Please use this identifier to cite or link to this item:
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
Rate of return
Bank investments
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:
It is part of: Technological and Economic Development of Economy, 2023, vol. 29, num.4, p. 1264-1290
Related resource:
ISSN: 2029-4913
Appears in Collections:Articles publicats en revistes (Empresa)

Files in This Item:
File Description SizeFormat 
848291.pdf489.46 kBAdobe PDFView/Open

This item is licensed under a Creative Commons License Creative Commons