Job market paper


This paper sought to assess the relative stability of the banking sector index compared to the TASI index during periods of financial turbulence. We use the GARCH-in-mean approach to draw inspiration from prior studies, notably Asteriou et al. (2019), positing that the banking sector might underperform the TASI index during economic shocks due to its inherent attributes. The methodology thoroughly examined these indices across four key crises: the 2006 local crisis, the 2018 global financial crisis, the 2015 oil price slump, and the COVID-19 pandemic. Using time-series analysis, we dissected the trends and relationships between these indices. Our findings revealed that during the 2006 crisis, the banking sector demonstrated resilience, aligning with our hypothesis. In contrast, the 2018 and 2015 crises highlighted the banking sector’s sensitivity to Brent oil prices and global financial currents. The COVID-19 pandemic further underscored the unique behaviors of each index. Collectively, our data suggests that while the banking sector has moments of robustness, its reactions across different crises emphasize its intricate interplay with external factors and overarching market dynamics. This underscores the importance of detailed, crisis-specific analyses to understand the observed variability in resilience fully.

Khwlah Almutair
Khwlah Almutair
PhD candidate in Economics

Khowlah Almutair is a Ph.D. candidate in Economics at the University of Massachusetts at Amherst. Fields of interest are finance, labor economics, and econometrics.