The drivers of volume volatility: A big data analysis based on economic uncertainty measures for the Greek banking system
-
DOIhttp://dx.doi.org/10.21511/bbs.17(3).2022.05
-
Article InfoVolume 17 2022, Issue #3, pp. 49-57
- Cited by
- 541 Views
-
158 Downloads
This work is licensed under a
Creative Commons Attribution 4.0 International License
In this paper, an investigation is conducted to estimate the effect of economic uncertainty on volume volatility, focusing on four systemic Greek banking institutions, including (i) Alpha Bank, (ii) Eurobank, (iii) National Bank of Greece, and (iv) Piraeus Bank. The purpose of this study is to explain in detail if the EPU is linked with volume volatility in the largest banking institutions in Greece. For the analysis of this paper, data used are monthly data of volume to explain the economic uncertainty on volume volatility. The analysis period covers the period from January 2001 to August 2018, incorporating various market phases, such as the global financial crisis of 2008, the European debt crisis, and capital controls in the Greek economy. The methodology used for the research is the well-known GARCH model. Based on the estimated regressions, the present research findings showed that economic uncertainty has various effects on the volume volatility of the four systemic Greek banking institutions. More specifically, when economic uncertainty receives a high value, then the volatility of the volume in Greek banking institutions increases, receiving a higher value. In conclusion, it is observed that economic uncertainty positively affects the volume volatility of the Greek banking system.
- Keywords
-
JEL Classification (Paper profile tab)F65, G11, G12, G24
-
References42
-
Tables2
-
Figures1
-
- Figure 1. Greek banks’ volume (in y axes) evolution from 2001 to 2018
-
- Table 1. Descriptive statistics
- Table 2. Parameter estimates for the marginal distribution of returns
-
- Adrian, T., & Shin, H. S. (2008). Financial Intermediaries, Financial Stability, and Monetary Policy (Staff Report No. 346).
- Amengual, D., & Xiu, D. (2018). Resolution of policy uncertainty and sudden declines in volatility. Journal of Econometrics, 203(2), 297-315.
- Antonakakis, N., Chatziantoniou, I., & Filis, G. (2013). Dynamic co-movements of stock market returns, implied volatility, and policy uncertainty. Economics Letters, 120(1), 87-92.
- Antonopoulou, H., Mamalougou, V., & Theodorakopoulos, L. (2022). The Role of Economic Policy Uncertainty in Predicting Stock Return Volatility in the Banking Industry: A Big Data Analysis. Emerging Science Journal, 6(3), 569-577.
- Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring Economic Policy Uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636.
- Baker, S. R., Bloom, N., Canes-Wrone, B., Davis, S. J., & Rodden, J. (2014). Why Has US Policy Uncertainty Risen since 1960? American Economic Review, 104(5), 56-60.
- BIS. (2011). 81st Annual Report, 2010/11.
- BIS. (2013). 83rd Annual Report, 2012/13.
- Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307-327.
- Brogaard, J., & Detzel, A. (2015). The Asset-Pricing Implications of Government Economic Policy Uncertainty. Management Science, 61(1), 3-18.
- Chen, L., Du, Z., & Hu, Z. (2020). Impact of economic policy uncertainty on exchange rate volatility of China. Finance Research Letters, 32, 101266.
- Cœuré, B. (2013). Outright monetary transactions, one year on (Speech). ECB its OMT Program.
- Colombo, V. (2013). Economic policy uncertainty in the US: Does it matter for the Euro area? Economics Letters, 121(1), 39-42.
- Danchev, S., Gatopoulos, G., & Vettas, N. (2020). Penetration of Digital Payments in Greece after Capital Controls: Determinants and Impact on VAT Revenues. CESifo Economic Studies, 66(3), 198-220.
- Dritsas, E., Livieris, I. E., Giotopoulos, K., & Theodorakopoulos, L. (2018). An apache spark implementation for graph-based hashtag sentiment classification on twitter. Proceedings of the 22nd Pan-Hellenic Conference on Informatics (pp. 255-260). Athens, Greece.
- Dzielinski, M. (2012). Measuring economic uncertainty and its impact on the stock market. Finance Research Letters, 9(3), 167-175.
- ECB. (2010). Annual report.
- ECB. (2011). Annual report.
- Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987-1007.
- Fanta, F., & Sum, V. (2012). Long-Run Relation and Speed of Adjustment of Economic Policy Uncertainty and Excess Return Volatility. International Research Journal of Finance and Economics, 102, 6-12.
- Flannery, M., & Nikolova, S. (2004). Market discipline of US financial firms: Recent evidence and research issues. In C. Borio, W. Hunter, G. Kaufman, & K. Tsatsaronis (Eds.), Market Discipline across Countries and Industries (pp. 87-100). Cambridge, MA: MIT Press.
- Gkillas, K., Konstantatos, C., Tsagkanos, A., & Longin, F. (2019). Extreme Dependencies in the European Banking Sector. SSRN Electronic Journal.
- Hilbert, M., & Lopez, P. (2011). The World’s technological capacity to store, communicate, and compute information. Science, 332, 60-65.
- Johnson, T. C., & Lee, J. (2014). On the systematic volatility of unpriced earnings. Journal of Financial Economics, 114(1), 84-104.
- Kanavos, A., Theodorakopoulos, L., & Vonitsanos, G. (2019). A NoSQL Approach for Recommendation of Highly Rated Products. 7th International Conference on Contemporary Marketing Issues (ICCMI).
- Kang, W., & Ratti, R. (2013). Oil shocks, policy uncertainty and stock market return Journal of International Financial Markets, Institutions & Money, 26, 305-318.
- Karnizova, L., & Li, J. (C.) (2014). Economic policy uncertainty, financial markets and probability of US recessions. Economics Letters, 125(2), 261-265.
- Klößner, S., & Sekkel, R. (2014). International spillovers of policy uncertainty. Economics Letters, 124(3), 508-512.
- Lam, S. S., Zhang, H., & Zhang, W. (2020). Does Policy Instability Matter for International Equity Markets? International Review of Finance, 20(1), 155-196.
- Li, X., Balcilar, M., Gupta, R., & Chang, T. (2016). The Causal Relationship between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling-Window Approach. Emerging Markets Finance and Trade, 52(3),674-689.
- Li, X.-M., & Peng, L. (2017). US economic policy uncertainty and co-movements between Chinese and US stock markets. Economic Modelling, 61, 27-39.
- Liu, L., & Zhang, T. (2015). Economic policy uncertainty and stock market volatility. Finance Research Letters, 15, 99-105.
- Liu, Z., Ye, Y., Ma, F., & Liu, J. (2017). Can economic policy uncertainty help to forecast the volatility: A multifractal perspective. Physica A: Statistical Mechanics and its Applications, 482, 181-188.
- Ma, F., Wahab, M.I.M., Liu, J., & Liu, L. (2018). Is economic policy uncertainty important to forecast the realized volatility of crude oil futures? Applied Economics, 50(18), 2087-2101.
- Mei, D., Zeng, Q., Zhang, Y., & Hou, W. (2018). Does US Economic Policy Uncertainty matter for European stock markets volatility? Physica A: Statistical Mechanics and its Applications, 512, 215-221.
- Morgan, D. P. (2002). Rating Banks: Risk and Uncertainty in an Opaque Industry. American Economic Review, 92(4), 874-888.
- Pastor, L., & Veronesi, P. (2012). Uncertainty about Government Policy and Stock Prices. The Journal of Finance, 67(4), 1219-1264.
- Ricci, O. (2015). The impact of monetary policy announcements on the stock price of large European banks during the financial crisis. Journal of Banking & Finance, 52, 245-255.
- Theodorakopoulos, L. (2022). Big data analysis in humanities and economics with machine learning techniques and use of cloud computing technologies (Doctoral Thesis). University of Patras.
- Wang, Y., Zhang, B., Diao, X., & Wu, C. (2015). Commodity price changes and the predictability of economic policy uncertainty. Economics Letters, 127, 39-42.
- Xiao, J., & Wang, Y. (2021). Investor attention and oil market volatility: Does economic policy uncertainty matter? Energy Economics, 97, 105180.
- Zhang, D., Lei, L., Ji, Q., & Kutan, A. M. (2019). Economic policy uncertainty in the US and China and their impact on the global markets. Economic Modelling, 79, 47-56.