This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models … in Student’s t-distribution are adjudged the best volatility models for B2 and B3 respectively. The study recommends that … in modelling stock market volatility, variants of GARCH models and alternative error distribution should be considered …

Bank stocks by developing and estimating a multi-factor model under both unconditional and conditional frameworks. Three … evidence of exchange rate risk is found in both large bank and regional bank stocks in the conditional three-factor model with … conditional first and second moments of bank portfolio returns and risk factors are estimated simultaneously show strong evidence …

refrain from investing in banking stocks in times of high interest rate volatility. The bank managers may adopt policies and … sample consists of 18 commercial bank stocks comprising BANKEX listed on Bombay stock exchange. We find a negative but weak … relationship between Bank stock returns and interest rate changes in India. As expected banking stock returns exhibit significant …

This article investigates the effects of interest rates volatility on stock market returns and volatility using weekly … returns on the 15 selected public sector Banks namely Allahabad Bank, Andhra Bank, Bank of Baroda, Bank of India, Canara Bank …, Corporation Bank, Dena Bank, Indian Overseas Bank, Oriental Bank of Commerce, Punjab National Bank, State Bank of India, Syndicate …

Because they engage in maturity transformation, a steepening of the yield curve should, all else equal, boost bank … profitability. We re-examine this conventional wisdom by estimating the reaction of bank intraday stock returns to exogenous … repricing time or maturity of bank assets and liabilities and analyze how the reaction of stock returns varies with the size of …