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International banking sector linkage...

Benton, James Edward.

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International banking sector linkages: Did the global financial crisis strengthen or weaken the linkages?

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	International banking sector linkages: Did the global financial crisis strengthen or weaken the linkages?/
作者:	Benton, James Edward.
面頁冊數:	79 p.
附註:	Source: Dissertation Abstracts International, Volume: 75-02(E), Section: A.
Contained By:	Dissertation Abstracts International75-02A(E).
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3575213
ISBN:	9781303528767

International banking sector linkages: Did the global financial crisis strengthen or weaken the linkages?
Benton, James Edward.

International banking sector linkages: Did the global financial crisis strengthen or weaken the linkages? - 79 p.

Source: Dissertation Abstracts International, Volume: 75-02(E), Section: A.

Thesis (Ph.D.)--Old Dominion University, 2013.

This dissertation examines the interactions or linkages between the U.S. banking sector and the other eight major banking center countries around the globe. I use the national banking sector index for each country over a ten year period as a proxy for reactions to external shocks and examine whether these shocks spillover from the U.S. to the other major banking center countries as measured through their respective indices. I examine both daily residual returns as well as return volatility to measure these interactions between indices.

ISBN: 9781303528767Subjects--Topical Terms:

542899
Finance.

International banking sector linkages: Did the global financial crisis strengthen or weaken the linkages?
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245 1 0 $a International banking sector linkages: Did the global financial crisis strengthen or weaken the linkages?
300 $a 79 p.
500 $a Source: Dissertation Abstracts International, Volume: 75-02(E), Section: A.
500 $a Adviser: Mohammad Najand.
502 $a Thesis (Ph.D.)--Old Dominion University, 2013.
520 $a This dissertation examines the interactions or linkages between the U.S. banking sector and the other eight major banking center countries around the globe. I use the national banking sector index for each country over a ten year period as a proxy for reactions to external shocks and examine whether these shocks spillover from the U.S. to the other major banking center countries as measured through their respective indices. I examine both daily residual returns as well as return volatility to measure these interactions between indices.
520 $a This study uses a vector auto-regression moving average (VARMA) as well as Granger-causality Wald test to examine the linkages among the major banking sectors in the international markets. For robustness I use a State Space analysis to test the linkages among the nine major banking sector countries. My findings show that the U.S. national banking sector has directional influence over the eight other major national banking sectors including: France, Germany, Switzerland, U.K., Australia, Hong Kong, Japan, and Canada. Furthermore, I find that the influence that the U.S. national banking sector exerts on the other major banking sectors appears to diminish after the financial crisis occurred on September 15, 2008.
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773 0 $t Dissertation Abstracts International $g 75-02A(E).
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