Fintech innovation, disruptive technology, and bank stock volatility: Regime-dependent and asymmetric evidence from major national banking sector indices

This study examines whether fintech innovation and disruptive technologies are an independent volatility source in major banking sector indices or whether their effects largely reflect common market risk. Using daily data of eight major banking systems from February 12, 2019, to July 31, 2025, we estimated a uniform skewed-t EGARCH-X (exponential generalized autoregressive conditional heteroskedasticity with exogenous regressors) model with factor-orthogonalized, lagged innovation proxies and a VIX (volatility index) control, complemented by Markov-switching GARCH (generalized autoregressive conditional heteroskedasticity), Diebold–Yilmaz connectedness, and value-at-risk backtesting. Volatility is persistent, heavy-tailed, and asymmetric, with significant leverage effects in five markets. When common market exposure was removed, innovation-proxy effects were economically modest though systematically differentiated by innovation type. Volatility connectedness reached 63.1%, dominated by long-run spillovers, with Italy, the United States, and Germany as the principal net transmitters. The study’s central contribution is one of identification: sharpening the innovation-specific risk signal reframes the macroprudential focus toward transmitting cores rather than innovation.