... can surge systemic risk, while systematic risk plays a less important role. Results survive a battery of tests, including different systemic risk measures, controlling causality and interacting with bank size, market fear and crisis periods. Practical implications These findings call...

... describes interdependencies and determines how shocks and uncertainty spillovers from the first suspects to the rest of the country are dynamically transmitted. Findings The authors find that both idiosyncratic and systematic risk increase after the first investigation, suggesting that investors do...