18新利网址国际会计,金融与管理科学学术研究杂志

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ISSN:2225-8329

银行股票的敏感性回报市场,兴趣和汇率的变化:来自马来西亚的证据

Mohamad Azwan Md Isa,Norashikin Ismail,Ruziah A Latif,Syamsyul Samsudin
  1. 第256-270页
  2. 收到:2020年12月20日
  3. 修订:2021年1月23日
  4. 在线发布:2021年2月28日

http://dx.doi.org/10.6007/ijarafms/v11-i1/8830.

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本文旨在调查由于利率变化,汇率和市场回报的影响因对银行股票回报的影响。本研究还旨在审查过去的股票回报的波动性是否对当今股票回报的波动性产生了任何影响。原始数据从几个来源拍摄,例如eikon Datastream和马来西亚中央银行网站。We test on seven (7) main Malaysian banks’ stocks and the Finance Index as a proxy for the bank portfolio, which are listed on the Bursa Malaysia covering daily data from January 2015 to December 2019. We begin with the descriptive statistics analysis and further, we employ Ordinary Least Squares (OLS) estimation to examine the impacts of changes in the economic variables on the bank stocks and portfolio returns. Then, we apply the Generalized Autoregressive Conditional Heteroscedasticity (GARCH 1,1) estimation to determine the relationship between the volatility of stock returns in the past with the volatility of the current. The market return has positive impacts on the portfolio and individual banks stock returns. The portfolio and banks stock returns are found to be more sensitive towards the changes in the market return than the changes in the foreign exchange and interest rates. The GARCH estimation shows the existence of time-varying conditional volatility of the bank stock returns. In addition, there is a prolonged existence of volatility shocks and the volatility reaction decomposes at a moderate pace. The GARCH parameter is significantly larger than the ARCH parameter that proves the volatility of bank stock returns is more sensitive to its own lagged values than to the new shocks. The findings have policy implications either at the banks’ management level and policy makers. The stock market investors and academic researchers will also benefit from this study.

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