Abstract

http://ssrn.com/abstract=2472721
 


 



Banking Sector Performance and Credit Spread


Vichet Sum


University of Maryland Eastern Shore - School of Business and Technology

July 27, 2014


Abstract:     
This study investigates the dynamic effect of credit spread on the performance of banking sector. Based on the analysis of monthly data from 1941M2 to 2013M6, the results indicate that return on the S&P 500 Banks Index 4010 significantly drops following credit spread shock. The decline becomes worse for a few months following the shock to credit spread. The Granger causality Wald test also indicates that there is a causal linkage between return on the S&P 500 Banks Index 4010 and credit spread.

Keywords: credit spread, banking sector performance, VAR

JEL Classification: G12, G14, G20

working papers series





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Date posted: July 29, 2014  

Suggested Citation

Sum, Vichet, Banking Sector Performance and Credit Spread (July 27, 2014). Available at SSRN: http://ssrn.com/abstract=2472721

Contact Information

Vichet Sum (Contact Author)
University of Maryland Eastern Shore - School of Business and Technology ( email )
2105 Kiah Hall
Princess Anne, MD 21853
United States
410-651-6531 (Phone)
410-651-6529 (Fax)
HOME PAGE: http://www.umes.edu/bma/Sum.html
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