Details

Autor(en) / Beteiligte

• Arenas, Laura
• Gil-Lafuente, Anna María
• Reverter, Josefa Boria

Titel

THE IMPACT OF DISRUPTIVE TECHNOLOGY ON BANKING UNDER SWITCHING VOLATILITY REGIMES

Ist Teil von

• Technological and economic development of economy, 2023-08, Vol.29 (4), p.1264-1290

Ort / Verlag

Vilnius: Vilnius Gediminas Technical University

Erscheinungsjahr

2023

Quelle

EBSCOhost Business Source Ultimate

Beschreibungen/Notizen

• 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.