An Interest Rate Sensitivity Analysis of the Listed Bank Stock Returns: A Two Index Model Approach

• Main Authors: Churn-Yarn Yeh, 葉純言
• Other Authors: Shin-Fu Tsay
• Format: Others
• Language: zh-TW
• Published: 1995
• Online Access: http://ndltd.ncl.edu.tw/handle/41280828081615116136

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.