Bank Stock Return Sensitivity to Interest Rate Changes in Thailand

7 Pages Posted: 15 Jan 2015

See all articles by Sirikarn Jeanchutima

Sirikarn Jeanchutima

Assumption University

Nopphon Tangjitprom

Thammasat University - College of Innovation

Date Written: January 15, 2015

Abstract

Many studies were trying to explain the changes of stock returns by finding the factors impact on a certain market, industry, or stock. Focusing on the financial institution especially commercial bank, there are some research proved that interest rate is one of the crucial factor impact the commercial bank stock returns. Interest rate is the cost and return of money in financial market since commercial bank acts as major financial intermediary; therefore, interest rate is still the majority of its cost and return. In Thai stock market shows different result, the changing in interest rate reflects slightly on the change in stock returns. After taking a close look, the conclusion can be drawn from outcomes the bigger size of the bank experience the larger effect. Thus, bank size is not a real moderator affect the relationship, the trading volume of the bank is the real relevant factor. Consequently, the theory can be hold only if the market participants trade all bank stock equally.

Keywords: Bank Stock Returns, Interest Rate Changes, GARCH, Thailand

Suggested Citation

Jeanchutima, Sirikarn and Tangjitprom, Nopphon, Bank Stock Return Sensitivity to Interest Rate Changes in Thailand (January 15, 2015). XIV International Business and Economy Conference (IBEC) Bangkok, Thailand, January 5-8, 2015, Available at SSRN: https://ssrn.com/abstract=2550005 or http://dx.doi.org/10.2139/ssrn.2550005

Sirikarn Jeanchutima (Contact Author)

Assumption University ( email )

592/3 Ramkhamhaeng 24
Hua Mak
Bangkapi, Bangkok 10240
Thailand

Nopphon Tangjitprom

Thammasat University - College of Innovation ( email )

Bangkok, 10200
Thailand

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