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Title: | The impact of disruptive technology on banking under switching volatility regimes |
Author: | Arenas, Laura Gil Lafuente, Anna Maria Bòria Reverter, Sefa |
Keywords: | Rendibilitat Accions (Borsa) Inversions bancàries Espanya Rate of return Stocks Bank investments Spain |
Issue Date: | 27-Feb-2023 |
Publisher: | Vilnius Gediminas Technical University |
Abstract: | This paper uses the case of Spain to investigate whether and how disruptive technology impacts banking stock returns under a high volatility regime and a low volatility regime. For this purpose, a two-factor model with heteroscedastic Markov switching regimes has been applied. The results indicate that disruptive technologies have an impact on Spanish banking stock returns and that the effects are volatility regime dependent, having a relevant positive impact in high volatility regimes and a less relevant negative impact in low volatility regimes. These findings suggest that investors are informed about and acknowledge the advantages of disruptive technologies and will use their adoption as a business strategy to offset adverse market circumstances. During stable market conditions, on the other hand, Spanish banking seems to have less expectations about disruptive technology as a business strategy. To summarise, this paper provides insights into the role of the pricing of banking-related assets and has other relevant implications for investors that include disruptive technology or banking exposed investments in their portfolios. |
Note: | Reproducció del document publicat a: https://doi.org/10.3846/tede.2023.18976 |
It is part of: | Technological and Economic Development of Economy, 2023, vol. 29, num.4, p. 1264-1290 |
URI: | http://hdl.handle.net/2445/212508 |
Related resource: | https://doi.org/10.3846/tede.2023.18976 |
ISSN: | 2029-4913 |
Appears in Collections: | Articles publicats en revistes (Empresa) |
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