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.

DOI

10.25777/kx3t-rw42

ISBN

9781303528767

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