The Impact of Interest Rate and Exchange Rate Volatility on Banks' Stock Returns and Volatility: Evidence From Turkey
| dc.contributor.author | Kasman, Saadet | |
| dc.contributor.author | Vardar, Gulin | |
| dc.contributor.author | Tunc, Gokce | |
| dc.date.accessioned | 2023-06-16T12:59:15Z | |
| dc.date.available | 2023-06-16T12:59:15Z | |
| dc.date.issued | 2011 | |
| dc.description.abstract | This paper investigates the effects of interest rate and foreign exchange rate changes on Turkish banks' stock returns using the OLS and GARCH estimation models. The results suggest that interest rate and exchange rate changes have a negative and significant impact on the conditional bank stock return. Also, bank stock return sensitivities are found to be stronger for market return than interest rates and exchange rates, implying that market return plays an important role in determining the dynamics of conditional return of bank stocks. The results further indicate that interest rate and exchange rate volatility are the major determinants of the conditional bank stock return volatility. (C) 2011 Elsevier B.V. All rights reserved. | en_US |
| dc.identifier.doi | 10.1016/j.econmod.2011.01.015 | |
| dc.identifier.issn | 0264-9993 | |
| dc.identifier.issn | 1873-6122 | |
| dc.identifier.scopus | 2-s2.0-79953034859 | |
| dc.identifier.uri | https://doi.org/10.1016/j.econmod.2011.01.015 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14365/1175 | |
| dc.language.iso | en | en_US |
| dc.publisher | Elsevier | en_US |
| dc.relation.ispartof | Economıc Modellıng | en_US |
| dc.rights | info:eu-repo/semantics/closedAccess | en_US |
| dc.subject | Market risk | en_US |
| dc.subject | Interest rate risk | en_US |
| dc.subject | Foreign exchange risk | en_US |
| dc.subject | Bank stock returns | en_US |
| dc.subject | GARCH | en_US |
| dc.subject | Interest-Rate Risk | en_US |
| dc.subject | Common-Stock | en_US |
| dc.subject | 2-Index Model | en_US |
| dc.subject | Sensitivity | en_US |
| dc.subject | Institutions | en_US |
| dc.subject | Market | en_US |
| dc.subject | Level | en_US |
| dc.title | The Impact of Interest Rate and Exchange Rate Volatility on Banks' Stock Returns and Volatility: Evidence From Turkey | en_US |
| dc.type | Article | en_US |
| dspace.entity.type | Publication | |
| gdc.author.id | KASMAN, Saadet/0000-0002-2304-0676 | |
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| gdc.author.wosid | Kasman, Saadet/ABF-8195-2020 | |
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| gdc.coar.access | metadata only access | |
| gdc.coar.type | text::journal::journal article | |
| gdc.collaboration.industrial | false | |
| gdc.description.department | İzmir Ekonomi Üniversitesi | en_US |
| gdc.description.departmenttemp | [Kasman, Saadet] Dokuz Eylul Univ, Fac Business, Dept Econ, TR-35160 Buca Izmir, Turkey; [Vardar, Gulin; Tunc, Gokce] Izmir Univ Econ, Dept Int Trade & Finance, TR-35330 Izmir, Turkey | en_US |
| gdc.description.endpage | 1334 | en_US |
| gdc.description.issue | 3 | en_US |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
| gdc.description.scopusquality | Q1 | |
| gdc.description.startpage | 1328 | en_US |
| gdc.description.volume | 28 | en_US |
| gdc.description.wosquality | Q1 | |
| gdc.identifier.openalex | W2064213038 | |
| gdc.identifier.wos | WOS:000290005600060 | |
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| gdc.oaire.sciencefields | 0502 economics and business | |
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| gdc.virtual.author | Vardar, Gülin | |
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