Innovations in Interest Rates, Duration Transformation, and Bank Stock Returns

Real-Estate Risk Effects on Financial Institutions’ Stock Return Distribution: a Bivariate GARCH Analysis

“…3 The general consensus is that commercial bank stock returns are negatively related to changes in interest rates and the sensitivity to the long-term rate, though small, is stronger than to the short-term rate. Bae (1990), Yourougou (1990, Akella and Chen (1990), Kane and Unal (1988), Kwan (1991) and Akella and Greenbaum (1992) provide additional evidence reinforcing this conclusion. Song (1994), and Elyasiani and Mansur (1998, 2003, reach similar conclusions using ARCH and GARCH methodologies.…”

Interest rate risk of German financial institutions: the impact of level, slope, and curvature of the term structure

“…In terms of variance explained and also with respect to the significance of the estimated coefficients, their results are very similar for both alternatives. 6 In the present context, similar specifications of the market factor have also been used by, e.g., Akella and Greenbaum (1992) and Fraser et al (2002). Moreover, the use of a residual market factor is also common in APT studies employing observable macroeconomic factors in an attempt to capture only those systematic influences which are not already accounted for by the macroeconomic variables, see, e.g., McElroy and Burmeister (1988) and Chang (1991).…”

What Influences Bank Stock Prices in Times of Crisis? An International Survey

“…From a macro-economic perspective, the goal of empirical research is to analyze market variables, such as the evolution of the economic situation, the inflation trend, the change preferences and investor confidence (Akella & Greenbaum, 1992;Lajeri & Dermine, 1999;Durai & Bhaduri, 2009). A macro-economic variable to be monitored, one which can produce a significant impact on the trend of stock prices, is the growth of GDP, which measures the value of final goods and services produced or provided in a particular country within a period of time (Beck & Ross, 2004;Duca, 2007).…”