Time-varying sensitivity of stock returns to market, interest rate and foreign exchange rate risks of Asian banks using the GARCH model

Date of Publication

2015

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Management of Financial Institutions

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Thesis Adviser

Ricarte Pinlac

Defense Panel Chair

Vivian Eleazar

Defense Panel Member

Martin J. Temblique

Michael Uy

Abstract/Summary

Assessing the sensitivity of bank stock returns to time-varying market, interest rate, and foreign exchange rate risk using the GARCH framework has been a common area of study for developed markets but not for emerging markets. This conventional study was applied to five (5) selected Asian emerging markets (China, Malaysia, Philippines, South Korea and Thailand) using January 2010 to December 2014 data. This research re-examined the reaction of bank stock returns to three (3) risk variables. Also similarities and differences between the reactions for each country were studied. The findings were used to determine similar patterns to further support the resulting relationship of variables.

Results indicated that foreign exchange risks have a significant positive relationship to bank stock returns in all countries except for the Philippines. Interest rates affected bank stock returns negatively excluding South Korea, market risks share a positive relationship with bank stock returns.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU21561

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

vi, 254 leaves : illustrations (some color) ; 28 cm.

Keywords

Foreign exchange rates--Philippines; Interest rates--Philippines

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