Innovations in Interest Rates, Duration Transformation, and Bank Stock Returns

1992 ◽  
Vol 24 (1) ◽  
pp. 27 ◽  
Author(s):  
Srinivas R. Akella ◽  
Stuart I. Greenbaum
Keyword(s):  
Interest Rates ◽  
Stock Returns ◽  
Bank Stock Returns ◽  
Bank Stock

scholarly journals The volatility of bank stock prices and macroeconomic fundamentals in the Pakistani context: an application of GARCH and EGARCH models

2020 ◽  
Vol 11 (4) ◽  
pp. 609-636
Author(s):  
Muhammad Mohsin ◽  
Li Naiwen ◽  
Muhammad Zia-UR-Rehman ◽  
Sobia Naseem ◽  
Sajjad Ahmad Baig
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Stock Returns ◽  
Covariance Matrix ◽  
Stock Prices ◽  
Market Returns ◽  
Macroeconomic Fundamentals ◽  
Bank Stock Returns ◽  
Bank Stock ◽  
The Garch Model

Research Background: The banking sector plays a crucial role in the world?s economic development. This research paper evaluates the volatility spillover, symmetric, and asymmetric effects between the macroeconomic fundamentals, i.e., market risks, interest rates, exchange rates, and bank stock returns, for the listed banks of Pakistan. Purpose of the article: The main purpose of this study is to examine the volatility of Pakistani banking stock returns due to the influence of market risk, interest rates, and exchange rates. Pakistan is selected for the study because the volatility of its banking stock returns is strongly influential in achieving sustainable economic development. Methods: By applying the OLS with the Heteroskedasticity and Autocorrelation Consistent (HAC) covariance matrix, the GARCH (1, 2), and the EGARCH (1, 1), analysis is conducted for the period from January 1, 2009 to December 31, 2019 using samples of 13 listed banks. Findings & Value added: The ARCH parameter is significant in the OLS with the HAC covariance matrix estimation, which is a clear indication of the existence of heteroskedasticity in the squared residuals and the inaccuracy of the OLS with the HAC covariance matrix. The results of the OLS with the HAC covariance matrix suggest using the GARCH model family to accurately measure the volatility of bank stock prices. The results of the mean equation in the GARCH (1, 2) and EGARCH (1, 1) indicate the positive significance of market risk and the low significance of interest and exchange rates, confirming that market returns strongly affect the sensitivity of bank stock returns compared to interest and exchange rates. It should be noted that the ARCH (?) and GARCH (?) parameters of the variance equation fulfill the non-negative conditions of the GARCH model. Furthermore, the leverage parameter (?) is found to be positively significant for all banks, and volatility is found to be influenced by positive shocks compared to negative shocks. Conclusively, it can be stated that market returns determine the dynamics of the conditional returns of bank stocks. Nevertheless, the interest and exchange rate volatilities determine the conditional bank stock returns? volatility.

Does Change in Ted Spread Impact Bank Stock Returns?

2021 ◽  
pp. jwm.2021.1.151
Author(s):  
Srinivas Nippani ◽  
Augustine C. Arize ◽  
D. K. Malhotra
Keyword(s):  
Stock Returns ◽  
Bank Stock Returns ◽  
Bank Stock

Market efficiency, the Mexican peso crisis, and the US bank stock returns

2000 ◽  
Vol 11 (1-2) ◽  
pp. 73-86 ◽  
Author(s):  
Osman Kilic ◽  
M.Kabir Hassan ◽  
David Tufte
Keyword(s):  
Market Efficiency ◽  
Stock Returns ◽  
The Us ◽  
Bank Stock Returns ◽  
Bank Stock ◽  
Mexican Peso

ESG Scores and Bank Performance During COVID-19

2022 ◽  
pp. 241-260
Author(s):  
Gamze Ozturk Danisman
Keyword(s):  
Stock Returns ◽  
Extended Period ◽  
Negative Influence ◽  
Policy Implications ◽  
European Countries ◽  
Time Period ◽  
Bank Stock Returns ◽  
Bank Stock ◽  
The Impact ◽  
Extended Time Period

This chapter examines the impact of ESG scores on bank stock returns as a response to the COVID-19 pandemic. The authors use a sample of 73 publicly listed banks from 15 developed European countries. They perform the analysis using two different periods that cover the pandemic: the first major wave period of COVID-19 (February-April 2020) and an extended period (February 2020-April 2021). The findings reveal the negative influence of the COVID-19 pandemic on bank stock returns during the first wave of the pandemic. They further find that, during the first wave, stock returns of banks with higher ESG scores were more resilient to the pandemic. However, when they use the extended time period (from February 2020-April 2021), the influence of both COVID-19 and ESG scores becomes insignificant. The chapter's findings have important policy implications during unprecedented crisis times such as COVID-19.

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