When two banks fall, how do markets react?
Autor(a) principal: | |
---|---|
Data de Publicação: | 2023 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10174/35816 https://doi.org/Almeida, D., Dionísio, A., Ferreira, P. (2023). “When two banks fall, how do markets react?”. Economics and Business Letters, 12 (4). https://doi.org/10.17811/ebl.12.4.2023.331-341 https://doi.org/10.17811/ebl.12.4.2023.331-341 |
Resumo: | The most recent fall of the Silicon Valley (SVB) and Credit Suisse (CS) banks increased the fear of a worldwide banking crisis. We analyse the impacts of their fall on five financial indices. We apply detrended fluctuation analysis, static and with sliding windows. We find a higher impact of the SVB fall on the efficiency dynamic of the studied indices, which revealed fluctuating efficiency and a loss of efficiency during the period of the falls. The fall of both banks contributed to some persistence in stock indices returns. The Nasdaq and STOXX Europe 600 Banks are the most and the least efficient indices, respectively. Despite the apparent evidence of inefficiency, it might not necessarily mean a capacity for abnormal profits. |
id |
RCAP_fa3c0d86c2ba4a285689b1333dfc8845 |
---|---|
oai_identifier_str |
oai:dspace.uevora.pt:10174/35816 |
network_acronym_str |
RCAP |
network_name_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository_id_str |
7160 |
spelling |
When two banks fall, how do markets react?Bank fallCredit Suisse BankDetrended fluctuation analysisSilicon Valley BankThe most recent fall of the Silicon Valley (SVB) and Credit Suisse (CS) banks increased the fear of a worldwide banking crisis. We analyse the impacts of their fall on five financial indices. We apply detrended fluctuation analysis, static and with sliding windows. We find a higher impact of the SVB fall on the efficiency dynamic of the studied indices, which revealed fluctuating efficiency and a loss of efficiency during the period of the falls. The fall of both banks contributed to some persistence in stock indices returns. The Nasdaq and STOXX Europe 600 Banks are the most and the least efficient indices, respectively. Despite the apparent evidence of inefficiency, it might not necessarily mean a capacity for abnormal profits.Universidad de Oviedo2023-12-20T11:21:49Z2023-12-202023-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10174/35816https://doi.org/Almeida, D., Dionísio, A., Ferreira, P. (2023). “When two banks fall, how do markets react?”. Economics and Business Letters, 12 (4). https://doi.org/10.17811/ebl.12.4.2023.331-341http://hdl.handle.net/10174/35816https://doi.org/10.17811/ebl.12.4.2023.331-341engdora.almeida@uevora.ptandreia@uevora.ptpferreira@ipportalegre.pt637Almeida, DoraDionisio, AndreiaFerreira, Pauloinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-01-03T19:39:45Zoai:dspace.uevora.pt:10174/35816Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T01:24:09.811066Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
When two banks fall, how do markets react? |
title |
When two banks fall, how do markets react? |
spellingShingle |
When two banks fall, how do markets react? Almeida, Dora Bank fall Credit Suisse Bank Detrended fluctuation analysis Silicon Valley Bank |
title_short |
When two banks fall, how do markets react? |
title_full |
When two banks fall, how do markets react? |
title_fullStr |
When two banks fall, how do markets react? |
title_full_unstemmed |
When two banks fall, how do markets react? |
title_sort |
When two banks fall, how do markets react? |
author |
Almeida, Dora |
author_facet |
Almeida, Dora Dionisio, Andreia Ferreira, Paulo |
author_role |
author |
author2 |
Dionisio, Andreia Ferreira, Paulo |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Almeida, Dora Dionisio, Andreia Ferreira, Paulo |
dc.subject.por.fl_str_mv |
Bank fall Credit Suisse Bank Detrended fluctuation analysis Silicon Valley Bank |
topic |
Bank fall Credit Suisse Bank Detrended fluctuation analysis Silicon Valley Bank |
description |
The most recent fall of the Silicon Valley (SVB) and Credit Suisse (CS) banks increased the fear of a worldwide banking crisis. We analyse the impacts of their fall on five financial indices. We apply detrended fluctuation analysis, static and with sliding windows. We find a higher impact of the SVB fall on the efficiency dynamic of the studied indices, which revealed fluctuating efficiency and a loss of efficiency during the period of the falls. The fall of both banks contributed to some persistence in stock indices returns. The Nasdaq and STOXX Europe 600 Banks are the most and the least efficient indices, respectively. Despite the apparent evidence of inefficiency, it might not necessarily mean a capacity for abnormal profits. |
publishDate |
2023 |
dc.date.none.fl_str_mv |
2023-12-20T11:21:49Z 2023-12-20 2023-01-01T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10174/35816 https://doi.org/Almeida, D., Dionísio, A., Ferreira, P. (2023). “When two banks fall, how do markets react?”. Economics and Business Letters, 12 (4). https://doi.org/10.17811/ebl.12.4.2023.331-341 http://hdl.handle.net/10174/35816 https://doi.org/10.17811/ebl.12.4.2023.331-341 |
url |
http://hdl.handle.net/10174/35816 https://doi.org/Almeida, D., Dionísio, A., Ferreira, P. (2023). “When two banks fall, how do markets react?”. Economics and Business Letters, 12 (4). https://doi.org/10.17811/ebl.12.4.2023.331-341 https://doi.org/10.17811/ebl.12.4.2023.331-341 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
dora.almeida@uevora.pt andreia@uevora.pt pferreira@ipportalegre.pt 637 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Universidad de Oviedo |
publisher.none.fl_str_mv |
Universidad de Oviedo |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
|
_version_ |
1799136723878281216 |