Bank stock returns and macroeconomic variables: Empirical evidence from selected ASEAN countries

The aim of this study is to examine the effect of macroeconomic variables on bank stock returns in ASEAN. The panel data were retrieved from the DataStream and World Bank data archive, consisting of 58 banks from six countries (Malaysia, Indonesia, Singapore, Thailand, Philippines, and Vietnam) for...

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Main Author:	Mohammed, Ahmed Jasim
Format:	Thesis
Language:	eng eng
Published:	2015
Subjects:	HG Finance
Online Access:	https://etd.uum.edu.my/5569/1/s815069_01.pdf https://etd.uum.edu.my/5569/2/s815069_02.pdf
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id	my-uum-etd.5569
record_format	uketd_dc
institution	Universiti Utara Malaysia
collection	UUM ETD
language	eng eng
advisor	Nayan, Sabri
topic	HG Finance
spellingShingle	HG Finance Mohammed, Ahmed Jasim Bank stock returns and macroeconomic variables: Empirical evidence from selected ASEAN countries
description	The aim of this study is to examine the effect of macroeconomic variables on bank stock returns in ASEAN. The panel data were retrieved from the DataStream and World Bank data archive, consisting of 58 banks from six countries (Malaysia, Indonesia, Singapore, Thailand, Philippines, and Vietnam) for the period 2004 to 2014. The bank stock return index is used as a proxy for bank stock return while proxies for macroeconomic variables are money supply, interest rate, inflation, and foreign exchange rate. By applying pooled OLS regression analysis, the results show that money supply has negative impact on bank stock returns, indicating that changes in money supply is a major signal for change in stock price because it has a direct influence on stock market and an indirect influence on bond market based on the adjustment of interest rates. Inflation also has negative significant influence on bank stock returns, implying that negative inflation –real activity induced the relationship through the money demand theory and the quantity theory of money. Foreign exchange rate has a positive significance influence on bank stock returns, indicating that the foreign exchange exposures of ASEAN banks have influenced their stock returns since most part of the stock returns are sensitive to the changes in exchange rates during the periods. Meanwhile, interest rate is insignificant with bank stock returns, implying that interest rate sensitivity does not exert a significant impact on the common stock of the banks, which could be caused by the effect of wealth distribution triggered by unexpected inflation when banks hold nominal assets and nominal liabilities. It is recommended that ASEAN banks should involve in various off-balance sheet activities and implement effective and efficient approaches of risk management which reduce their exposure to fluctuations in macroeconomic factors
format	Thesis
qualification_name	masters
qualification_level	Master's degree
author	Mohammed, Ahmed Jasim
author_facet	Mohammed, Ahmed Jasim
author_sort	Mohammed, Ahmed Jasim
title	Bank stock returns and macroeconomic variables: Empirical evidence from selected ASEAN countries
title_short	Bank stock returns and macroeconomic variables: Empirical evidence from selected ASEAN countries
title_full	Bank stock returns and macroeconomic variables: Empirical evidence from selected ASEAN countries
title_fullStr	Bank stock returns and macroeconomic variables: Empirical evidence from selected ASEAN countries
title_full_unstemmed	Bank stock returns and macroeconomic variables: Empirical evidence from selected ASEAN countries
title_sort	bank stock returns and macroeconomic variables: empirical evidence from selected asean countries
granting_institution	Universiti Utara Malaysia
granting_department	School of Economics, Finance & Banking
publishDate	2015
url	https://etd.uum.edu.my/5569/1/s815069_01.pdf https://etd.uum.edu.my/5569/2/s815069_02.pdf
_version_	1747827951764766720
spelling	my-uum-etd.55692021-04-04T07:43:23Z Bank stock returns and macroeconomic variables: Empirical evidence from selected ASEAN countries 2015 Mohammed, Ahmed Jasim Nayan, Sabri School of Economics, Finance & Banking Othman Yeop Abdullah Graduate School of Business HG Finance The aim of this study is to examine the effect of macroeconomic variables on bank stock returns in ASEAN. The panel data were retrieved from the DataStream and World Bank data archive, consisting of 58 banks from six countries (Malaysia, Indonesia, Singapore, Thailand, Philippines, and Vietnam) for the period 2004 to 2014. The bank stock return index is used as a proxy for bank stock return while proxies for macroeconomic variables are money supply, interest rate, inflation, and foreign exchange rate. By applying pooled OLS regression analysis, the results show that money supply has negative impact on bank stock returns, indicating that changes in money supply is a major signal for change in stock price because it has a direct influence on stock market and an indirect influence on bond market based on the adjustment of interest rates. Inflation also has negative significant influence on bank stock returns, implying that negative inflation –real activity induced the relationship through the money demand theory and the quantity theory of money. Foreign exchange rate has a positive significance influence on bank stock returns, indicating that the foreign exchange exposures of ASEAN banks have influenced their stock returns since most part of the stock returns are sensitive to the changes in exchange rates during the periods. Meanwhile, interest rate is insignificant with bank stock returns, implying that interest rate sensitivity does not exert a significant impact on the common stock of the banks, which could be caused by the effect of wealth distribution triggered by unexpected inflation when banks hold nominal assets and nominal liabilities. It is recommended that ASEAN banks should involve in various off-balance sheet activities and implement effective and efficient approaches of risk management which reduce their exposure to fluctuations in macroeconomic factors 2015 Thesis https://etd.uum.edu.my/5569/ https://etd.uum.edu.my/5569/1/s815069_01.pdf text eng public https://etd.uum.edu.my/5569/2/s815069_02.pdf text eng public masters masters Universiti Utara Malaysia Abdullah, D. A., & Hayworth, S. C. (1993). Macroeconometrics of stock price fluctuations. Quarterly Journal of Business and Economics, 50-67. Abugri, B. A. (2008). 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