A Catering Perspective of the Banking Sector Markets: Evidence from a Cross-Country Analysis
DOI:
https://doi.org/10.47743/saeb-2025-0007Keywords:
comovement, multivariate wavelet analysis, the SVB collapse.Abstract
In this paper, we attempt to analyze and better apprehend the nature, structure and dynamics of connections between bank stock indices of different countries in G7 and BRIC regions during the outbreak of tremendous events. For this end, we apply the bi- and multi-variate wavelet method on banking sector indices during the period 1/1/2016 to 4/28/2023. The empirical findings show that the banking sector indices’ comovement between the US and other markets tends to change in both short- and long-term and depend on region/country. Such connections are highly affected by the outbreak of tremendous events (crisis/pandemic). In particular, the impact of the SVB collapse on such connections seems to be dissimilar among countries and regions. The findings could have insightful information for investors and portfolio managers and call for stronger emphasis on the suitable banking regulatory environment.
References
Aharon, D., Ali, S., & Naved, M. (2023). Too big to fail: The aftermath of Silicon Valley Bank (SVB) collapse and its impact on financial markets. Research in International Business and Finance, 66, 102036. http://dx.doi.org/10.1016/j.ribaf.2023.102036
Akhtaruzzaman, M., Boubaker, S., & Goodell, J. W. (2023). Did the collapse of Silicon Valley Bank catalyze financial contagion? Finance Research Letters, 56, 104082. http://dx.doi.org/10.1016/j.frl.2023.104082
Allen, F. (1990). The market for information and the origin of financial intermediation. Journal of Financial Intermediation, 1(1), 3-30. http://dx.doi.org/10.1016/1042-9573(90)90006-2
Azmi, W., Anwer, Z., Azmi, S. N., & Nobanee, H. (2023). How did major global asset classes respond to Silicon Valley Bank failure? Finance Research Letters, 56, 104123. http://dx.doi.org/10.1016/j.frl.2023.104123
Baranova, V., Viadrova, I., & Lyashenko, V. (2022). Dynamics of Development of the USA, Canada and UK Financial Markets in the Display of Stock Indices of their Banking Institution. International Journal of Academic Accounting, Finance & Management Research, 6(4), 1-8.
Baumöhl, E., Bouri, E., Hoang, T., Hussain Shahzad, S. J., & Výrost, T. (2022). Measuring systemic risk in the global banking sector: A cross-quantilogram network approach. Economic Modelling, 109, 105775. http://dx.doi.org/10.1016/j.econmod.2022.105775
Bellia, M., Maccaferri, S., & Schich, S. (2022). Limiting too-big-to-fail: Market reactions to policy announcements and actions. Journal of Banking Regulation, 23(4), 368-389. http://dx.doi.org/10.1057/s41261-021-00176-y
Caiazzo, E., & Zazzaro, A. (2023). Bank diversity and financial contagion: Centre for Studies in Economics and Finance, Department of Economics, University of Naples.
Cowan, A. R., Salotti, V., & Schenck, N. A. (2022). The long-term impact of bank mergers on stock performance and default risk: The aftermath of the 2008 financial crisis. Finance Research Letters, 48, 102925. http://dx.doi.org/10.1016/J.FRL.2022.102925
Dosumu, O. E., Sakariyahu, R., Oyekola, O., & Lawal, R. (2023). Panic bank runs, global market contagion and the financial consequences of social media. Economics Letters, 228, 111170. http://dx.doi.org/10.1016/j.econlet.2023.111170
Fernández-Macho, J. (2018). Time-localized wavelet multiple regression and correlation. Physica A, 492, 1226-1238. http://dx.doi.org/10.1016/j.physa.2017.11.050
Foglia, M., Addi, A., & Angelini, E. (2022). The Eurozone banking sector in the time of COVID-19: Measuring volatility connectedness. Global Finance Journal, 51, 100677. http://dx.doi.org/10.1016/j.gfj.2021.100677
IMF. (2016). Germany: Financial System Stability Assessmen. Retrieved from https://www.imf.org/external/pubs/ft/scr/2016/cr16189.pdf
Pandey, D., Hassan, M. K., Kumari, V., & Hasan, R. (2023). Repercussions of the Silicon Valley Bank collapse on global stock markets. Finance Research Letters, 55, 104013. http://dx.doi.org/10.1016/j.frl.2023.104013
Tabak, B. M., Silva, I. B. D. R. E., & Silva, T. C. (2022). Analysis of connectivity between the world’s banking markets: The COVID-19 global pandemic shock. The Quarterly Review of Economics and Finance, 84, 324-336. http://dx.doi.org/10.1016/j.qref.2022.03.002
Torrence, C., & Compo, G. P. (1998). A practical guide to wavelet analysis. Bulletin of the American Meteorological Society, 79(1), 61-78. http://dx.doi.org/10.1175/1520-0477(1998)079<0061:APGTWA>2.0.CO;2
Torrence, C., & Webster, P. J. (1999). Interdecadal changes in the ENSO–monsoon system. Journal of Climate, 12(8), 2679-2690. http://dx.doi.org/10.1175/1520-0442(1999)012<2679:ICITEM>2.0.CO;2
Yadav, M. P., Rao, A., Abedin, M. Z., Tabassum, S., & Lucey, B. (2023). The domino effect: Analyzing the impact of Silicon Valley Bank’s fall on top equity indices around the world. Finance Research Letters, 55, 103952. http://dx.doi.org/10.1016/j.frl.2023.103952
Yousaf, I., Riaz, Y., & Goodell, J. W. (2023). The Impact of the SVB Collapse on Global Financial Markets: Substantial but Narrow. Finance Research Letters, 55, 103948. http://dx.doi.org/10.1016/j.frl.2023.103948
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2024 Maryam Nafisi-Moghadam, Azza Béjaoui, Ahmed Jeribi , Imran Youssaf

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
All accepted papers are published on an Open Access basis.
The Open Access License is based on the Creative Commons license.
The non-commercial use of the article will be governed by the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License as currently displayed on https://creativecommons.org/licenses/by-nc-nd/4.0
Under the Creative Commons Attribution-NonCommercial-NoDerivatives license, the author(s) and users are free to share (copy, distribute and transmit the contribution) under the following conditions:
1. they must attribute the contribution in the manner specified by the author or licensor,
2. they may not use this contribution for commercial purposes,
3. they may not alter, transform, or build upon this work.