Bank Stock Return Sensitivity to Interest Rate Changes in Thailand

2015 ◽  
Author(s):  
Sirikarn Jeanchutima ◽  
Nopphon Tangjitprom
Keyword(s):  
Interest Rate ◽  
Stock Return ◽  
Bank Stock ◽  
Return Sensitivity

scholarly journals PENGARUH LOAN TO DEPOSITE RATIO, RETURN ON ASSETS, CAPITAL ADEQUACY RATIO, EXCHANGE RATE DAN INTEREST RATE TERHADAP RETURN SAHAM

2017 ◽  
Vol 19 (3) ◽  
pp. 340
Author(s):  
Ketut Asmara Jaya
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Returns ◽  
Significant Influence ◽  
Stock Return ◽  
Random Effect ◽  
Capital Adequacy ◽  
Return On Assets ◽  
Capital Adequacy Ratio ◽  
Lm Test

Pertumbuhan pasar modal pada akhir tahun 2010 menunjukkan kinerja yang luar biasa dengan meningkatnya kembali nilai saham dengan dipengaruhi oleh berbagai faktor, baik faktor internal ataupun faktor eksternal dari setiap perusahaan. Studi ini menganalisis untuk pinjaman deposit rasio (LDR), pengembalian asset (ROA), rasio kecukupan modal (CAR), nilai tukar dan suku bunga yang berdampak pada keuntungan saham di perusahaan perbankan. Studi panel ini menggunakan data LM test statistik yang menunjukkan perhitungan metode random effect adalah cara yang lebih tepat digunakan untuk mengestimasi model dalam penelitian ini. Hasil studi menunjukkan bahwa variabel ROA memberikan pengaruh positif dan signifikan dalam return saham. Sedangkan variabel LDR, CAR dan Kurs tidak ada pengaruh yang signifikan terhadap return saham, dan hanya kecenderungan jika LDR, CAR dan Kurs meningkat maka return saham dapat meningkat pula Suku bunga variabel tidak memberikan pengaruh positif dan pengaruh signifikan karena tidak memiliki hubungan dengan return saham.Growth of Capital market in late 2010 showed outstanding performance with rising of stock return which is influenced by various factors, both internal factors and external factors of each company it self. This study analyzes the Loan To Deposite Ratio (LDR), Return On Assets (ROA), Capital Adequacy Ratio (CAR), Exchange Rate and Interest Rate impact on stock returns in corporate banking. This study uses panel data with LM Test statistical calculation it is shown that Random Effect method is more precise to be used in this study. The result of the study shown that ROA variable gives positive and significant influence in stock return. While LDR, variables CAR and exchange rate of no influence and significantly to return stock, and only tendency if LDR, CAR and exchange rate increase then return shares can be increased as well. The Interest Rate variable did not give positive and significant influence because of not having relationship with stock return.

Sectoral stock return sensitivity to oil price changes: a double-threshold FIGARCH model

2013 ◽  
Vol 13 (4) ◽  
pp. 593-612 ◽  
Author(s):  
Elyas Elyasiani ◽  
Iqbal Mansur ◽  
Babatunde Odusami
Keyword(s):  
Stock Return ◽  
Oil Price ◽  
Price Changes ◽  
Figarch Model ◽  
Double Threshold ◽  
Return Sensitivity

scholarly journals Pengaruh Return On Assets, Return On Equity, Debt To Equity Ratio, Inflasi, Dan Suku Bunga Terhadap Return Saham Pada Perusahaan Manufaktur Di Bursa Efek Indonesia (Studi Empiris Pada Perusahaan Secondary Sectors Periode 2010-2015)

2018 ◽  
Vol 6 (1) ◽  
pp. 063-076
Author(s):  
Ningsih Hikmawati ◽  
Adi Wiratno ◽  
Suyanto . ◽  
Darmansyah .
Keyword(s):  
Interest Rate ◽  
Stock Returns ◽  
Stock Return ◽  
Quantitative Methods ◽  
Stock Exchange ◽  
Secondary Data ◽  
Manufacturing Companies ◽  
Return On Assets ◽  
Return On Equity ◽  
Equity Ratio

This study is aimed to ascertain and analyse the influence of return on assets, return on equity, debt to equit ratio, inflation, and interest rate, both partiall and simultaneously on the stock returns in manufacturing companies of secondary sectors listed in the Indonesian Stock Exchange. This research uses quantitative methods and EVIEWS panel 8 to analyse the regression. The population are manufacturing companies of secondary sector listed in the Indonesian Stock Exchange consisted of basic and chemical sectors, miscellaneous industry, and consumer goods sector in the period of 2010-2015. The sampling method used is pusposive sampling with the final number of 40 companies. The research required secondary data. The results show that return on assets has no negative effect on stock return, mean while, return on equity and interest rate have positive effect on stock return. Return on assets, return on equity, debt to equity ratio, inflation and interest rate all simultaneously have effect on stock returns.

scholarly journals Pengaruh Faktor Internal dan Eksternal Terhadap Return Saham Perusahaan Makanan dan Minuman di Bursa Efek Indonesia Periode 2008–2011

2019 ◽  
Vol 6 (2) ◽  
pp. 100
Author(s):  
Erric Wijaya ◽  
Tinjung Desy Nursanti
Keyword(s):  
Economic Growth ◽  
Interest Rate ◽  
Stock Returns ◽  
Stock Return ◽  
Stock Exchange ◽  
Negative Relationship ◽  
External Factors ◽  
Beverage Industry ◽  
Food And Beverage ◽  
The Impact

This study aims to look at the impact of internal and external factors to the stock return of food and beverage companies listed in the Indonesia Stock Exchange 2008 to 2011 period. The method used is the regression equation analysis of panel data using a common effect type.The results show that the internal factors such current ratio, debt to equity ratio and return on assets showed a positive and significant influence on the company's stock return of food and beverage industry in the BEI. While external factors namely SBI interest rate and economic growth showed a different result, where the SBI interest rate has a negative and significant relationship to the company's stock return, while economic growth has no significant negative relationship to the stock returns.

scholarly journals Predictive Power of Output Growth, Inflation, and Interest Rate on Stock Return and Volatility: A Comparison

2010 ◽  
Author(s):  
Wai Ching Poon ◽  
Gee Kok Tong
Keyword(s):  
Interest Rate ◽  
Emerging Markets ◽  
Stock Returns ◽  
Stock Return ◽  
Predictive Power ◽  
Output Growth ◽  
Stock Market Volatility ◽  
Monthly Data ◽  
Stock Return Volatility ◽  
Economic Volatility

Using monthly data from seven mature and emerging markets and a battery of GARCH and EGARCH models, the study of Davis and Kutan (2003) on inflation and output on stock returns and volatility is extended by including interest rate to compare the effect between three mature markets (US, Japan, and Singapore) and four emerging markets who experienced a crisis before (Malaysia, India, Korea, and Philippines). It is found that economic volatility, as measured by movement in inflation, output growth, and interest rate, have a weak predictor power for stock market volatility and returns. In line with the evidence reported in Davis and Kutan (2003), the findings suggest that there is no support for the Fisher effect in stock returns among the seven mature and emerging markets.   Keywords: Predictive power; output; inflation; interest rate; stock return volatility.  

Penggunaan Arbitrage Pricing Theory Untuk Menganalisis Return Saham Syariah

2017 ◽  
Vol 9 (1) ◽  
pp. 68-84
Author(s):  
Gusni Gusni ◽  
Suskim Riantani
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Return ◽  
Sampling Method ◽  
Stock Exchange ◽  
Factor Loading ◽  
Arbitrage Pricing Theory ◽  
Arbitrage Pricing ◽  
Variable Model ◽  
Pricing Theory

Arbitrage Pricing Theory (APT) is one of model that can be used to quantify the risk for investors in order to produce capital gain.There are two empirical models are used in implement the APT: the factor loading model (FLM) and the macro variable model (MVM). Model used in this research was MVM as used by Chen, Roll dan Ross (1986), and Chen, Hsieh dan Jordan (1997). The purpose of this study is to capture the application of APT in Jakarta Islamic Index (JII) using macroeconomic variables (inflation, exchange rate, and interest rate) as the determinants of Syariah stock return and found macro economics variables having powerful effect to the Syariah stock return. To achieve the objectives of this study, a total of 11 listed syariah firms of Jakarta Islamic Index (JII) in Indonesia Stock Exchange were selected by using purposive sampling method from the period of 2009 to 2014. Multiple linear regression has been conducted to capture the application of APT in analized determinants of Syariah stock return. The result shows that only interest rate has effect to the syariah (JII) stock return. Meanwhile inflation and exchange rate have no effect to the syariah stock return. Emperical results clearly indicate that application of APT in justifying returns on Syariah stocks is still weak. Keywords: Arbitrage Pricing Theory, Exchange Rate, Inflation, Interest Rate, Stock Return

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