An Event Study of Swedish Banks’ Stock Price Reactions to the Baltic Crisis

Abstract: The ongoing financial crisis in the Baltic States has raised concerns about the Swedish banking system. For this purpose we examine how the four largest Swedish banks’ stock returns are affected by economic events from the Baltic States, using an event parameter approach. With our event study methodology we can test if the market discriminates between banks with different Baltic loan exposure or if contagion effects are present. For the events that had an impact on the Swedish banks we find evidence that the market only partially separated between the banks according to their exposure.