAGEMENT ISSUES | 2018年 / 16卷 / 03期
关键词：
beta; historical volatility; implied volatility; unemployment rate;
D O I：
10.7172/1644-9584.76.4
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
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.
引用
收藏
页码：50 / 60
页数：11
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