The risk-related behaviour of financial intermediaries

The following thesis contains four empirical chapters focusing on the contagion, interest rate, foreign exchange rate, and investment risk exposures of financial institutions, respectively. Chapter 1 provides an overarching view of the four empirical chapters and the main objective of the thesis. Chapter 2 examines the return and volatility spillovers among the financial sector portfolios across the global financial markets from an US investor’s perspective. The potential influence of the recent financial crisis on the return and risk interdependence among these sector portfolios has also been evaluated. Financial institutions with different characteristic and size have been examined separately as well as jointly. Chapter 3 and 4 investigate the interest rate and foreign exchange rate risk exposures of financial institutions, respectively. In chapter 3, we evaluate the impact of changes in term structure on the equity value of financial intermediaries across major economies. In chapter 4, the influences of both domestic and foreign currency fluctuations on the equity value of financial intermediaries are explored. Furthermore, we split the sample period into pre- and post-crisis period to investigate the potential impact of recent financial crisis on the interest rate and foreign exchange rate risk exposure of these financial intermediaries under examination. Chapter 5 focuses on the investment risk faced by financial institutions (mainly non-banking financial service firms, e.g. mutual funds, pension funds and hedge funds). We shed light on the economic value of correlation timing for dynamic asset allocation strategies. In order to further evaluate the influence of the rebalancing frequency on the economic value of the correlation timing, we assess the performance of the dynamic asset allocation strategy on both daily and monthly basis. Finally, chapter 6 provides the concluding remarks that summarize the thesis.

Name dc:type.qualificationname

phd

Level dc:type.qualificationlevel

doctoral

Grantor dc:publisher.institution

City University London

Year dc:date.issued

2013

Author dc:creator

• Zhao, Gang

• HG Finance