Browsing by Author "Banerjee, A. K."

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    Assessing the US financial sector post three bank collapses: Signals from fintech and financial sector ETFs
    (Elsevier BV, 2023-10-12) Banerjee, A. K.; Pradhan, H. K.; Şensoy, Ahmet; Goodell, J. W.
    We 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.