文章基本信息

标题：What determines bank stock price synchronicity? Global evidence
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作者：Bill Francis – Iftekhar Hasan – Liang Song – Bernard Yeung
期刊名称：Bank of Finland Research Discussion Papers (früher: Bank of Finland Discussion Papers)
印刷版ISSN：0785-3572
电子版ISSN：1456-6184
出版年度：2012
卷号：2012
出版社：Suomen Pankki = Bank of Finland
摘要：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.
关键词：stock price synchronicity, financial crisis, bank ownership, deposit insurance, banking freedom, bank disclosure, Bill Francis, Iftekhar Hasan, Liang Song, Bernard Yeung, G12, G14, G15, G21, G38, N20