Interest rate changes,bank characteristics and stock returns
The changes in deposit and loan rates will directly affect its cost and income,which influences bank equity returns in stock market.With the background of 22 times of interest rate changes by central bank,this paper analysis equity returns of the 16 listed banks in A share market from 2004 to 2014.The aim is to assess how interest rate changes affect bank stock returns and the return to interest rate sensitivity of banks with different characteristics.In conclusion,we find the bank stock returns has positive relationship with deposit rate changes while negative relationship with loan rate changes.Besides,we confirm that banks with higher(lower)capital ratio and liquidity ratio is less(more)sensitive to interest rate changes.There is no strong evidence to show that the size of banks have tight connection with this sensitivity.
Deposit and loan rates Stock returns Bank characteristics Return to interest rate sensitivity
Hongyan Zhang Chunchun Chen Desheng Wu
School of Economics and Management,University of Chinese Academy of Sciences,Beijing,100190,China Tsinghua University,Beijing,100084,China
国际会议
上海
英文
292-294
2017-07-07（万方平台首次上网日期，不代表论文的发表时间）