Bank Foreign Assets, Government Support and International Spillover Effects of Sovereign Rating Events on Bank Stock Prices

2021 ◽  
pp. 106187
Author(s):  
Andrea Schertler ◽  
Nils Moch
Keyword(s):  
Stock Prices ◽  
Spillover Effects ◽  
Government Support ◽  
Bank Stock ◽  
Foreign Assets

scholarly journals The Effects from The U.S. and Japan to Emerging Stock Markets in Asia and Vietnam

2021 ◽  
Author(s):  
SDAG Lab
Keyword(s):  
Emerging Markets ◽  
Stock Prices ◽  
Stock Markets ◽  
Spillover Effect ◽  
Spillover Effects ◽  
The Philippines ◽  
Volatility Spillovers ◽  
Return Effect ◽  
Asian Emerging Markets ◽  
The U.S

The subprime mortgage crisis in the U.S. in mid-2008 suggests that stock prices volatility do spillover from one market to another after international stock markets downturn. The purpose of this paper is to examine the magnitude of return and volatility spillovers from developed markets (the U.S. and Japan) to eight emerging equity markets (India, China, Indonesia, Korea, Malaysia, the Philippines, Taiwan, Thailand) and Vietnam. Employing a mean and volatility spillover model that deals with the U.S. and Japan shocks and day effects as exogenous variables in ARMA(1,1), GARCH(1,1) for Asian emerging markets, the study finds some interesting findings. Firstly, the day effect is present on six out of nine studied markets, except for the Indian, Taiwanese and Philippine. Secondly, the results of return spillover confirm significant spillover effects across the markets with different magnitudes. Specifically, the U.S. exerts a stronger influence on the Malaysian, Philippine and Vietnamese market compared with Japan. In contrast, Japan has a higher spillover effect on the Chinese, Indian, Korea, and Thailand than the U.S. For the Indonesian market, the the return effect is equal. Finally, there is no evidence of a volatility effect of the U.S. and Japanese markets on the Asian emerging markets in this study.

scholarly journals From time series analysis to a modified ordinary differential equation

2018 ◽  
Vol 12 (2) ◽  
pp. 85-90
Author(s):  
Meiyu Xue ◽  
Choi-Hong Lai
Keyword(s):  
Differential Equation ◽  
Ordinary Differential Equation ◽  
Time Series ◽  
Time Series Analysis ◽  
Stock Prices ◽  
Time Frame ◽  
Equation Approach ◽  
Advantages And Disadvantages ◽  
Series Analysis ◽  
Bank Stock

In understanding Big Data, people are interested to obtain the trend and dynamics of a given set of temporal data, which in turn can be used to predict possible futures. This paper examines a time series analysis method and an ordinary differential equation approach in modeling the price movements of petroleum price and of three different bank stock prices over a time frame of three years. Computational tests consist of a range of data fitting models in order to understand the advantages and disadvantages of these two approaches. A modified ordinary differential equation model, with different forms of polynomials and periodic functions, is proposed. Numerical tests demonstrated the advantage of the modified ordinary differential equation approach. Computational properties of the modified ordinary differential equation are studied.

Asymmetric impact of exchange rate changes on stock returns: evidence of two de facto regimes

2019 ◽  
Vol 19 (2) ◽  
pp. 147-173
Author(s):  
Walid M.A. Ahmed
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Prices ◽  
Spillover Effects ◽  
Content Type ◽  
Currency Depreciation ◽  
Long Run ◽  
Exchange Rate Changes

Purpose This study focuses on Egypt’s recent experience with exchange rate policies, examining the existence of spillover effects of exchange rate variations on stock prices across two different de facto regimes and whether these effects, if any, are asymmetric. Design/methodology/approach The empirical analysis is carried out using a nonlinear autoregressive distributed lag modeling framework, which permits testing for the presence of short- and long-run asymmetries. Relevant local and global factors are also included in the analysis as control variables. The authors divide the entire sample into a soft peg period and a free float one. Findings Over the soft peg regime period, both positive and negative changes in EGP/USD exchange rates seem to have a significant impact on stock returns, whether in the short or long run. Short-term asymmetric effects vanish in the free float period, while long-term asymmetries continue to exist. By and large, the authors find that currency depreciation tends to exercise a stronger influence on stock returns than does currency appreciation. Practical implications The results offer important insights for investors, regulators and policymakers. With the domestic currency depreciation having a negative impact on stock prices, investors should contemplate implementing appropriate currency hedging strategies to abate depreciation risks and, hence, preserve their expected rate of return on the Egyptian pound-denominated investments. In the current post-flotation era, the government could pursue a flexible inflation targeting monetary policy framework, with a view to both lowering the soaring inflation toward an announced target rate and stabilizing economic growth. The Central Bank of Egypt (CBE) could adopt indirect monetary policy instruments to secure tightened liquidity conditions. Besides, the CBE could raise policy rates to incentivize people to keep their money in local currency-denominated instruments, instead of dollarizing their savings, thereby relieving banks of foreign currency demand pressures. Nevertheless, while being beneficial to the country’s real economy on several aspects, such contractionary monetary measures may temporarily impinge on stock market performance. Accordingly, policymakers should consider precautionary measures that reduce the potential for price distortions and unnecessary volatility in the stock market. Originality/value To the best of the authors’ knowledge, the current study represents the first attempt to explore the potential impact of exchange rate changes under different regimes on Egypt’s stock market, thus contributing to the relevant research in this area.

The reaction of bank stock prices to news of derivatives losses by corporate clients

1999 ◽  
Vol 23 (12) ◽  
pp. 1725-1743 ◽  
Author(s):  
Joseph F. Sinkey, Jr ◽  
David A. Carter
Keyword(s):  
Stock Prices ◽  
Bank Stock ◽  
Corporate Clients

scholarly journals FUNDAMENTALS OF INTEGRATED COMMERCIAL BANK IN MACROECONOMIC AND SHARIA PERSPECTIVE IN INDONESIA

2018 ◽  
Vol 3 (2) ◽  
pp. 349-387
Author(s):  
Kumara Jati ◽  
Aziza Rahmaniar Salam
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Commercial Bank ◽  
Stock Prices ◽  
Stock Price ◽  
Vector Autoregression ◽  
Share Price ◽  
Fasting Period ◽  
Goods And Services ◽  
Bank Stock

This research analyses the fundamentals of integrated commercial bank in macroeconomic and sharia perspective in Indonesia. Based on the calculation of Vector Autoregression (VAR), the impact of macroeconomic variables (Jakarta Stock Islamic Index / JKSII, Indonesian Stock Price Composite Index / JKSE, Crude Oil Price, and Exchange Rate)  on stock prices of commercial banks vary. These shocks indicate an indirect price transmission through exchange rate channels and economic growth. From the Structrural Time Series Model (STSM), JKSII, JKSE, and commercial bank share price prediction will generally increase at the end of 2017 and 2018. This will generate hope and benefit for policy maker and business actors in the banking, finance and sharia sectors. In general, the ARMA-ARCH/GARCH model with dummy variables found negative impact of “Fasting Period and Eid Al-Fitr” on return of JKSII, JKSE, and commercial bank stock price. This indicates a cycle of stock price decline that occurs when consumers spend more money to purchase goods and services. However, this cycle of stock price declines is only temporary because the recovery of the world economy and the increase in demand for goods and services in the future can be a pull factor for stock prices (demand factor). Policy makers and stakeholders related to the financial system, banking and capital markets, especially the sharia sector need to see the movement of conventional bank stocks and “Fasting Period and Eid Al-Fitr” as they move in the opposite direction for a certain period.   Keywords: Stock Price of Commercial Bank, Macroeconomic and Sharia Perspective, Vector Autoregression (VAR), Structural Time-Series Models (STSM), ARMA-ARCH/GARCH   JEL Classification Codes: F31, F47, G15, G21

scholarly journals The effects from the United States and Japan to emerging stock markets in Asia and Vietnam

2020 ◽  
Author(s):  
AISDL
Keyword(s):  
United States ◽  
Emerging Markets ◽  
Stock Prices ◽  
Stock Markets ◽  
Spillover Effect ◽  
Spillover Effects ◽  
The United States ◽  
The Philippines ◽  
Asian Emerging Markets ◽  
The U.S

The subprime mortgage crisis in the United States (U.S.) in mid-2008 suggests that stock prices volatility do spillover from one market to another after international stock markets downturn. The purpose of this paper is to examine the magnitude of return and volatility spillovers from developed markets (the U.S. and Japan) to eight emerging equity markets (India, China, Indonesia, Korea, Malaysia, the Philippines, Taiwan, Thailand) and Vietnam. Employing a mean and volatility spillover model that deals with the U.S. and Japan shocks and day effects as exogenous variables in ARMA(1,1), GARCH(1,1) for Asian emerging markets, the study finds some interesting findings. Firstly, the day effect is present on six out of nine studied markets, except for the Indian, Taiwanese and Philippine. Secondly, the results of return spillover confirm significant spillover effects across the markets with different magnitudes. Specifically, the U.S. exerts a stronger influence on the Malaysian, Philippine and Vietnamese market compared with Japan. In contrast, Japan has a higher spillover effect on the Chinese, Indian, Korea, and Thailand than the U.S. For the Indonesian market, the return effect is equal. Finally, there is no evidence of a volatility effect of the U.S. and Japanese markets on the Asian emerging markets in this study.

scholarly journals What Influences Bank Stock Prices in Times of Crisis? An International Survey

2017 ◽  
Vol 9 (6) ◽  
pp. 1
Author(s):  
Elisabetta D’Apolito ◽  
Vincenzo Pacelli
Keyword(s):  
Stock Prices ◽  
Weighted Least Squares ◽  
Balance Sheet ◽  
Multiple Regression Model ◽  
Policy Implications ◽  
Capital Ratios ◽  
Bank Stock ◽  
Market Turbulence ◽  
European Banks ◽  
Asset Quality

The paper assesses whether the European banks’ stock prices are predicted or affected by changes in balance-sheet indicators and macroeconomic variables. The sample covers the time period from January 2007 to December 2013. Estimates use the multiple regression model based on the weighted least squares (WLS) estimator. Results show that the stock prices of European banks are positively related to asset quality, liquidity and banks’ capital ratios. However, in the same period, inflation rate and public debt exert a negative and significant effect on bank stock prices. Our findings are more significant in times of high market turbulence as have been experienced for almost a decade. These have provoked the investors’ perceptions to be more unstable and volatile. The availability of information remains limited and poor. Therefore, it is necessary to emphasize that identifying the causal determinants of stock prices in the markets could generate important practical and policy implications because of the role played by banks in financing the economic system, and will also attract investors (Note 1).

scholarly journals Do government appropriations and tax policies impact donations to public research universities in Japan and the USA?

2020 ◽  
Author(s):  
Fumitake Fukui
Keyword(s):  
Higher Education ◽  
Stock Prices ◽  
Research Universities ◽  
Positive Impact ◽  
Government Support ◽  
Tax Policies ◽  
Public Research ◽  
Donor Behavior ◽  
Public Research Universities ◽  
The Impact

Abstract As constraints on government funding to public universities become a trend in higher education internationally, clarifying the impact of government policies on donor behavior from a comparative perspective is an issue of higher education research. This paper aims to explore the impact of government appropriations and tax policies on macro trends in donations to public research universities in Japan and USA. Panel data of donation revenue to public research universities in both countries is used to answer the following two research questions: (1) whether the trends in capital markets affect the donation revenue of public research universities operating under different tax systems in Japan and USA, and (2) how the level of government support to higher education affects donations to American and Japanese public research universities. The primary finding is that stock prices are positively associated with donations in USA; however, there is no evidence that stock prices have a positive impact on donations to Japanese public research universities. These contrasting results imply that higher stock prices do not always induce donations to universities and that it is important to consider each country’s tax structure when looking for possible links between stock prices and donations to universities. Also, donor behavior is independent of the amount of government appropriations received by universities in both Japan and USA; therefore, the recent decreasing trends in government appropriations in both countries do not necessarily attract donors.

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