Systemic risk and bank consolidation: International evidence |
| |
| Institution: | 1. Juniorprofessur Finance, Technische Universität Dortmund, Otto-Hahn-Str. 6a, D-44227 Dortmund, Germany;2. Lehrstuhl für Finanzierung und Kreditwirtschaft, Ruhr-Universität Bochum, Universitätsstraße 150, D-44780 Bochum, Germany;1. College of Management, Innovation Center for Big Data and Digital Convergence, Yuan Ze University, Chung-Li, Taiwan;2. School of Accounting, Economics, and Finance, Deakin University, Burwood, Victoria, Australia;3. Department of Finance, National University of Kaohsiung, Kaohsiung, Taiwan;1. French Ministry of Finance, France;2. Banque de France, France;1. Reserve Bank of Australia, Sydney, Australia;2. Bank of England, London, United Kingdom;3. Institute of Global Finance, University of New South Wales, Sydney, Australia;1. Federal Reserve Bank of Philadelphia, United States;2. Federal Reserve Board, United States;1. Department of Finance, Fox School of Business and Management, Temple University, Philadelphia, PA 19122, United States;2. Department of Economics and Finance, School of Business, Southern Illinois University Edwardsville, Edwardsville, IL 62026-1102, United States |
| |
| Abstract: | This paper analyzes the systemic risk effects of bank mergers to test the “concentration-fragility” hypothesis. We use the marginal expected shortfall as well as the lower tail dependence between a bank’s stock returns and a relevant bank sector index to capture the merger-related change in an acquirer’s contribution to systemic risk. In our empirical analysis of a dataset of international domestic and cross-border mergers, we find clear evidence for a significant increase in the merging banks’, the combined banks’ as well as their competitors’ contribution to systemic risk following mergers, thus confirming the “concentration-fragility” hypothesis. |
| |
| Keywords: | M&A Banks Consolidation Systemic risk Lower tail dependence Marginal expected shortfall |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
