Reaction of European Bank Stock Prices to Events of the Asian and Russian Financial Crises

Céline Meslier-Crouzille (1) , Laetitia Lepetit (1) , Amine Tarazi (1)

1 LAPE - Laboratoire d'Analyse et de Prospective Economique

The aim of this paper is to examine the impact on bank stock prices of the Asian and Russian financial crises for a sample of European banks. This issue is of importance regarding financial fragility and contagion effects within the banking industry. We develop an event study methodology based on a large number of macroeconomic news and on public announcements of individual bank exposure during the sharpest episodes in 1997 and in 1998. Whereas bank stocks did not react promptly to the Asian crisis we show evidence of significant abnormal returns for a large number of banks to events of the Russian Crisis suggesting the presence of contagion effects.

Domaines: Sciences de l'Homme et Société; Economies et finances

Céline Meslier-Crouzille, Laetitia Lepetit, Amine Tarazi. Reaction of European Bank Stock Prices to Events of the Asian and Russian Financial Crises. 2006. ⟨hal-00918567⟩