Banking

An Intelligent Web-Based GRA/Cointegration Analysis for Systematic Risk

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Executive Summary

A new intelligent web-based Grey Relational Analysis (GRA)/cointegration analysis is proposed to examine the effects of cross-border bank M&As on the systematic risk that took place in the American, Asia, Europe, Africa and Middle East of banks in this paper. The potential diversification gains that arise from geographic or cross-border diversification are studied using a database that includes deals and bank stock return information for 114 cross-border M&As during 1998-2005. Cointegration analysis is first developed to obtain the relationship between financial variables and web-based GRA is then applied to establish the ranking and clustering of all acquirer events. The findings have important regulatory policy implications in that, the potential diversification gains have obtained in home country.

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