This article examines the interdependence of European bank sectors under two different aspects. First, we investigate the symmetric transmission mechanism between six Eurozone countries’ (Germany, France, Greece, Ireland, Italy and Spain) bank holdings in order to uncover the volatility and error interrelationship of these holdings and their impact on the Greek bank holdings. Also, we analyse the impact from the Greek bank holdings on the other Eurozone countries’ bank holdings. In addition, we examine the impact of the Greek bank holdings on the transmission mechanism among all six cross-country bank indices. Second, we investigate the interrelationship of Greek bank market with two emerging cross-country bank indices and two developed ones. The two groups concern Greece, France and Germany and Greece, Poland and Czech Republic, respectively.

We find very strong volatility and error spillovers for five Eurozone countries’ (Germany, Greece, Ireland, Italy and Spain) bank holdings, whereas French bank holdings are less integrated with the other five ones. Moreover, the results indicated that the Greek bank market is integrated better with the two emerging bank indices rather than the two developed ones. In addition, the Greek debt crisis seemed to play an important role on the volatility transmission mechanism since the volatility and error spillovers are larger in magnitude in the after-crisis period than in the pre-crisis period for both groups of countries. Based on the results regarding the degree of volatility persistence, the number of days that the innovations in the post-crisis period last is larger than the number of days of the pre-crisis period for both groups of countries under study.