Comovements in the Prices of Securities Issued by Large Complex Financial Institutions

49 Pages Posted: 19 May 2005

See all articles by Christian B. Hawkesby

Christian B. Hawkesby

Bank of England

Ian W. Marsh

City University London - Sir John Cass Business School

Ibrahim Stevens

Bank of England

Date Written: March 2005

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.

Keywords: Financial institutions, comovements and factor analysis

JEL Classification: C39, G15

Suggested Citation

Hawkesby, Christian B. and Marsh, Ian William and Stevens, Ibrahim, Comovements in the Prices of Securities Issued by Large Complex Financial Institutions (March 2005). Bank of England Working Paper No. 256, Cass Business School Research Paper, Available at SSRN: https://ssrn.com/abstract=724062 or http://dx.doi.org/10.2139/ssrn.724062

Christian B. Hawkesby (Contact Author)

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

Ian William Marsh

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 20 7040 5121 (Phone)
+44 20 7040 8881 (Fax)

HOME PAGE: http://www.cass.city.ac.uk/faculty/i.marsh

Ibrahim Stevens

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

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