ISSN: 2450-7733
eISSN: 2300-4096
OAI
DOI: 10.18276/sip.2016.46/1-19
Issue archive /
nr 46/1 2016
ANALIZA CZYNNIKÓW MAKROEKONOMICZNYCH ZMIAN CEN AKCJI BANKÓW W EUROPIE
(Analysis of factors macroeconomic changes in stock prices of banks in Europe)
| Authors: |
Patrycja
Chodnicka-Jaworska
Uniwersytet Warszawski Katarzyna Niewińska Uniwersytet Warszawski |
| Keywords: | banking sector rate of return stocks |
| Data publikacji całości: | 2016 |
| Page range: | 12 (247-258) |
| Klasyfikacja JEL: | G14 G15 G21 |
Abstract
The paper attempts to identify the determinants of macroeconomic banking stock return in Europe. The study assumed 182 banks listed on stock exchanges in 24 countries in Europe. As an independent variable was adopted quarterly logarithmic stock returns in 2004–15. Due to the nature of the data used in the static panel models, allowing to analyse the impact of change: GDP, inflation (CPI), industrial production and interest rates (short- and long-term) of the country and implied volatility index EURO STOXX 50 and a beta value of the bank stock. The analysis showed a significant effect of these variables. R squard of the model is 12%, which suggests that macroeconomic variables are key factors that may affect the stock market.
Download file
Article file
Bibliography
| 1. | Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9(1), 3–18. |
| 2. | Basu, S. (1983). The relationship between earnings yield, market value and return on NYSE common stock. Journal of Financial Economics, 12, 129 – 156. |
| 3. | Beccalli, E., Casu, B., Girardone, C. (2006). Efficiency and Stock Performance in European Banking. Journal of Business Finance & Accounting, 33(1–2), 245 – 262. |
| 4. | Bekaert, G., Grenadier, S.R. (2001). Stock and bond pricing in an affine economy. NBER Working Paper. |
| 5. | Bhandari, L.C. (1988). Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence Authors. Journal of Finance, 43(2), 507–528.Borio, C.E.V., Gambacorta, |
| 6. | L.Hofmann, B. (2015). The Influence of Monetary Policy on Bank Profitability. BIS Working Paper nr 514. |
| 7. | Campbell, J.Y. (1991). A variance decomposition for stock return. NBER Working Papers. |
| 8. | Castren, O., Fitzpatrick, T., Sydow, M. (2008). What Drives EU Banks’ Stock Returns? Bank-Level Evidence using the Dynamic Dividend-Discount Model. ECB Working Paper, 677. |
| 9. | Chamberlain, S., Howe, J., Popper, H. (1997). The exchange rate exposure of U.S. and Japanese banking institutions. Journal of Banking and Finance, 21, 871–892. |
| 10. | Chen, N., Roll, R., i Ross, S.A. (1986). Economic Forces and the Stock Market. The Journal of Business, nr. 59 (3), s. 383–403. |
| 11. | Choi, J. J., Elyasiani, E., Kopecky, K. J. (1992). The Sensitivity of Bank Stock Returns to Market, Interest and Exchange Rate Risks. Journal of Banking and Finance, 16, 983–1004. |
| 12. | Cooper, I.A., Davydenko, S.A. (2003). Using Yield Spreads to Estimate Expected Returns on Debt and Equity. London Business School IFA Working Paper; EFA 2003 Annual Conference Paper, 901. |
| 13. | Corradi, V., Distaso, W., Mele, A., (2012). Macroeconomic Determinants of Stock Market Returns, Volatility and Volatility Risk-Premia. Swiss Finance Institute Research Paper nr 12–18. |
| 14. | Cutler, D.M., Poterba, J.M., Summers, L.H. (1989). What Moves Stock Prices? The Journal of Portfolio Management, nr 15 (3), 4–12. |
| 15. | Das, S., Sy, A.N.R. (2012). How Risky are Banks’ Risk Weighted Assets? Evidence from the Financial Crisis. IMF Working Paper, WP/12/36. |
| 16. | Elyasiani, E., Mansur, I. (1998). Sensitivity of the Bank Stock Returns Distribution to Changes in the Level and Volatility of Interest Rate: A GARCH-M Model. Journal of Banking & Finance, 22, 535–563. |
| 17. | Elyasiani, E., Mansur, I., Pagano, M.S. (2006). Convergence and Risk-Return Linkages Across Financial Service Firms. Journal of Banking & Finance, 31, 1167–1190. |
| 18. | Engle, R.F., Ng, V.K. (1993). Measuring and Testing the Impact of News on Volatility. Journal of Finance, nr 48, 1749–1777. |
| 19. | Fama, E.F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance, nr 25 (2), 383–417. |
| 20. | Fama, E.F., French, K.R. (1992). The Cross-Section of Expected Stock Returns. Journal of Finance, 47(2), 427–465. |
| 21. | Fama, E.F., Schwert G.W. (1977). Asset returns and inflation. Journal of Financial Economics, nr 5, 115–146 |
| 22. | Flannery, M.J. (1981). Market Interest Rates and Commercial Bank Profitability: An Empirical Investigation. Journal of Finance, 36(5), 1085 – 1101. |
| 23. | Flannery, M.J., James, C.M. (1984). The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions. Journal of Finance, 39(4), 1141–1153. |
| 24. | Flannery, M.J., Protopapadakis, A.A. (1997). Macroeconomic Factors Do Influence Aggregate Stock Returns. Review of Financial Studies, 15(3), 751–782. |
| 25. | Geetha, C., Mohidin, R., Chandran, V., Chong, V. (2011). The Relationship Between Inflation And Stock Market: Evidence From Malaysia, United States And China. International Journal of Economics and Management Sciences, nr 1 (2), 1–16. |
| 26. | Hartmann, P., Straetmans, S., De Vries, C. (2005). Banking System Stability. A Cross-Atlantic Perspective,Working Paper Series nr 527. |
| 27. | Ioannidis, C., Molyneux, P., Pasioura, F. (2008). The relationship between bank efficiency and stock returns: evidence from Asia and Latin America. University of Bath School of Management, Working Paper Series. |
| 28. | Jajuga, T., Jajuga, K. (2006). Inwestycje. Instrumenty finansowe, aktywa niefinansowe, ryzyko finansowe, inżynieria finansowa. Warszawa: Wydawnictwo Naukowe PWN. |
| 29. | Kato, R., Kobayashi, S., Saita, Y. (2010). Calibrating the Level of Capital: The Way We See It. Bank of Japan Working Paper Series, Review Series, and Research Laboratory Series. |
| 30. | Kaul, G. (1987). Stock Returns and Inflation: The Role of Monetary Sector. Journal of Financial Economics, 18(2), 253–276. |
| 31. | Lajeri, F., Dermine, J. (1999). Unexpected inflation and bank stock returns: The case of France 1977-1991. Journal of Banking & Finance, 23(6), 939–953. |
| 32. | Mauro, P. (2000). Stock Returns and Output Growth in Emerging and Advanced Economies. Working Paper IMF. |
| 33. | Saunders, A., Yourougou, P. (1990). Are banks special? The separation of banking from commerce and interest rate risk. Journal of Economics and Business, 42(2), 171–182. |
| 34. | Wu, G., Xiao, Z. (1999). A Generalized Partially Linear Model of Asymmetric Volatility. Working Paper University of Michigan. |
| 35. | Zakoian, J. M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, nr 18,931–955. |