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When two banks fall, how do markets react?
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Orientador(es)
Resumo(s)
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.
Descrição
Palavras-chave
Bank fall Credit Suisse Bank Detrended fluctuation analysis Silicon Valley Bank Sliding windows