Τραπεζικές μετοχές και επιτόκια

Κούτρης, Θεόδωρος

Bank stocks and interest rates

Master Thesis

Author

Κούτρης, Θεόδωρος

Date

2019-03

Abstract

This dissertation examines the relation that exists between the bank stocks of United States of America, England and Japan with interest rates. We test whether bank stocks are more sensitive to interest rate movements than the stock market index. In order to do that we follow two different econometric approaches. The first method takes place by applying the multiple linear regression with dependent variable being the return of the bank index and independent variables, the return of the stock market index and the current changes in the long-term and short-term interest rates for each country. It shows us in which countries the relation between bank stocks and current changes in interest rates is not fully reflected by market movements. In the second method we apply again the multiple regression in order to examine the sensitivity of bank stocks to unanticipated changes in interest rates. Dependent variable is again the return of bank stocks and one of the two independent variables is the return of the stock market index. The second independent variable this time are the estimates we have made for unanticipated changes in interest rates, while we test both for long-term and short-term interest rates. We conclude that US and UK banking stocks appear to be more sensitive to the current changes in long-term interest rates from the stock market index. However, we do not observe the same relationship for the current changes in short-term interest rates. On the contrary, Japanese bank stocks are not more sensitive than the market stock index to current changes in both the domestic long-term and short-term interest. For the unanticipated changes in interest rates we see that only US and UK bank stocks appear to be more sensitive than the market index in the long-term interest rate movements. For all of the three countries, no other extra market relation seems to exist between bank stocks and unanticipated changes in the short-term interest rates for the period we examined.

Postgraduate Studies Programme

Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική και Τραπεζική Διοικητική

Department

Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικής

Number of pages

Language

Greek

URI

https://dione.lib.unipi.gr/xmlui/handle/unipi/11944

Collections

Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικής

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