Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 31, 2015 erstellt
Description:
We analyze the interdependence between the government yield spread and stock returns of the banking sector in Italy during the years 2003-2015. In a first step, we find that after September 2008 the Spearman's rank correlation between the yield spread and the Italian banking system changed significantly. According to this finding, we split the time window in two subperiods. While we show that the dependence between the banking industry and changes in the yield spread increased significantly in the second time interval, we find no contagion effects from changes in the yield spread to returns of the banking system