Business Commons^™

International Banking Sector Linkages: Did The Global Financial Crisis Strengthen Or Weaken The Linkages?, James Edward Benton

Theses and Dissertations in Business Administration

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 …

The Response Of Commercial Banks To Credit Stimuli, Denise Williams Streeter

Theses and Dissertations in Business Administration

This dissertation calls upon the theory of financial intermediation (Diamond and Dybvig, 1983) and the credit channel theory of monetary policy effectiveness (Bernanke and Gertler, 1995) to show how commercial banks responded to the trillions of dollars of innovations to stimulate the credit markets during the 2008 global financial crisis. Specifically, loan-level data is used to conduct univariate, regression, and event-study analyses to address the research question of, "Did United States- and European Union-based commercial banks respond to credit stimuli with increased commercial lending during the stimulus period of October 1, 2007 through September 30, 2011 when compared to the …

A Study Of Failures In The Us Banking Industry, Joseph Trendowski

Theses and Dissertations in Business Administration

This dissertation studies failures in the U.S. banking industry following the 2008 financial crisis. The dissertation offers an exhaustive review of the organizational failure literature, and changes in the banking industry environment over the past century. It takes three theoretical perspectives - institutional, industrial organization and resource-based view- to analyze failures in the banking industry.

The review and analysis allows me to trace the roots of recent bank failures to external (institutional, competitive) and internal (resource structure, strategy, risk) factors, and propose several hypotheses linking such factors with failures. The hypotheses are tested using a data-set that included all bank …

What Drives U.S. Banking Mergers: Misvaluation, Gambling Or Envy?, Wenjia Zhang

Theses and Dissertations in Business Administration

The thesis consists of three essays that examine whether U.S. bank mergers are motivated by market inefficiency and managerial psychology biases. Essay I investigates equity misvaluation as a possible driver for United States banking mergers from the perspective of market inefficiency, and finds that bidders tend to use overvalued equity to buy undervalued targets. Essay II, motivated by the cumulative prospect theory of Tversky and Kahneman (1992), tests whether managerial gambling attitudes are linked with lottery characteristics of target banks (i.e., high skewness, high volatility, and low price). The evidence shows that banking acquisitions are influenced by gambling attitudes rooted …

The Pricing Behaviors Of Stock Index Futures: Some Preliminary Evidence In The Korean Market, Jaehoon Min

Theses and Dissertations in Business Administration

This research examines the pricing behaviors of futures contract in the Korean market in its early inception period. This research is mainly organized into three parts. The first chapter investigates the mispricing of futures contract relative to its theoretical value. Consistent with earlier studies regarding futures markets in other countries, futures have been persistently underpriced in the Korean market. Even after accounting for 10 minute execution lag in the arbitrage trading, arbitrage opportunities have been largely unexploited. Market inertia caused by institutional investors' unfamiliarity is presumed to be largely responsible for underpricing of futures. Unfavorable spot market condition also hinders …

Volatility Risk Premiums In Futures Markets: Investment Prices And Commercial Bank Performance, Richard P. Gregory

Theses and Dissertations in Business Administration

This dissertation is an in depth study of the measurement of pricing biases in futures options, and whether this bias is due to volatility risk premia, market overreaction to public information or information asymmetry. Futures options for thirteen different contracts are used. Additionally, the contracts are from three different marketplaces.

Six hypotheses are tested. The first is whether implied option volatilities from the Black (1976) futures option model is the only significant determinant of the volatility processes of the underlying futures contracts. For this estimation, we use both a GARCH (1,1) model and the Partially Non-parametric model of Engle and …