The effect of market returns, interest rates, and exchange rates on the stock returns of Japanese horizontal keiretsu financial firms

2001 ◽  
Vol 11 (2) ◽  
pp. 165-182 ◽  
Author(s):  
Timothy W Koch ◽  
Andrew Saporoschenko
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Stock Returns ◽  
Market Returns ◽  
Financial Firms

scholarly journals The volatility of bank stock prices and macroeconomic fundamentals in the Pakistani context: an application of GARCH and EGARCH models

2020 ◽  
Vol 11 (4) ◽  
pp. 609-636
Author(s):  
Muhammad Mohsin ◽  
Li Naiwen ◽  
Muhammad Zia-UR-Rehman ◽  
Sobia Naseem ◽  
Sajjad Ahmad Baig
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Stock Returns ◽  
Covariance Matrix ◽  
Stock Prices ◽  
Market Returns ◽  
Macroeconomic Fundamentals ◽  
Bank Stock Returns ◽  
Bank Stock ◽  
The Garch Model

Research Background: The banking sector plays a crucial role in the world?s economic development. This research paper evaluates the volatility spillover, symmetric, and asymmetric effects between the macroeconomic fundamentals, i.e., market risks, interest rates, exchange rates, and bank stock returns, for the listed banks of Pakistan. Purpose of the article: The main purpose of this study is to examine the volatility of Pakistani banking stock returns due to the influence of market risk, interest rates, and exchange rates. Pakistan is selected for the study because the volatility of its banking stock returns is strongly influential in achieving sustainable economic development. Methods: By applying the OLS with the Heteroskedasticity and Autocorrelation Consistent (HAC) covariance matrix, the GARCH (1, 2), and the EGARCH (1, 1), analysis is conducted for the period from January 1, 2009 to December 31, 2019 using samples of 13 listed banks. Findings & Value added: The ARCH parameter is significant in the OLS with the HAC covariance matrix estimation, which is a clear indication of the existence of heteroskedasticity in the squared residuals and the inaccuracy of the OLS with the HAC covariance matrix. The results of the OLS with the HAC covariance matrix suggest using the GARCH model family to accurately measure the volatility of bank stock prices. The results of the mean equation in the GARCH (1, 2) and EGARCH (1, 1) indicate the positive significance of market risk and the low significance of interest and exchange rates, confirming that market returns strongly affect the sensitivity of bank stock returns compared to interest and exchange rates. It should be noted that the ARCH (?) and GARCH (?) parameters of the variance equation fulfill the non-negative conditions of the GARCH model. Furthermore, the leverage parameter (?) is found to be positively significant for all banks, and volatility is found to be influenced by positive shocks compared to negative shocks. Conclusively, it can be stated that market returns determine the dynamics of the conditional returns of bank stocks. Nevertheless, the interest and exchange rate volatilities determine the conditional bank stock returns? volatility.

scholarly journals The Sensitivity of Central Bank Interest Rate on Commercial Banks’ Stock Market Returns in Kenya

2021 ◽  
Vol 7 (5) ◽  
pp. p72
Author(s):  
Micah Odhiambo Nyamita ◽  
Martine Ogola Dima
Keyword(s):  
Interest Rate ◽  
Central Bank ◽  
Interest Rates ◽  
Stock Returns ◽  
Commercial Banks ◽  
Secondary Data ◽  
Market Returns ◽  
Cross Sectional ◽  
Stock Market Returns ◽  
Panel Data Regression

Commercial banks occupy a significant position in the transmission of monetary policy through the financial market. Furthermore, commercial banks have assets and liabilities which are interest rate sensitive, and their stock returns are believed to be particularly responsive to changes in the central bank base lending rates. Therefore, this study investigated the sensitivity of central bank interest rate changes on stock returns of listed commercial banks in Kenya for nine year period, from 2006 to 2014. The study used a hybrid of cross sectional and longitudinal quantitative surveys method, applying GMM panel data regression model on the secondary data from the 11 listed commercial banks in Kenya. The study found out that there is a significant strong positive sensitivity of average annual changes in central bank interest rates (CBR) on the stock returns of the listed commercial banks in Kenya, from 2006 to 2014, measured using CAPM. Hence, listed commercial banks’ managers in Kenya should monitor, keenly, the changes in the central bank interest rates and make investor related decisions accordingly.

scholarly journals Pertumbuhan Arus Kas, Pertumbuhan Laba, Inflasi, Suku Bunga, Nilai Kurs dan Return Saham pada Badan Usaha Milik Negara di Bursa Efek Indonesia

2014 ◽  
Vol 1 (02) ◽  
pp. 171-186
Author(s):  
Moh. Abror ◽  
Dadang Sadeli
Keyword(s):  
Linear Regression ◽  
Exchange Rates ◽  
Interest Rates ◽  
Multiple Linear Regression ◽  
Stock Returns ◽  
Sampling Method ◽  
Linear Regression Analysis ◽  
Multiple Linear Regression Model ◽  
Earning Growth ◽  
Purposive Sampling

ABSTRACT The study aims to analyze the effect of cashflow growth, earning growth, inflation, interest rates and exchange rates to stock return BUMN. The sample selection is done by using purposive sampling method. Acquired a total sample of 15 companies of 19 state-owned companies listed in Indonesia Stock Exchange during the period 2009 - 2012. This study used multiple linear regression analysis techniques to examine the effect of the independent variable on the dependent variable. Based on the results of the study, there were no variables that deviated of the classical assumption, it indicates that the available data are qualified to use a multiple linear regression model. The results showed that the growth in cash flow, earnings growth, interest rates and exchange rates had no significant effect on stock returns. The study able to show that the interest rate significant positive effect on stock returns. ABSTRAK Penelitian bertujuan untuk menganalisis pengaruh pertumbuhan arus kas, pertumbuhan laba, inflasi, suku bunga dan nilai kurs terhadap return saham BUMN. Pemilihan sampel dilakukan dengan menggunakan purposive sampling method. Diperoleh jumlah sampel sebanyak 15 perusahaan dari 19 perusahaan BUMN yang terdaftar di Bursa Efek Indonesia selama periode 2009 – 2012. Penelitian ini menggunakan teknik analisa regresi linear berganda untuk menguji pengaruh variable independen terhadap variable dependen. Berdasarkan hasil penelitian, tidak ditemukan variabel yang menyimpang dari asumsi klasik, hal ini menunjukkan bahwa data yang tersedia telah memenuhi syarat untuk menggunakan model persamaan regresi linier berganda. Hasil penelitian menunjukkan bahwa pertumbuhan arus kas, pertumbuhan laba, suku bunga dan nilai kurs tidak berpengaruh signifikan terhadap return saham. Penelitian berhasil membuktikan bahwa suku bunga berpengaruh positif signifikan terhadap return saham BUMN. JEL Classification: G14, G30

scholarly journals PENGARUH INFLASI, SUKU BUNGA DAN NILAI TUKAR TERHADAP RETURN SAHAM PADA PERUSAHAAN MANUFAKTUR DI BURSA EFEK INDONESIA PADA PERIODE 2013-2016

2019 ◽  
pp. 101-113
Author(s):  
Hotmauli Sitanggang ◽  
Kornel Munthe
Keyword(s):  
Exchange Rate ◽  
Data Analysis ◽  
Exchange Rates ◽  
Interest Rates ◽  
Stock Returns ◽  
Stock Exchange ◽  
Secondary Data ◽  
Manufacturing Companies ◽  
Testing Hypotheses ◽  
Analysis Technique

This study aims to analyze and determine the effect of inflation, interest rates and exchange rates on stock returns on manufacturing companies that go public on the Indonesia Stock Exchange in the 2013-2014 period. The population in this study were 149 companies that went public on the Indonesia Stock Exchange in 2013-2016. By using the Slovin method, a sample of 60 companies was obtained. This type of data is secondary data obtained by documentation techniques. The data analysis technique used is multiple linear regression by testing hypotheses using F and t. The results showed that partially inflation and interest rates had a negative and insignificant effect on stock returns while the rupiah exchange rate had a positive and significant effect on stock returns. Simultaneously that the variables of inflation, interest rates and exchange rates have a significant effect on stock returns on manufacturing companies that go public on the Indonesia Stock Exchange. The amount of variation in inflation, interest rates and exchange rates is only able to explain variations in stock returns by 4.4 percent, while the remaining 95.6 percent is explained by other variables outside of this research variable.

scholarly journals MODIFIKASI MODEL INDEKS JANSEN SEBAGAI ALAT UKUR KINERJA SAHAM SYARIAH

1970 ◽  
Vol 5 (2) ◽  
pp. 110-124
Author(s):  
Mohammad Farhan Qudratullah
Keyword(s):  
Interest Rates ◽  
Stock Returns ◽  
Capital Market ◽  
Islamic Finance ◽  
Capital Asset ◽  
Market Returns ◽  
Index Model ◽  
Measurement Results ◽  
Finance Risk ◽  
Very High

The Jansen Index is a measure of stock performance based on the Capital Asset Princing Model (CAPM). The Jansen Index consists of 4 (four) components, namely: stock returns, beta stocks, market returns, and risk-free returns. Many studies approach risk-free returns with interest rates when measuring the performance of Islamic stocks in the Jansen Index model, while interest rates are prohibited in the concept of Islamic finance. This paper discusses the modification of the Jansen Index model to analyze the performance of Islamic stocks with 4 (four) approaches, namely the model without interest rates, models with zakat rates, models with inflation, and models with gross domestic production (GDP) and compare them with models with interest rates (BI-Rate). Then the five models are implemented in the Islamic capital market in Indonesia in the period January 2011 - July 2018.The results obtained are that there is a very high suitability for the measurement results of the five models. Judging from the closeness of the results of performance measurement, the five models can be grouped into 2 (two), namely models with interest rates, inflation, and GDP as the first group, while models without interest rates and zakat- rate as the second group. This means, on the concept of Islamic finance, risk-free returns can be measured using these 4 (four) approaches, specifically inflation or GDP

scholarly journals ANALISIS SUKU BUNGA, KURS DAN INFLASI TERHADAP RETURN SAHAM BLUE CHIP SEKTOR PERBANKAN

2020 ◽  
Vol 3 (1) ◽  
pp. 276-281
Author(s):  
Delia Wijayanti ◽  
Sishadiyati .
Keyword(s):  
Regression Analysis ◽  
Exchange Rates ◽  
Interest Rates ◽  
Stock Returns ◽  
Banking Sector ◽  
Linear Regression Analysis ◽  
Investment Decisions ◽  
Multiple Linear Regression Analysis ◽  
Analysis Models ◽  
Blue Chip

This study aims to analyze the factors that influence stock returns, especially blue chip stocks in the banking sector. The variables used in this study are interest rates, exchange rates and inflation. This research uses a quantitative approach with multiple linear regression analysis models. The results showed that the variable interest rates, exchange rates and inflation affect the blue chip stock returns of the banking sector. But partially, interest rates do not affect the blue chip stock returns of the banking sector while the exchange rate and inflation affect the blue chip stock returns of the banking sector. This research is very useful for investors in making investment decisions, especially in the banking sector.

scholarly journals Analisis Pengaruh Faktor Makro Ekonomi Terhadap Return Saham pada Sektor Properti yang Terdaftar di Bursa Efek Indonesia Periode 2014-2017

2020 ◽  
Vol 4 (1) ◽  
pp. 19
Author(s):  
Daniel Phen
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Stock Returns ◽  
Stock Exchange ◽  
Linear Regression Analysis ◽  
Multiple Linear Regression Analysis ◽  
Primary Objective ◽  
Consumer Confidence ◽  
Macroeconomic Factors ◽  
Confidence Index

The primary objective of this research is to study the influence of macroeconomic factors toward stock return of property, construction and real estate sectoral index in Indonesia Stock Exchange for 2014 until 2017. The variables for macroeconomic factors included inflation, interest rates, exchange rates, and Consumer Confidence Index. This research use multiple linear regression analysis method. The result of this research showed that inflation, interest rates, exchange rates, and Consumer Confidence Index simultaneously have significant effect toward stock returns. Partially, the research showed that only exchange rates has significant effect toward stock returns, while inflation, interest rates, and Consumer Confidence Index have no significant effect toward stock returns.

scholarly journals Pertumbuhan Arus Kas, Pertumbuhan Laba, Inflasi, Suku Bunga, Nilai Kurs dan Return Saham pada Badan Usaha Milik Negara di Bursa Efek Indonesia

2014 ◽  
Vol 1 (02) ◽  
pp. 171-186
Author(s):  
Moh. Abror ◽  
Dadang Sadeli
Keyword(s):  
Linear Regression ◽  
Exchange Rates ◽  
Interest Rates ◽  
Multiple Linear Regression ◽  
Stock Returns ◽  
Sampling Method ◽  
Linear Regression Analysis ◽  
Multiple Linear Regression Model ◽  
Earning Growth ◽  
Purposive Sampling

ABSTRACT The study aims to analyze the effect of cashflow growth, earning growth, inflation, interest rates and exchange rates to stock return BUMN. The sample selection is done by using purposive sampling method. Acquired a total sample of 15 companies of 19 state-owned companies listed in Indonesia Stock Exchange during the period 2009 - 2012. This study used multiple linear regression analysis techniques to examine the effect of the independent variable on the dependent variable. Based on the results of the study, there were no variables that deviated of the classical assumption, it indicates that the available data are qualified to use a multiple linear regression model. The results showed that the growth in cash flow, earnings growth, interest rates and exchange rates had no significant effect on stock returns. The study able to show that the interest rate significant positive effect on stock returns. ABSTRAK Penelitian bertujuan untuk menganalisis pengaruh pertumbuhan arus kas, pertumbuhan laba, inflasi, suku bunga dan nilai kurs terhadap return saham BUMN. Pemilihan sampel dilakukan dengan menggunakan purposive sampling method. Diperoleh jumlah sampel sebanyak 15 perusahaan dari 19 perusahaan BUMN yang terdaftar di Bursa Efek Indonesia selama periode 2009 – 2012. Penelitian ini menggunakan teknik analisa regresi linear berganda untuk menguji pengaruh variable independen terhadap variable dependen. Berdasarkan hasil penelitian, tidak ditemukan variabel yang menyimpang dari asumsi klasik, hal ini menunjukkan bahwa data yang tersedia telah memenuhi syarat untuk menggunakan model persamaan regresi linier berganda. Hasil penelitian menunjukkan bahwa pertumbuhan arus kas, pertumbuhan laba, suku bunga dan nilai kurs tidak berpengaruh signifikan terhadap return saham. Penelitian berhasil membuktikan bahwa suku bunga berpengaruh positif signifikan terhadap return saham BUMN. JEL Classification: G14, G30

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