کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
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5055668 | 1371496 | 2011 | 7 صفحه PDF | دانلود رایگان |
This paper investigates the effects of interest rate and foreign exchange rate changes on Turkish banks' stock returns using the OLS and GARCH estimation models. The results suggest that interest rate and exchange rate changes have a negative and significant impact on the conditional bank stock return. Also, bank stock return sensitivities are found to be stronger for market return than interest rates and exchange rates, implying that market return plays an important role in determining the dynamics of conditional return of bank stocks. The results further indicate that interest rate and exchange rate volatility are the major determinants of the conditional bank stock return volatility.
Research Highlights⺠We investigate the effects of interest and exchange rates changes on banks' stock returns. ⺠We found that interest and exchange rates changes have negative effect on stock return. ⺠The major determinants of stock return volatility are interest and exchange rates volatility.
Journal: Economic Modelling - Volume 28, Issue 3, May 2011, Pages 1328-1334