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Interest Rate Sensitivity Of Bank Stock Returns: Specification Effects And Structural Changes

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Cited by:

  1. Susan Ryan & Andrew C. Worthington, 2002. "Time-Varying Market, Interest Rate and Exchange Rate Risk in Australian Bank Portfolio Stock Returns: A Garch-M Approach," School of Economics and Finance Discussion Papers and Working Papers Series 112, School of Economics and Finance, Queensland University of Technology.
  2. Elyasiani, Elyas & Mansur, Iqbal & Pagano, Michael S., 2007. "Convergence and risk-return linkages across financial service firms," Journal of Banking & Finance, Elsevier, vol. 31(4), pages 1167-1190, April.
  3. Liu, De-Chih & Liu, Chih-Yun, 2016. "The source of stock return fluctuation in Taiwan," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 77-88.
  4. Faff, R. W. & Howard, P. F., 1999. "Interest rate risk of Australian financial sector companies in a period of regulatory change," Pacific-Basin Finance Journal, Elsevier, vol. 7(1), pages 83-101, February.
  5. V. Alaganar & Ramaprasad Bhar, 2003. "An international study of causality-in-variance: Interest rate and financial sector returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 27(1), pages 39-55, March.
  6. Duane Graddy & Reuben Kyle & Thomas Strickland & David Bass, 2004. "Dating structural changes: An illustration from financial deregulation," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 28(2), pages 155-163, June.
  7. Kiran Batool, 2021. "Impact of Interest Rates on Stock Index: Case of Pakistan Stock Exchange," International Journal of Business and Economic Affairs (IJBEA), Sana N. Maswadeh, vol. 6(1), pages 1-12.
  8. Brailsford, T.J. & Lin, Shu Ling & Penm, Jack H.W., 2006. "Conditional risk, return and contagion in the banking sector in asia," Research in International Business and Finance, Elsevier, vol. 20(3), pages 322-339, September.
  9. Papadamou, Stephanos & Siriopoulos, Costas, 2014. "Interest rate risk and the creation of the Monetary Policy Committee: Evidence from banks’ and life insurance companies’ stocks in the UK," Journal of Economics and Business, Elsevier, vol. 71(C), pages 45-67.
  10. Xiangnan Meng & Xin Deng, 2013. "Interest Rate and Foreign Exchange Sensitivity of Bank Stock Returns: Evidence from China," Multinational Finance Journal, Multinational Finance Journal, vol. 17(1-2), pages 77-106, March - J.
  11. Esposito, Lucia & Nobili, Andrea & Ropele, Tiziano, 2015. "The management of interest rate risk during the crisis: Evidence from Italian banks," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 486-504.
  12. James Gilkeson & Sylvia Hudgins & Craig Ruff, 1997. "Testing the effectiveness of regulatory interest rate risk measurement," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 21(2), pages 27-37, June.
  13. Wided Ben Moussa, 2014. "Bank Stock Volatility And Contagion: An Empirical Investigation With Application Of Multivariate Garch Models," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 39(2), pages 1-24, June.
  14. Akhtaruzzaman, Md & Shamsuddin, Abul & Easton, Steve, 2014. "Dynamic correlation analysis of spill-over effects of interest rate risk and return on Australian and US financial firms," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 378-396.
  15. Elyasiani, Elyas & Mansur, Iqbal, 1998. "Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model," Journal of Banking & Finance, Elsevier, vol. 22(5), pages 535-563, May.
  16. Theodor Kohers & Robert Nagy, 1991. "An Examination Of The Interest Rate Sensitivity Of Commercial Bank Stock," Review of Financial Economics, John Wiley & Sons, vol. 1(1), pages 23-34, September.
  17. Bradley T. Ewing & James E. Payne & Shawn M. Forbes, 1998. "Co-Movements Of The Prime Rate, Cd Rate, And The S&P Financial Stock Index," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(4), pages 469-482, December.
  18. Robert W. Faff & Allan Hodgson & Michael L. Kremmer, 2005. "An Investigation of the Impact of Interest Rates and Interest Rate Volatility on Australian Financial Sector Stock Return Distributions," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(5‐6), pages 1001-1031, June.
  19. Sweeney, Mary Elizabeth, 1998. "Interest rate hedging and equity duration: Australian evidence," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 277-298.
  20. Elyas Elyasiani & Iqbal Mansur & Jill Wetmore, 2010. "Real-Estate Risk Effects on Financial Institutions’ Stock Return Distribution: a Bivariate GARCH Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 40(1), pages 89-107, January.
  21. Onur Şeyranlıoğlu & Çağlar Sözen & Ferhat İspiroğlu, 2024. "Interaction Between Stock Exchange And Interest Rate in Turkey: A Hidden Cointegration and Asymmetric Causality Analysis," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul Journal of Economics-Istanbul Iktisat Dergisi, vol. 0(40), pages 22-34, June.
  22. Sotiris K. Staikouras, 2006. "Financial Intermediaries and Interest Rate Risk: II," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 15(5), pages 225-272, December.
  23. Benjamin Esty & Bhanu Narasimhan & Peter Tufano, 1996. "Interest Rate Exposure and Bank Mergers: A Preliminary Empirical Analysis," Center for Financial Institutions Working Papers 96-45, Wharton School Center for Financial Institutions, University of Pennsylvania.
  24. Francesco Vallascas & Kevin Keasey, 2013. "The Volatility of European Banking Systems: A Two-Decade Study," Journal of Financial Services Research, Springer;Western Finance Association, vol. 43(1), pages 37-68, February.
  25. Mai, Nhat Chi, 2016. "The Influence Of Macroeconomic Announcements Into Vietnamese Stock Market Volatility," OSF Preprints ydmhx, Center for Open Science.
  26. PRITI Verma, 2016. "The Impact Of Exchange Rates And Interest Rates On Bank Stock Returns: Evidence From U.S. Banks," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 11(1), pages 124-139, April.
  27. Guangxi Cao, 2012. "Time-Varying Effects of Changes in the Interest Rate and the RMB Exchange Rate on the Stock Market of China: Evidence from the Long-Memory TVP-VAR Model," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(0), pages 230-248, July.
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