Interest rate and bank stock returns asymmetry: Evidence from U.S. banks |
| |
| Authors: | Priti Verma Dave O Jackson |
| |
| Institution: | (1) Texas A&M University, 700 University Blvd., Kingsville, TX 78363-8202, USA;(2) Department of Economics and Finance, College of Business Administration, University of Texas-Pan American, 1201 West University Drive, Edinburg, TX 78539-2999, USA |
| |
| Abstract: | We use the multivariate extension of Exponential Generalized Autoregressive Conditionally Heteroscedastic (EGARCH) of Nelson,
Econometrica, 59: 347–370, 1991 to test for spillover effects and examine the extent of asymmetries between short- and long-term interest rates and portfolios
of money center, large, and medium-size banks in the U.S. Our results indicate the existence of price and volatility spillovers
from short- and long-term interest rates to the three bank portfolios. We also provide evidence of response asymmetries for
the portfolios of money center and large banks, suggesting that money center and large banks are more sensitive to negative
than positive short- and long-term interest rate changes.
|
| |
| Keywords: | Bank stock returns EGARCH Interest rates |
| 本文献已被 SpringerLink 等数据库收录！ |
|
