Tuesday, December 6, 2016

9 December 2016: Integration Among US Banks: Trends and Determinants

Abhinav Anand
University College Dublin

We study integration among a large sample of 1109 US banks over a quarter-century: 19902014. We define a banks level of integration (measured in percentages) as the degree of dependence of its stock returns on common national banking factors. We show that the median US banks integration has risen from 4.4% in 1990 to 10.1% in 2014. Integration across banks is highly unevenly distributed, obeys a power law and for the median systemically important bank, corresponding integration levels are 610 times higher. The US banking sector is segmented into a small group of core banks, strongly integrated with each other; and a large group of weakly integrated banks in the periphery. Determinants of US banks integration include bank size, its market beta and its idiosyncratic risk, which have a significantly positive marginal impact; while increased reliance on deposit financing and short term financing have a significantly negative marginal impact on integration.

Date: December 9, 2016
Time: 11:30 A.M.

Seminar Room 2
Indian Statistical Institute Delhi Centre,
7, S. J. S. Sansanwal Marg,
New Delhi-110016 (INDIA)


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