The Impact of Exchange Rates and Interest Rates on Bank Stock Returns: Evidence from U.S. Banks
By: Verma Priti
References
- Akella, S. R. and S. J. Chen. (1990). Interest rate sensitivity of bank stock returns: Specification effects and structural changes., 13, 147-154.
- Bae, S. C. (1990). Interest rate changes and common stock returns of financial institutions: Revisited., 13, 71-79.
- Bae, K.H. and G. A. Karolyi. (1994). Good news, bad news and international spillovers of stock return volatility between Japan and the U.S., 2, 405-438.
- Berndt, E. K., B. H. Hall, R. E. Hall, and J. A. Hausman. (1974). Estimation and inference in nonlinear structural models., 3, 653-665.
- Bollerslev, T. (1990). Modeling the coherence in short run nominal exchange rates: a multivariate generalized ARCH model., 72, 498-505.
- Bollerslev, T., R., Y. Chou, and K. F. Kroner. (1992) ARCH modeling in finance: a review of theory and empirical evidence., 52, 5-59.
- Bollerslev, T. and J. M. Woolridge. (1992). Quasi-Maximum Likelihood Estimation and inference in dynamic models with time-varying covariances., 11, 143-172.
- Booth, J. and D. T. Officer. (1985). Expectations, interest rates, and commercial bank stocks., 8, 51-58.
- Chance, D. M. and W. R. Lane. (1980). A re-examination of interest rate sensitivity in the common stocks of financial institutions., 3, 49-55.
- Cheung, Y. W. and L. K. Ng. (1992). Stock price dynamics and firm size: An empirical investigation., 47, 1985-1997.
- Choi, J. J., E. Elyasiani, and K. Kopecky. (1992). The sensitivity of bank stock returns to market, interest, and exchange rate risks., 16, 983-1004.
- Choudhry T. (1994), Interdependence of stock markets: evidence from the Asian NIE’s., 16, 629-680.
- DeGoeij, P. and W. Marquering. (2002). Asymmetric volatility within and between stock and bond markets. Working paper, Leuvena and Erasmus University Rotterdam.
- Elyasiani, E. and I. Mansur. (1998). Sensitivity of Bank Stock Returns Distribution to Changes in the Level of Volatility of Interest Rate: A GARCH-M Model., 22, 535-563.
- Elyasiani, E. and I. Mansur. (2004). Bank Stock Return Sensitivities to the Long-term and Short-term Interest Rates: A Multivariate GARCH Approach., 30, 32-55.
- Engle, R. and K. F. Kroner. (1995). Multivariate Simultaneous Generalized ARCH., 11, 122-150.
- Engle, R. and V. K. Ng. (1993) Measuring and Testing the Impact of news on volatility., 48, 1749-1778.
- Engle, R., V. K. Ng, and M. Rothschild. 1990). Asset pricing with a factor ARCH covariance structure: Empirical estimates for Treasury Bills., 45, 213-238.
- Eun, S. C. and S. Shim. (1989). The international transmission of stock markets movements., 24, 241-255.
- Flannery, M. J. (1981). Market Interest Rates and Commercial Bank Profitability: An Empirical Investigation.36, 1085-1100.
- Flannery, M. J. and C. M. James. (1984). The effect of interest rate changes on the common stock returns of financial institutions., 39, 1141-1153.
- Kane, E. J. and H. Unal. (1988). Change in market assessment of deposit institution riskiness., 2, 201-229.
- Kasman, S., Vardar, G., Tunc, G. (2011). The impact of interest rate and exchange rate volatility on banks’ stock returns and volatility: Evidence from Turkey., 28, 1328-1334.
- Koutmos, G. (1992). Asymmetric volatility and risk return tradeoff in foreign stock markets.2, 27-43.
- Koutmos, G., and G. G. Booth. (1995). Asymmetric volatility transmission in international stock markets., 14, 747-762.
- Koutmos, G. (1996). Modeling the dynamic interdependence of major European stock markets., 23, 975-88.
- Kroner, K. E. and V. K. Ng. (1998). Modeling asymmetric comovements of asset returns.1, 817-844.
- Kwan, S. H. (1991). Reexamination of interest rate sensitivity of commercial bank stock returns using a random coefficient model., 5, 61–76.
- Lynge, M. J. and J. K. Zumwalt. (1980). An empirical study of the interest rate sensitivity of commercial bank returns: A multi-index approach., 15, 731-742.
- Lloyd, W. P. and R. A. Shick. (1977). A test of Stone’s two-index model of returns., 12, 363-376.
- Mansur, I. and E. Elyasiani. (1995). Sensitivity of Bank Equity Returns to the Level and Volatility of Interest Rates., 21, 58-77.
- Nelson, D. (1991). Conditional heteroscedasticity in asset returns: A new approach.59, 347-370.
- Ng, A. (2000). Volatility spillover effects from Japan and the US to the Pacific-basin.19, 207-233.
- Neuberger, J. A. (1993). Interest rate risk at US commercial banks. Federal Reserve Bank of San Francisco, Weekly Letters.
- Saunders, A. and P. Yourougou. (1990). Are Banks Special? The Separation of Banking form Commerce and Interest Rate Risk.171-182.
- Scott, W. L. and R. L. Peterson. (1986). Interest rate risk and equity values of hedged and unhedged financial intermediaries.9, 325-329.
- So, R. (2001). Price and volatility spillovers between interest rate and exchange rate value of the U.S. dollar.12, 95-107.
- Song, F. (1994). A two factor ARCH model for deposit-institution stock returns.”26, 323–340.
- Stone, B. K. (1974). Systematic interest rate risk in a two-index model of returns.9, 709–721.
- Tai, C-S. (2000). Time-Varying Market, Interest Rate, and Exchange Rate Risk Premia in the US Commercial Bank Stock Returns., 10, 397-420.
- Verma, P, Jackson, D. (2008). Interest rate and bank stock returns asymmetry: Evidence from U.S. banks., 32, 2, 105-118.
- Wetmore, J. L. and J. R. Brick. (1994) Commercial bank risk: Market, interest rate, and Foreign exchange., 17, 585-596.
- Yourougou, P. (1990). Interest Rate and the Pricing of Depository Financial Intermediary Common Stock: Empirical Evidence., 14, 803-820.
Language: English
Page range: 124 - 139
Published on: Jun 29, 2016
Published by: Lucian Blaga University of Sibiu
In partnership with: Paradigm Publishing Services
Keywords:
Related subjects:
© 2016 Verma Priti, published by Lucian Blaga University of Sibiu
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.