Open Access
Subscription Access
Open Access
Subscription Access
Interest Rate Sensitivity of Banking Sector Stock Returns
Subscribe/Renew Journal
Thecurrent study scrutinizes the influence of interest rate changes on the unpredictability of stock returns and type of association between interest rate movements and stock returns of banking sector in India by applying the methodology of GARCH (1, 1) model, Correlation test and Johansen's Cointegration Test. The study considers the period from April 2000 toMarch, 2018. 11 banks that are listed in the S and P BSE 500 index is taken as sample for the study. Returns of banking sector stocks in India are found to highly sensitive and volatile to interest rate changes. Results of the present study have a great importance for policy regulators and investment community at large.
Keywords
Volatility, Treasury Bill, Stock Returns, S and P BSE 500.
Subscription
Login to verify subscription
User
Font Size
Information
- Tran H.T (2013). Relationship between Interest Rate and Bank Common Stock Return: Evidence from the Top 10 United States Banks and Financial Sector Index.
- Latha, K., gupta, S., and Ghosh, R. (2016). Interest Rate Sensitivity of Stock Returns: A Case Study Of Textile Sector In India. Asian Journal of Multidisciplinary Studies, 4(4).
- Kasman, S., Vardar, G., and Gokce, T. (2011). The impact of interest rate and exchange rate volatility on bank's stock returns and volatility: Evidence from Turkey. Economic Modelling, 28, 1328-1334.
- Meng, X., and Deng, X. (2015). Interest rate and foreign exchange sensitivity of bank stock returns: Evidence from China.
- Beirne, J., Caporale, G. M., and Spagnolo, N. (2008). Interest and exchange rate risk and stock returns: A multivariate GARCH-M modelling approach.
- Drakos, K. (2001). Interest rate risk and bank common stock returns: Evidence from the Greek banking sector. Department of Economics: London Guildhall University.
- Priti, V. (2016). The Impact of Exchange Rates and Interest Rates on Bank Stock Returns: Evidence from US Banks. Studies in Business and Economics, 11(1), 124-139.
- Muktadir-al-Mukit, D. (2013). Effects of Interest Rate and Exchange Rate on Volatility of Market Index at Dhaka Stock Exchange. Journal of Business and Technology (Dhaka), 7(2), 1-18.
Abstract Views: 395
PDF Views: 0