Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14365/1175
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dc.contributor.authorKasman, Saadet-
dc.contributor.authorVardar, Gulin-
dc.contributor.authorTunc, Gokce-
dc.date.accessioned2023-06-16T12:59:15Z-
dc.date.available2023-06-16T12:59:15Z-
dc.date.issued2011-
dc.identifier.issn0264-9993-
dc.identifier.issn1873-6122-
dc.identifier.urihttps://doi.org/10.1016/j.econmod.2011.01.015-
dc.identifier.urihttps://hdl.handle.net/20.500.14365/1175-
dc.description.abstractThis 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.language.isoenen_US
dc.publisherElsevieren_US
dc.relation.ispartofEconomıc Modellıngen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectMarket risken_US
dc.subjectInterest rate risken_US
dc.subjectForeign exchange risken_US
dc.subjectBank stock returnsen_US
dc.subjectGARCHen_US
dc.subjectInterest-Rate Risken_US
dc.subjectCommon-Stocken_US
dc.subject2-Index Modelen_US
dc.subjectSensitivityen_US
dc.subjectInstitutionsen_US
dc.subjectMarketen_US
dc.subjectLevelen_US
dc.titleThe impact of interest rate and exchange rate volatility on banks' stock returns and volatility: Evidence from Turkeyen_US
dc.typeArticleen_US
dc.identifier.doi10.1016/j.econmod.2011.01.015-
dc.identifier.scopus2-s2.0-79953034859en_US
dc.departmentİzmir Ekonomi Üniversitesien_US
dc.authoridKASMAN, Saadet/0000-0002-2304-0676-
dc.authorwosidKasman, Saadet/ABF-8195-2020-
dc.authorscopusid15750920800-
dc.authorscopusid57209829415-
dc.authorscopusid35318643200-
dc.identifier.volume28en_US
dc.identifier.issue3en_US
dc.identifier.startpage1328en_US
dc.identifier.endpage1334en_US
dc.identifier.wosWOS:000290005600060en_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.identifier.scopusqualityQ1-
dc.identifier.wosqualityQ1-
item.grantfulltextreserved-
item.openairetypeArticle-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.fulltextWith Fulltext-
item.languageiso639-1en-
item.cerifentitytypePublications-
crisitem.author.dept03.04. International Trade and Finance-
Appears in Collections:Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection
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