Download or read book Sensitivity of Bank Stock Prices to Interest Rates written by Goldberg, Michael and published by . This book was released on 1988 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Analysis of the Differences in Interest Rate Sensitivity Between New York and Non New York Bank Stock Prices written by Susan Shizuko Komura and published by . This book was released on 1987 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Interest Rate Sensitivity of Banking Stock Returns in India written by Vanita Tripathi and published by . This book was released on 2013 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: Besides market risk, banking stocks are also subject to interest rate risk due to the simple fact that banking profitability is a function of prevailing interest rate. This paper examines the effects of interest rate changes on banking stock returns in India using the multivariate OLS and GARCH estimation models over the period 1st April 1996-31st March 2011. The sample consists of 18 commercial bank stocks comprising BANKEX listed on Bombay stock exchange. We find a negative but weak relationship between Bank stock returns and interest rate changes in India. As expected banking stock returns exhibit significant positive relationship with market returns. However interest rate volatility is found to affect significantly the stock volatility in case of most of the banks in India. Hence although interest rate movements may not significantly affect banking stock returns in India but stock's volatility is significantly affected by the interest rate volatility. These results have important implications for policy regulators, bank managers and investing community at large. The investing community should refrain from investing in banking stocks in times of high interest rate volatility. The bank managers may adopt policies and strategies so as to lower the impact of interest rate volatility on stock return. The policy regulators need to ensure that interest rate volatility does not get transmitted into banking stock returns for the stability of financial system in India.
Download or read book The Sensitivity of Bank Stock Returns to Market Interest and Exchange Rate Risks written by Jongmoo Jay Choi and published by . This book was released on 2016 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents and estimates a multifactor model of bank stock returns that incorporates market return, interest rate and exchange rate risk factors. A model of the optimizing behavior of an international banking tirm is used to derive the sensitivity coefficients of the alternative factors. Regression equations are estimated that are based on either actual or unexpected values of the underlying factors with a post-October 1979 time dummy variable and with a money-center bank dummy variable. Standard results are obtained for the market and interest rate variables while new results are derived for the exchange rate variable. The specific effects of the latter variable are found to be dependent on the time period of observation and the money-center status of banks.
Download or read book Bank Stock Return Sensitivity to Interest Rate Changes in Thailand written by Sirikarn Jeanchutima and published by . This book was released on 2015 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many studies were trying to explain the changes of stock returns by finding the factors impact on a certain market, industry, or stock. Focusing on the financial institution especially commercial bank, there are some research proved that interest rate is one of the crucial factor impact the commercial bank stock returns. Interest rate is the cost and return of money in financial market since commercial bank acts as major financial intermediary; therefore, interest rate is still the majority of its cost and return. In Thai stock market shows different result, the changing in interest rate reflects slightly on the change in stock returns. After taking a close look, the conclusion can be drawn from outcomes the bigger size of the bank experience the larger effect. Thus, bank size is not a real moderator affect the relationship, the trading volume of the bank is the real relevant factor. Consequently, the theory can be hold only if the market participants trade all bank stock equally.
Download or read book Operations Research Proceedings 2006 written by Karl-Heinz Waldmann and published by Springer Science & Business Media. This book was released on 2007-08-11 with total page 590 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains a selection of papers referring to lectures presented at the symposium Operations Research 2006 held at the University of Karlsruhe. The symposium presented the state of the art in Operations Research and related areas in Economics, Mathematics, and Computer Science and demonstrated the broad applicability of its core themes, placing particular emphasis on Basel II, one of the most topical challenges of Operations Research.
Download or read book Interest Rate Sensitivity of Bank Stock Returns in a Universal Banking System written by Wolfgang Bessler and published by . This book was released on 1994 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Interest Rate and Foreign Exchange Sensitivity of Bank Stock Returns written by Xiangnan Meng and published by . This book was released on 2014 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study employs a GARCH model to investigate the effects of interest rate and foreign exchange rate changes on Chinese banks' stock returns. The results suggest that market movement and foreign exchange rate changes are statistically significant in explaining banks' stock returns, despite different reactions from different bank portfolios in regard to risks. Interest rate fluctuations, on the other hand, appear to be insignificant factors in equity pricing. The results confirm the link between market risks and stock returns and highlight the need for further interest rate liberalization.
Download or read book The Sensitivity of European Bank Stocks to German Interest Rates Changes written by Simon Stevenson and published by . This book was released on 2016 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the cross-border impact of central bank interest rate changes, using the example of the German Bundesbank. We examine the price impact of rate changes on both the general stock markets and on bank stocks in seven other European countries. The sample includes nations both within and outside of the European Union, and includes EU members who are participating in monetary union and members who obtained opt-outs. The results point to the existence of cross-border information transfers. Both nonGerman bank stocks and general equities react significantly to a large number of the Bundesbank rate changes. The results also indicate that European capital markets did differentiate between rate changes in terms of their relativeimportance. This was the case in terms of different responses between the financial institutions and the general equity markets and with regard to differing reactions between markets. In particular, those markets that were more committed to the exchange rate mechanism and the goal of monetary union generally reacted more than markets such as Denmark and UK. In addition, theimportance of Bundesbank policy during the years leading up to EMU is supported by the fact that most non-German bank stocks reacted more to Bundesbank policy than to domestic rate changes and that no other country had the same level of influence on foreign equity returns.
Download or read book The Sensitivity of Japanese Bank Stock Returns to Market Returns Interest Rates and Exchange Rates written by Andrew Saporoschenko and published by . This book was released on 1997 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Bank Profitability and Risk Taking written by Natalya Martynova and published by International Monetary Fund. This book was released on 2015-11-25 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Traditional theory suggests that more profitable banks should have lower risk-taking incentives. Then why did many profitable banks choose to invest in untested financial instruments before the crisis, realizing significant losses? We attempt to reconcile theory and evidence. In our setup, banks are endowed with a fixed core business. They take risk by levering up to engage in risky ‘side activities’(such as market-based investments) alongside the core business. A more profitable core business allows a bank to borrow more and take side risks on a larger scale, offsetting lower incentives to take risk of given size. Consequently, more profitable banks may have higher risk-taking incentives. The framework is consistent with cross-sectional patterns of bank risk-taking in the run up to the recent financial crisis.
Download or read book Examine Banks Share Price Sensitivity Due to Interest Rate Changes written by Reza Tahmoorespour and published by . This book was released on 2013 with total page 5 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the impacts of interest rate on banks' return in 14 international markets. This research covers seven financial ratios as dependent variables as well as the return of the bank. Moreover, size of the banks is a control variable. The sample of data is from 2001 until the end of 2010 and all the ratios collected annually. LM and Hausman test carried out and the results indicate that the data is Random Panel. The regression (OLS) results demonstrated that the behavior of banks towards the changes in interest rate heavily depends on the market that the banks are operating. Since there are several unique economical and financial characteristics for each country, the reaction of banks to changes in interest rate varies from one market to another. Regarding the size of the bank as control variable, only for five 5 out of 14 of countries there is a significant impact of size on the bank's return.
Download or read book The Effects of Volatility of Interest Rates on Stock Returns written by Suresh N. and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This article investigates the effects of interest rates volatility on stock market returns and volatility using weekly returns on the 15 selected public sector Banks namely Allahabad Bank, Andhra Bank, Bank of Baroda, Bank of India, Canara Bank, Corporation Bank, Dena Bank, Indian Overseas Bank, Oriental Bank of Commerce, Punjab National Bank, State Bank of India, Syndicate Bank, UCO Bank, Union Bank of India, and Vijaya Bank over the period from 1st April 2004 to 31st Dec 2005.The 'market model' is a standard framework for measuring the sensitivity of an individual stock to fluctuations in the market index. In this paper, we have used an 'augmented market model' which estimates, the elasticity of returns on the stock against returns on the index. This regressor used in this model can be interpreted as the return on a portfolio where the long bond is purchased, using borrowed funds at the short rate. Augmented model with interest rates and assuming a student's t-distribution for error terms is used to test these relationships.The return on selected banks and market return required for the study are obtained from the National Stock Exchange website. We created time-series of notional bond returns on the 28-day and the 10-year zero coupon bond, priced off the NSE Zero Coupon Yield Curve for short tem and long term returns respectively.The results indicate that interest rates have a strong positive power for stock returns and. weak predictive power for volatility. We find that for 9 of the 15 banks in our sample, over 25% of equity capital would be gained or lost in the event of a 200 bps move in the yield curve. The stock market sensitivities suggest that there is strong heterogeneity across banks in India in their interest rate exposure. The stock market is unaware of interest rate risk when valuing bank stocks. i.e. a weak predictive power for volatility.
Download or read book The Effects of Interest Rate Changes on Bank Stock Returns and Profitability written by Hualan Cai and published by . This book was released on 2006 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: We empirically investigate the sensitivity of Canadian commercial bank stock returns and profitability to changes in interest rates. We find a statistically significant negative relationship between bank stock returns and changes in interest rates over the period 1995-2006, while the relationship is not significant over the past five years. Furthermore, banks' profitability appears not to be significantly affected by changes in interest rates over our sample period. Our results suggest that Canadian Banks are relatively well immunized against interest rate risk. This may be due to an appropriate matching between the duration of assets and liabilities (on balance sheet risk management) and/or an efficient use of interest rate derivatives (off balance sheet management).
Download or read book Negative Interest Rate Policy NIRP written by Andreas Jobst and published by International Monetary Fund. This book was released on 2016-08-10 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: More than two years ago the European Central Bank (ECB) adopted a negative interest rate policy (NIRP) to achieve its price stability objective. Negative interest rates have so far supported easier financial conditions and contributed to a modest expansion in credit, demonstrating that the zero lower bound is less binding than previously thought. However, interest rate cuts also weigh on bank profitability. Substantial rate cuts may at some point outweigh the benefits from higher asset values and stronger aggregate demand. Further monetary accommodation may need to rely more on credit easing and an expansion of the ECB’s balance sheet rather than substantial additional reductions in the policy rate.
Download or read book The Sensitivity of Non German Bank Stock Returns to German Interest Rates Changes written by Michael Brophy and published by . This book was released on 1998 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt:
