An Interest Rate Sensitivity Analysis of the Listed Bank Stock Returns: A Two Index Model Approach
碩士 === 淡江大學 === 管理科學研究所 === 83 === Banks are financial internmediate institutions in the Busi- ness of earning profits which is generated by borrowing funds from those who have saved and, in turn , making loans to others. So , the innovation of int...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
1995
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| Online Access: | http://ndltd.ncl.edu.tw/handle/41280828081615116136 |
| Summary: | 碩士 === 淡江大學 === 管理科學研究所 === 83 === Banks are financial internmediate institutions in the Busi-
ness of earning profits which is generated by borrowing
funds from those who have saved and, in turn , making loans to
others. So , the innovation of interest rate not only
influences the capital structure but also the relative revenue
and cost. Using a two index model, quarterly bank stock returns
are sensitive to anticipated 30 days commercial paper
interest rate returns for the entire sample period and the
coefficient are significantly different from zero at the 10
percent level . By examining vari- ous interest rate
snsitivities of stock returns of listed banks, this paper
improves on previous researches by incoporating diff- erent
stages of the business cycle. Parameters estimate for each of
the four subperiods were obtained for each of the 10 banks.
The result indicates that the relationship between bank
stock returns and stock market and interest rate risks may not
necess- arily be constant for a particular bank over the
business cycle. Four of these banks'''' cross-sectional
variations in the innovat- ion sensitivity may be explained
by the relative speeds which revenues and costs adjust to 180
days commercial paper interest rate innovations but all of
them may not be explained by the re- lative speeds which adjust
to 30 days commercial paper interest rate innovations.
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