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Comovements in the prices of securities issued by large complex financial institutions

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  • Christian Hawkesby
  • Ian W Marsh
  • Ibrahim Stevens

Abstract

In recent years, mergers, acquisitions and organic growth have meant that some of the largest and most complex financial groups have come to transcend national boundaries and traditionally defined business lines. As a result, they have become a potential channel for the cross-border and cross-market transmission of financial shocks. This paper analyses the degree of comovement in the prices of securities issued by a selected group of large complex financial institutions (LCFIs), and assesses the extent to which movements in the prices of these securities are driven by common factors. A relatively high degree of commonality is found for most LCFIs (compared with a control group of non-financials), although there are still noticeable divisions between subgroups of LCFIs, both according to geography and primary business line.

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Paper provided by Bank of England in its series Bank of England working papers with number 256.

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Date of creation: Mar 2005
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Handle: RePEc:boe:boeewp:256

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Cited by:
  1. Renzo G. Avesani, 2005. "First," IMF Working Papers 05/232, International Monetary Fund.
  2. Anginer, Deniz & Demirguc-Kunt, Asli, 2011. "Has the global banking system become more fragile over time ?," Policy Research Working Paper Series 5849, The World Bank.
  3. Giovanni Calice & Christos Ioannidis & Julian Williams, 2011. "Credit Derivatives and the Default Risk of Large Complex Financial Institutions," CESifo Working Paper Series 3583, CESifo Group Munich.
  4. Renzo G. Avesani & Jing Li & Antonio Garcia Pascual, 2006. "A New Risk Indicator and Stress Testing tool," IMF Working Papers 06/105, International Monetary Fund.
  5. Upper, Christian, 2011. "Simulation methods to assess the danger of contagion in interbank markets," Journal of Financial Stability, Elsevier, vol. 7(3), pages 111-125, August.

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