Assessing the US financial sector post three bank collapses: Signals from fintech and financial sector ETFs

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buir.contributor.authorŞensoy, Ahmet
buir.contributor.orcidŞensoy, Ahmet|0000-0001-7967-5171
dc.citation.epage102995-27en_US
dc.citation.spage102995-1
dc.citation.volumeNumber91
dc.contributor.authorBanerjee, A. K.
dc.contributor.authorPradhan, H. K.
dc.contributor.authorŞensoy, Ahmet
dc.contributor.authorGoodell, J. W.
dc.date.accessioned2024-03-15T10:53:55Z
dc.date.available2024-03-15T10:53:55Z
dc.date.issued2023-10-12
dc.departmentDepartment of Management
dc.description.abstractWe investigate the effects of the collapses of Silicon Valley Bank, Signature Bank, and First Republic Bank on the US financial sector by analysing returns and second moments of traditional financial and fintech ETFs. Using a network model, we examine high-frequency data sampled at one-hour intervals for seventeen ETFs encompassing pre- and crisis periods. We find, using a time-varying parametric vector autoregressive (TVP-VAR) and volatility impulse response analysis, that traditional financial ETFs are net transmitters of returns and volatility spillovers in the network, and that this impact is more pronounced in volatility in the period coinciding with the collapse of the three big banks. We identify effects persisting through the medium term. This study is among the first to comprehensively analyze the recent crisis in the US banking sector, covering a full range of the fall of three big banks.
dc.embargo.release2025-10-12
dc.identifier.doi10.1016/j.irfa.2023.102995
dc.identifier.eissn1873-8079
dc.identifier.issn1057-5219
dc.identifier.urihttps://hdl.handle.net/11693/114791
dc.language.isoen
dc.publisherElsevier BV
dc.relation.isversionofhttps://doi.org/10.1016/j.irfa.2023.102995
dc.rightsCC BY 4.0 DEED (Attribution 4.0 International)
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.source.titleInternational Review of Financial Analysis
dc.subjectTraditional financial ETFs
dc.subjectFintech
dc.subjectTVP-VAR
dc.subjectConnectedness
dc.titleAssessing the US financial sector post three bank collapses: Signals from fintech and financial sector ETFs
dc.typeArticle
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