The Sensitivity of Bank Stock Returns to Market, Interest and Exchange Rate Risks

Journal of Banking and Finance 16 (1992) 983-1004.

22 Pages Posted: 18 Jun 2014

See all articles by Jongmoo Jay Choi

Jongmoo Jay Choi

Temple University; National Bureau of Economic Research (NBER); Temple University - International Business

Elyas Elyasiani

Temple University - Department of Finance

Kenneth J. Kopecky

Temple University - Department of Finance

Date Written: June 1991

Abstract

This paper presents and estimates a multifactor model of bank stock returns that incorporates market return, interest rate and exchange rate risk factors. A model of the optimizing behavior of an international banking tirm is used to derive the sensitivity coefficients of the alternative factors. Regression equations are estimated that are based on either actual or unexpected values of the underlying factors with a post-October 1979 time dummy variable and with a money-center bank dummy variable. Standard results are obtained for the market and interest rate variables while new results are derived for the exchange rate variable. The specific effects of the latter variable are found to be dependent on the time period of observation and the money-center status of banks.

Suggested Citation

Choi, Jongmoo Jay and Elyasiani, Elyas and Kopecky, Kenneth J., The Sensitivity of Bank Stock Returns to Market, Interest and Exchange Rate Risks (June 1991). Journal of Banking and Finance 16 (1992) 983-1004.. Available at SSRN: https://ssrn.com/abstract=2451139

Jongmoo Jay Choi

Temple University ( email )

Fox School of Business
Temple University
Philadelphia, PA 19122
United States
215-204-5084 (Phone)
215-204-1697 (Fax)

HOME PAGE: http://astro.temple.edu/~jjchoi

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Temple University - International Business ( email )

Philadelphia, PA 19122
United States

Elyas Elyasiani (Contact Author)

Temple University - Department of Finance ( email )

Fox School of Business and Management
Philadelphia, PA 19122
United States
215-204-5881 (Phone)
215-204-5698 (Fax)

Kenneth J. Kopecky

Temple University - Department of Finance ( email )

Fox School of Business and Management
329 Speakman Hall
Philadelphia, PA 19122
United States
(215) 204-8279 (Phone)

HOME PAGE: http://www.sbm.temple.edu/%7Ekkopecky/

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