Impacto do Risco de Mercado, Taxa de Juros, Taxa de Câmbio no Retorno de Ações Bancárias: Evidências dos Bancos listados do Paquistão
Palavras-chave:
Banking stock price, OLS, market risk, Exchange rate, interest rateResumo
O principal objetivo desta pesquisa é encontrar a relação entre risco de mercado, taxa de câmbio, taxa de juros e retornos de ações bancárias no Paquistão. O índice KSE-100 usado como risco de mercado, dólar norte-americano contra rupias de Pak usado como taxa de câmbio, taxa T de três meses usada como taxa de juros e retorno continuamente combinado usado como retorno de ações de bancos. Os dados de séries temporais de janeiro de 2007 a dezembro de 2018 são usados neste estudo. O método de mínimos quadrados ordinários (OLS) é usado para verificar a relação entre retorno de ações bancárias, risco de mercado, taxa de juros e taxa de câmbio. O resultado disso mostra que o risco de mercado é positivamente significativo, a taxa de câmbio raramente é negativamente significativa e a taxa de juros insignificante isenta de um banco. Quando os preços do mercado de ações estão aumentando, os preços das ações do banco também aumentam. Essas descobertas empíricas são úteis para o formulador de políticas, o investidor, o gerenciamento bancário e o governo.
Downloads
Não há dados estatísticos.
Referências
Abdullah, S., et al. (2017). "Modeling and forecasting exchange rate volatility in Bangladesh using GARCH models: a comparison based on normal and Student’s t-error distribution." Financial Innovation 3(1): 18.
Abiola, B. and A. J. Olusegun (2017). "Appraising the exchange rate volatility, stock market performance and aggregate output nexus in Nigeria." Stock Market Performance and Aggregate Output Nexus in Nigeria (March 30, 2017).
Adubi, A. A. and F. Okunmadewa (1999). "Price, exchange rate volatility and Nigeria's agricultural trade flows: A dynamic analysis."
Akel, G. (2014). Relationship Between Exchange Rates and Stock Prices in Transition Economies Evidence from Linear and Nonlinear Causality Tests. Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences.
Ali, I., et al. (2010). "Causal relationship between macro-economic indicators and stock exchange prices in Pakistan." African Journal of Business Management 4(3): 312-319.
Bartram, S. M., et al. (2010). "Resolving the exposure puzzle: The many facets of exchange rate exposure." Journal of Financial Economics 95(2): 148-173.
Bekaert, G. and C. R. Harvey (2000). "Foreign speculators and emerging equity markets." The journal of finance 55(2): 565-613.
Chu, H.-P. and T. Chang (2012). "Nuclear energy consumption, oil consumption and economic growth in G-6 countries: Bootstrap panel causality test." Energy Policy 48: 762-769.
Chuku, E., et al. (2008). "Comparative Studies on the Fungi and Bio-Chemical Characteristics of Snake Gaurd (Trichosanthes curcumerina linn) and Tomato (Lycopersicon esculentus mill) in Rivers state, Nigeria." Journal of Applied Sciences 8(1): 168-172.
Cooper, H., et al. (2006). "Does homework improve academic achievement? A synthesis of research, 1987–2003." Review of educational research 76(1): 1-62.
Cushman, D. O. (2007). "A portfolio balance approach to the Canadian–US exchange rate." Review of Financial Economics 16(3): 305-320.
Elyasiani, E. and I. Mansur (2005). "The association between market and exchange rate risks and accounting variables: A GARCH model of the Japanese banking institutions." Review of Quantitative Finance and Accounting 25(2): 183-206.
Elyasiani, E., et al. (2007). "Convergence and risk-return linkages across financial service firms." Journal of Banking & Finance 31(4): 1167-1190.
Kallunki, J.-P. and T. Martikainen (1997). "The covariance-factor structure of daily returns in a thinly traded stock market." Journal of Multinational Financial Management 7(2): 113-125.
Kasman, S., et al. (2011). "The impact of interest rate and exchange rate volatility on banks' stock returns and volatility: Evidence from Turkey." Economic Modelling 28(3): 1328-1334.
Mohsin, M., et al. (2018). "Impact Of Inflation Rate And Exchange Rate On Gdp: Evidence From Pakistan." American Journal Of Research: 25-30.
Naseem, S., et al. (2019). "Impact of Inflation on the Pakistan Stock Exchange." International Journal of Research 6(2): 82-86.
Naseem, S., et al. (2018). "Volatility of pakistan stock market: A comparison of Garch type models with five distribution." Amazonia Investiga 7(17): 486-504.
Wetmore, J. L. and J. R. Brick (1994). "Commercial bank risk: market, interest rate, and foreign exchange." Journal of Financial Research 17(4): 585-596.
Wetmore, J. L. and J. R. Brick (1994). "Loan-loss provisions of commercial banks and adequate disclosure: A note." Journal of Economics and Business 46(4): 299-305.
Yunos, Z. M., et al. (2008). Data modeling for kuala lumpur composite index with anfis. 2008 Second Asia International Conference on Modelling & Simulation (AMS), IEEE.
Abiola, B. and A. J. Olusegun (2017). "Appraising the exchange rate volatility, stock market performance and aggregate output nexus in Nigeria." Stock Market Performance and Aggregate Output Nexus in Nigeria (March 30, 2017).
Adubi, A. A. and F. Okunmadewa (1999). "Price, exchange rate volatility and Nigeria's agricultural trade flows: A dynamic analysis."
Akel, G. (2014). Relationship Between Exchange Rates and Stock Prices in Transition Economies Evidence from Linear and Nonlinear Causality Tests. Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences.
Ali, I., et al. (2010). "Causal relationship between macro-economic indicators and stock exchange prices in Pakistan." African Journal of Business Management 4(3): 312-319.
Bartram, S. M., et al. (2010). "Resolving the exposure puzzle: The many facets of exchange rate exposure." Journal of Financial Economics 95(2): 148-173.
Bekaert, G. and C. R. Harvey (2000). "Foreign speculators and emerging equity markets." The journal of finance 55(2): 565-613.
Chu, H.-P. and T. Chang (2012). "Nuclear energy consumption, oil consumption and economic growth in G-6 countries: Bootstrap panel causality test." Energy Policy 48: 762-769.
Chuku, E., et al. (2008). "Comparative Studies on the Fungi and Bio-Chemical Characteristics of Snake Gaurd (Trichosanthes curcumerina linn) and Tomato (Lycopersicon esculentus mill) in Rivers state, Nigeria." Journal of Applied Sciences 8(1): 168-172.
Cooper, H., et al. (2006). "Does homework improve academic achievement? A synthesis of research, 1987–2003." Review of educational research 76(1): 1-62.
Cushman, D. O. (2007). "A portfolio balance approach to the Canadian–US exchange rate." Review of Financial Economics 16(3): 305-320.
Elyasiani, E. and I. Mansur (2005). "The association between market and exchange rate risks and accounting variables: A GARCH model of the Japanese banking institutions." Review of Quantitative Finance and Accounting 25(2): 183-206.
Elyasiani, E., et al. (2007). "Convergence and risk-return linkages across financial service firms." Journal of Banking & Finance 31(4): 1167-1190.
Kallunki, J.-P. and T. Martikainen (1997). "The covariance-factor structure of daily returns in a thinly traded stock market." Journal of Multinational Financial Management 7(2): 113-125.
Kasman, S., et al. (2011). "The impact of interest rate and exchange rate volatility on banks' stock returns and volatility: Evidence from Turkey." Economic Modelling 28(3): 1328-1334.
Mohsin, M., et al. (2018). "Impact Of Inflation Rate And Exchange Rate On Gdp: Evidence From Pakistan." American Journal Of Research: 25-30.
Naseem, S., et al. (2019). "Impact of Inflation on the Pakistan Stock Exchange." International Journal of Research 6(2): 82-86.
Naseem, S., et al. (2018). "Volatility of pakistan stock market: A comparison of Garch type models with five distribution." Amazonia Investiga 7(17): 486-504.
Wetmore, J. L. and J. R. Brick (1994). "Commercial bank risk: market, interest rate, and foreign exchange." Journal of Financial Research 17(4): 585-596.
Wetmore, J. L. and J. R. Brick (1994). "Loan-loss provisions of commercial banks and adequate disclosure: A note." Journal of Economics and Business 46(4): 299-305.
Yunos, Z. M., et al. (2008). Data modeling for kuala lumpur composite index with anfis. 2008 Second Asia International Conference on Modelling & Simulation (AMS), IEEE.
Downloads
Publicado
2019-08-31
Como Citar
Rafiq, M. Z., Jun, J. C., Naseem, S., & Mohsin, M. (2019). Impacto do Risco de Mercado, Taxa de Juros, Taxa de Câmbio no Retorno de Ações Bancárias: Evidências dos Bancos listados do Paquistão. Amazonia Investiga, 8(21), 667–673. Recuperado de https://amazoniainvestiga.info/index.php/amazonia/article/view/155
Edição
Seção
Articles
.gif)
