Date of Award
Summer 2013
Document Type
Dissertation
Degree Name
Doctor of Philosophy (PhD)
Program/Concentration
Business Administration-Finance
Committee Director
Mohammad Najand
Committee Member
Larry Filer
Committee Member
Licheng Sun
Abstract
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.
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.
Rights
In Copyright. URI: http://rightsstatements.org/vocab/InC/1.0/ This Item is protected by copyright and/or related rights. You are free to use this Item in any way that is permitted by the copyright and related rights legislation that applies to your use. For other uses you need to obtain permission from the rights-holder(s).
DOI
10.25777/kx3t-rw42
ISBN
9781303528767
Recommended Citation
Benton, James E..
"International Banking sector Linkages: Did the Global Financial Crisis Strengthen or Weaken the Linkages?"
(2013). Doctor of Philosophy (PhD), Dissertation, , Old Dominion University, DOI: 10.25777/kx3t-rw42
https://digitalcommons.odu.edu/businessadministration_etds/1