Effects of derivatives usage and financial statement items on capital market risk measures of Bank stocks: evidence from India

Banerjee, Gaurango; Das, Abhiman; Jana, Kalidas; Shetty, Shekar

doi:10.1007/s12197-016-9366-6

Cited by 5 publications

(3 citation statements)

References 35 publications

(29 reference statements)

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“…Numerous studies have looked into how total assets affect banks' market capitalization in China and India. According to one study, the firm-specific risk component of Indian bank stocks is significantly impacted by the total assets volume (Gaurango et al, 2017). A study conducted in 2008 by Sweta and chhaochharia compared the capital markets of China and India.…”

Section: Total Assets and Firm Valuementioning

confidence: 99%

Beyond Size: How ESG Factors Shape Bank Value in India & China

Naidu,

Lakshmi,

Kasturi

et al. 2024

Migrat. Lett.

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Objective: This study examines the impact of ESG (environmental, social, and governance) factors on the market capitalization of banks in India and China. Specifically, it analyses the relationship between total assets, female board representation, social and environmental disclosures, and market capitalization. Methods: A comparative analysis of leading banks in India and China is conducted using 10 year (2013–2023) data using structural equation modelling (SEM) on market capitalization, total assets, ESG disclosures, and female board representation. Results: A positive and significant relationship is found between total assets and market capitalization in both India and China, indicating that investors value larger banks. In India, female board representation doesn't significantly impact market capitalization, while in China, a higher proportion may lead to lower market capitalization, requiring further research. A positive and significant relationship is found between social and environmental disclosures and market capitalization in both countries. However, the effect is stronger in India, indicating that Indian investors place greater value on banks with robust sustainability practices. Conclusions: This study highlights the growing importance of ESG factors in the banking sector, with varying degrees of emphasis depending on the country. While both Indian and Chinese investors value larger banks, Indian investors seem to place more weight on female board representation and social-environmental disclosures, while Chinese investors appear to prioritize other factors. Further research is needed to explore the underlying reasons for these differences and the complex interplay between various ESG factors and market performance.

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Section: Total Assets and Firm Valuementioning

confidence: 99%

Beyond Size: How ESG Factors Shape Bank Value in India & China

Naidu,

Lakshmi,

Kasturi

et al. 2024

Migrat. Lett.

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“…The results show the significance of these two variables as the main determinants for the interbank market risk premium. Banerjee et al (2016) examine the effects of derivatives usage on capital market risk measures in Indian banks over the period 1997-2005. The authors constructed the capital market risk measures by using 2-Index Model.…”

Section: Bank Market Riskmentioning

confidence: 99%

The effects of efficiency on banks’ market risk: Empirical evidence from China

Ab-Hamid

Janor

Abdul-Rahman

et al. 2021

AAMJAF

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This article investigates the effect of efficiencies on market risk using a sample of Chinese commercial banks from 2000 to 2015 using different measures of market risk; the Value at Risk (VaR) and Expected Shortfall (ES). The cost and profit efficiencies are estimated by the Stochastic Frontier Analysis (SFA) on the 12 biggest banks listed on the Shanghai Stock Exchange. In testing the effect between efficiency and market risk, this study applied four different models to uncover the relationship between VaR and ES as measures of market risk on cost and profit efficiencies. Utilising a panel data analysis, the results show that different banks efficiencies affect market risk measures differently. While bank cost efficiency reduces market risk, increase in profit efficiency increase market risk. The analysis in this study helps explain the unconvincing evidence of an inefficiencies-risk connection in the bank sector. Bank regulators and managers may need to focus on the cost and profit efficiencies-related initiatives to better manage the market risk. These findings provide bank managers with more understanding of bank risk and serve as an underpinning for bank supervision efforts aimed at strengthening the joint risk management of efficiency market risks.

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“…Inflation, in particular, has been shown to exert a mixed impact on bank profitability and stock returns, with studies revealing both negative and positive correlations over different time horizons [1][2][3][4][5][6]. The significance of interest rates is also well documented, with the ten-year bond yield rate influencing bank NIFTY returns and indicating that bank stocks' interest rate risk exposure is closely tied to their core capital-toasset ratio and interest spread [3,7]. Moreover, market volatility, as measured by the VIX Index, suggests a bidirectional relationship with bank stock prices, affecting overall market returns [8].…”

Section: Introductionmentioning

confidence: 99%

Effects of Inflation, Ten-Year Bond Yield Rate, and VIX Index on the Stock Prices of Banks Across All Three Market Capitalizations in India

Nagvekar,

Kamath,

Simha

et al. 2024

J. Comput. Mech. Manag

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This study investigates the impact of critical economic factors—namely, inflation, the 10-year bond yield rate, and the VIX index—on the stock prices of banks operating across different market capitalization segments in India. Through a comprehensive regression analysis framework, this research quantifies the relationships between these economic factors and bank stock prices while accounting for potential variances across large-cap, mid-cap, and small-cap banks. Utilizing data from the past five years, this analysis not only provides a nuanced understanding of how these macroeconomic indicators influence bank stock prices but also explores the specific effects on banks of varying market capitalizations. The findings reveal that small-cap companies are predominantly influenced by internal management decisions and capital allocation, whereas the consumer price index significantly predicts and reflects stock price behavior. Conversely, the bond yield rate and VIX index show minimal impact on stock prices. This study offers valuable insights for investors, policymakers, and financial institutions, aiding in the development of informed investment strategies and risk management practices.

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Effects of derivatives usage and financial statement items on capital market risk measures of Bank stocks: evidence from India

Cited by 5 publications

References 35 publications

Beyond Size: How ESG Factors Shape Bank Value in India & China

Beyond Size: How ESG Factors Shape Bank Value in India & China

The effects of efficiency on banks’ market risk: Empirical evidence from China

Effects of Inflation, Ten-Year Bond Yield Rate, and VIX Index on the Stock Prices of Banks Across All Three Market Capitalizations in India

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