Bank Stock Prices Research Articles

A Data Organization Method for LSTM and Transformer When Predicting Chinese Banking Stock Prices

The accurate prediction of stock prices is not an easy task. The long short-term memory (LSTM) neural network and the transformer are good machine learning models for times series forecasting. In this paper, we use LSTM and transformer to predict prices of banking stocks in China’s A-share market. It is shown that organizing the input data can help get accurate outcomes of the models. In this paper, we first introduce some basic knowledge about LSTM and present prediction results using a standard LSTM model. Then, we show how to organize the input data during the training period and give the comparison results for not only LSTM but also the transformer model. The numerical results show that the prediction results of LSTM and transformer can be improved after the input data are organized when training.

The Effect of Profitability and Solvabilityon Stock Pricesof State-Owned Banks Listed on the Indonesia Stock Exchange

This article aims to study and analyze the effect of profitability and solvability simultaneously on stock prices. The secondary objective is to analyze the effect of profitability on stock prices and analyze the effect of solvability on stock prices. The total population in the study was 4 SOEs so that all banks were sampled, thus the sampling technique used a census. The data used are financial statements for the period 2012 to 2021. The analysis technique uses multiple regression analysis. The results of the analysis show that profitability and solvability simultaneously affect stock prices. Profitability has an effect on stock prices. Solvability does not affect the stock prices of state-owned banks listed on the Indonesia Stock Exchange. Thus, banking in order to continuously improve financial performance in order to increase the stock prices of the bank. Investors who want to invest in the capital market, they should consider the financial performance of the bank in making investment decisions, so that the company's financial prospects and future developments can be known. Where profitability can be used as an analytical tool that can represent in measuring the company's financial performance.

The CARR-volatility connectedness between USD/TRY and foreign banks in Turkey: Evidence by TVP-VAR

This study focuses on the volatility spillover between the stock prices of foreign banks having business in Turkey and the exchange rate. More particularly, it analyzes the connectedness between the USD-TRY exchange rate volatility and the foreign banks’ stock price volatility in their own country’s stock markets. We select ten foreign banks with the biggest total assets and divide them into two panels: eastern and western capitalized banks. The dataset contains weekly data from 2016-01-04 to 2022-01-17. We estimate volatilities utilizing the Conditional Autoregressive Range (CARR) model and then apply the Time-Varying Parameter- Vector Autoregressive (TVP-VAR) based Diebold–Yilmaz Connectedness Index to reveal the transition and connectedness of volatility. The total connectedness indices show that 26.72 and 54.75% of the forecast error variance originate from other assets included in the spillover analysis for eastern and western panels, respectively. We also explore net pairwise comovements and find that shocks in USD-TRY have dominated on the forecast error variance of bank stocks in the eastern panel, while it is a net volatility receiver in the western panel.

IMPLEMENTASI GATED RECURRENT UNIT (GRU) UNTUK PREDIKSI HARGA SAHAM BANK KONVENSIONAL DI INDONESIA

Advances in technology, information and technology at this time are growing rapidly, a lot of human work is facilitated by technology. Technology has also developed in investment instruments, especially in stock investments. Previously, when there was no technology, it would be very difficult to predict the stock price of state-owned banks in the future for ordinary people who do not understand fundamental or technical analysis. However, with technology, especially in the field of Deep Learning, it will be very possible to predict future stock prices without having to understand fundamental or technical analysis. In this study, stock price predictions of state-owned banks for the next 30 days were made using the Gated Recurrent Unit (GRU) model on stocks of state-owned banks in Indonesia, namely BRI, BNI, BTPN, and Mandiri bank shares. The data used uses historical close price data on the stock for 5 years with a total of 1260 data. From the results of the research for test data, the smallest RMSE value was found in BTPN bank shares of 23,91164 followed by BRI bank shares of 264,1475, BNI bank of 427,7984 and the largest RMSE value in BMRI bank shares amounting to 907,4804

THE IMPACT OF MCO ON THE STOCK MARKET AND MORATORIUM ON BANKING SECTOR’S PERFORMANCE IN MALAYSIA: THE CASE OF COVID-19

This study examines the influence of COVID-19 on the KLCI and also the stock price of banks in Malaysia. We use the event study methodology to examine the impact of COVID-19 in the pre-and post-10 days of the event dates. Data on stock prices of are obtained from Bursa Malaysia. The findings show that the cumulative abnormal return (CAR) of the overall stock market decreased significantly after the announcement of the first Movement Control Order (MCO) in the country. This indicates that the economic and financial instability caused by COVID-19 has reduced investor confidence. The study also shows that blanket loan moratorium has resulted in a decrease of CAR for three major local banks. The MCO which was enforced to reduce the number of widespread cases was followed by the implementation of bank moratorium to assist the people due to their income reduction. Hence, our study empirically shows that banks were negatively affected by the implementation of moratorium.

Consequence of Merger Plan Announcement (Study on Stock Price of State-Owned Islamic Banks)

The Covid-19 pandemic has caused the economies of all countries in world to decline sharply. One of sectors affected is the banking industry. The national banking in Indonesia is also affected. The business strategy to make a company can survive in crisis is merger. This study aims to examine changes in stock price of BRI Syariah banks before and at the announcement of planned merger of a State-owned Islamic Banks (SOIB). The samples are daily stock price at closing price within a span of three months before and three months at time of merger plan announcement. The samples are selected by purposive sampling. Based on existing criteria, BRI Syariah was selected as the sample in this study. The data analysis technique used was a parametric test, namely paired sample t-test to test existing hypotheses. The research results show a significant difference or change in stock price of BRI Syariah banks before and at merger plan announcement of SOIB. This is indicated by the t significance value of 0.020 smaller than 0.05. Thus it can be interpreted that there is a difference in stock price of BRI Syariah Bank before and merger plan announcement of SOIB. Keywords: Merger, SOIB, Stock Price DOI: 10.7176/RJFA/12-22-08 Publication date: November 30th 2021

THE EFFECT OF THE RISK MANAGEMENT IMPLEMENTATION ON STOCK RETURNS IN THE BANKING INDUSTRY LISTED ON THE INDONESIA STOCK EXCHANGE 2016-2019 PERIOD

The aim of this research was to determine the conditions of the application of risk management for commercial banks in Indonesia and to determine the effect of the application of risk management on banking stock price returns based on model 1, model 2, model 3 and determine the best model for stock price return estimation. In measuring the level of risk management implementation in banking, two approaches are used, namely trend analysis and empirical analysis. The following conclusions can be drawn: (1) In model 1, trends The movement of the NETIM variable in one year from period one (March) to period four (December) always goes up and down at the beginning of the year. next. The NONIM variable, the movement in the quarterly period at the beginning tends to be flat, starting to rise in the December 2016 period, while the movement from year to year is not very volatile. (2) In model 2, the trend of the movement of the AVERAGE variable during the 2016-2019 period tends to increase as indicated by the trend line . (3) In model 3, trends The movement of the PRIN1 and PRIN2 variables from year to year during the study period seems to fluctuate (4) Based on the results of the comparison of the four regression estimation models, it can be concluded that the first model is the best model in explain the variation of the movement of the return variable.

Dependence in the Banking Sector of the United States and Mexico: A Copula Approach

The objective of this work is to estimate the patterns of dependence between the yields of the stock prices of the main banks of the United States (US) and Mexico. We estimate the patterns of absolute dependence and tail dependence through copulas of the Archimedean family and the use of rolling windows of 245 days. The data employed come from the daily share prices at closing from January 2, 2015, to December 31, 2020, for seven banks. Our results show that: i) there are patterns of high dependence among the main banks in the US, ii) there are patterns of very low dependence among the main banks in the US and Mexico, and iii) there are patterns of low dependence among the main banks in Mexico. These results have several implications, among them that the high-dependency patterns obtained among major US banks limit the joint selection of these US bank equity assets in an investment portfolio. Although this paper focuses on a small sample of banks, they represent an important portion of the banking sector in both countries. Given the limited literature on this subject in Mexico, our paper contributes to expanding this literature with a novel approach.

The Effect Of PER and Dividend Yield On Banking Share Prices The Idx In 2020

The purpose of this study is to see the effect of PER and Dividend Yield on banking stock prices in 2020. The method used in this study is a quantitative type using secondary data using a target population of 44, while for the determination of the population of the Non-Sampling type. The probability is 16 and the analysis used is SPSS version 22. The results in this study found that PER partially has no effect on share prices, dividend yield partially has no effect on price Shares, PER and Dividend Yield simultaneously have no effect on Stock Prices.

Bank foreign assets, government support and international spillover effects of sovereign rating events on bank stock prices

We study the international spillover effects of sovereign rating events on the stock returns of large banks in nonevent countries. Using S&P rating assessments from 1983 to 2018, we find that negative sovereign rating events spill over to foreign banks’ stock returns through the foreign asset holdings channel , especially if the rating shock to domestic banks is severe. Foreign sovereign debt holdings are not the only source to open such a channel. Negative sovereign rating events also spill over through foreign interbank exposures, but not through foreign claims to nonbank firms. We further find a previously undocumented positive side effect of government support to banks. The guarantee channel limits international spillover effects if banks with strong expected government support are located in countries with high sovereign ratings.

Banking sector reactions to COVID-19: The role of bank-specific factors and government policy responses

This paper examines the impact of bank-specific factors and variations in the context of stringency of government policy responses on bank stock returns because of the COVID-19 pandemic. A sample of 1,927 publicly listed banks from 110 countries is used for the period of the first major wave of COVID-19, that is, January to May 2020. Our findings indicate that stock returns of banks with higher capitalization and deposits, more diversification, lower non-performing loans, and larger size are more resilient to the pandemic. While banks’ environment and governance scores do not have a significant impact, higher social and corporate social responsibility strategy scores intensify the negative stock price reaction to COVID-19. We further observe that the pandemic-induced reduction in bank stock prices is mitigated as the strictness of government policy responses increases, mainly through economic responses such as income support, debt and contract relief, and fiscal measures from governments.

Pengaruh Rasio Keuangan dan Pertumbuhan Perusahaan terhadap Dividend Payout Ratio (DPR) dan Implikasinya pada Harga Saham Perusahaan Perbankan yang Listing di Bursa Efek Indonesia (BEI)

<em>The rapid technological developments have an impact on the opening of global trade opportunities so that banks that carry out intermediary functions in the financial sector will be increasingly needed. The purpose of this study was to analyze the effect of financial ratio and company growth on the stock price of banks with the status of State-Owned Enterprises (SOE) listed on the Indonesia Stock Exchange (IDX) with Dividend Payout Ratio (DPR) as an intervening variable. This study is quantitative research with an associative approach. The research population includes 44 banking companies listed on the Indonesia Stock Exchange (IDX). The sample in this study amounted to four banks. The sampling technique used is purposive sampling. This study uses secondary data with data analysis methods used multiple linear regression analysis, partial test (t-test), and path analysis with the help of the SPSS version 23 application. This study indicates that DER significantly affects DPR, while ROE and company growth do not affect DPR. Furthermore, the DPR has a significant effect on stock prices, while DER and ROE have a significant effect on stock prices through the Dividend Payout Ratio (DPR), and company growth does not affect stock prices mediated by the Dividend Payout Ratio (DPR).</em>

Performance Evaluation of Selected Banking Stocks Listed on Bombay Stock Exchange During Pre & Post Covid-19 Crisis

Investing in the stock market has always been regarded as risky. Market sentiment is a factor that influences stock prices. The purpose of this study is to assess the performance of selected banking stocks based on risk and excess return generated by them during the study period. The study also determines the effect of certain financial variables on sample banking stocks during the time crisis of Covid’19. Economic variables such as the BSE Sensex, rate of exchange, variation in FII (Foreign Institutional Investors), and coupon rate of Government Sector (G-Sec) were analysed in conjunction with the analysis of banking stocks. The regression and correlation tests are used to determine the significance of variables using SPSS. Following the BSE’s performance provides insight into the future modifications throughout the price levels of bank shares. Following a sharp decline in the market, private sector bank stock prices are correct, but not public sector bank stock prices. Throughout the first part of the research, there is a direct relationship between the BSE, Sensex, and the selected stocks, but only a weak correlation with FII, G-Sec coupon rate, and the exchange rate. Along the second part of the research, the relationship between stock prices and economic variables varies widely between banks.

Stock Valuation using Discounted Cash Flow Method with Free Cash Flow to Equity and Relative Valuation Approaches on State-Owned Banks Listed on IDX for 2021 to 2025 Period Projection

This study aims to project the intrinsic value of state-owned banks listed on IDX for the 2021 to 2025 projection. This study uses the Discounted Cash Flow (DCF) method with the Free Cash Flow to Equity (FCFE) approach specifically for banks by looking at the regulatory capital. Meanwhile, it is also used the Relative Valuation method with the Price to Book Value (PBV) and Price Earnings Ratio (PER) approaches. This study uses three scenarios will be used, which consist of a pessimistic scenario (the average condition of the industry), a moderate scenario (the same condition as the company's growth), and an optimistic scenario (a condition above industry growth), which aims to project the stock value over the next five years. The data used in this study comes from historical data during the 2016 to 2020 period. Based on the results, the stock prices of state-owned banks using the FCFE method shows undervalued results for all scenarios. Meanwhile, using the relative valuation method, PBV in the optimistic scenario only shows BBNI undervalued conditions. In addition, in moderate and pessimistic scenarios, only BBRI shows overvalued conditions. Furthermore, PER shows undervalued results for all scenarios.

Non Performing Loan, Loan to Deposit Ratio, Good Corporate Governance, Net Interest Margin, Return on Assets, Capital Adequacy Ratio dan Economic Value Added Terhadap Harga Saham

Banking is one of the companies that have the role to support the economy. Conceptually the purpose of the research is to observe financial performance. To find out the health of banks, financial ratios are used through the Risk Based Bank Rating (RBBR) approach and through the performance value tool with the Ecconomic Value Added approach. Thus the results of this study are intended to determine the effect of Non Performing Loan, Loan to Deposit Ratio, Good Coorporate Governance, Net Interest Margin, Return On Asset, Capital Adequacy Ratio and Economic Value Added on the Bank's Stock Price. This type of research is to use quantitative because the use of data is in the form of numbers. Data acquisition is secondary in the financial statements. population use, namely overall listing on the Indonesia Stock Exchange specifically for the period 2014-2018. Sampling by purposive sampling through certain criteria. The number of samples produced was 23 banks in five years. Data processing using multiple linear regression techniques through SPSS version 20. The results showed that partially there were negative influences of Non-Performing Loans, Loan To Deposit Ratio, Good Corporate Governance variables on Stock Prices, while Net Interest Margin, Return On Assets, and Economic Value Added variables had positive effects on Stock Prices. While the Capital Adequacy Ratio has no effect on the Share Price.

Bank Disclosure and Stock Price Synchronicity: Evidence from Dual-Banking System Countries

In stock markets, information plays a crucial role in determining trading dynamics and price discovery. In the investment decisions, an investor may have incomplete information regarding the firm-specific factors because of information asymmetry. Therefore, investors rely on market factors. Extensive work has been done on stock price synchronicity (SYNCH) from the dual banking system viewpoint. Therefore, the present study examines the association of Stock Price Synchronicity with Bank’s Disclosure items and Shariah Compliance using data of 138 banks for 09 years (2011-2019) by taking dual banking system countries. We consider 11 countries, i.e., Bahrain, Bangladesh, Kuwait, Lebanon, Malaysia, Pakistan, Qatar, Saudi Arabia, Turkey, UAE, and Yemen, for analysis. We select different banks based on these countries' dual banking systems and exclude two countries (UAE & Yemen) due to data availability issues. Data of 138 banks is analyzed using specific statistical techniques like descriptive statistics, correlation, Fisher-type unit-root test, endogeneity test, and generalized method of moments (GMM) by using STATA. In the analysis, we found that bank disclosure has a significant positive relationship with SYNCH. However, shariah compliance banks have a significant negative relation with SYNCH. Moreover, control variables which include banks profitability, and leverage have a significant positive relationship with SYNCH. The banks' size has a significant negative relationship because the size affects the banks according to the market.
 Keywords: Stock Price Synchronicity, Bank’s Disclosure, Asymmetric Information, Banking Sector.
 JEL Classification: D82, G21

ANALISIS PENGARUH SUKU BUNGA, INFLASI DAN PDB TERHADAP JUMLAH PERMINTAAN KREDIT PERBANKAN DI INDONESIA TAHUN 2009-2019

Credit demand has an important role and affects economic growth. The demand for credit can be influenced by various factors, both internal and external. This study aims to see how much influence the macroeconomic factors have on the demand for bank credit in Indonesia. The data used in this research is secondary data in the form of quarterly data for the 2009-2019 period. The results show that simultaneously there is a significant positive effect contributed by the variable rate of inflation, exchange rate, and Gross Domestic Product on banking stock prices in Indonesia with a Prob value. F-statistic 0.0000 <0.05. The partial results show that interest rates have a significant negative effect on banking stock prices, inflation has a negative and insignificant effect on bank credit demand, while Gross Domestic Product has a significant positive effect on bank credit demand in Indonesia

Factors that affect Stock Price and Beta CAPM of Vietnam Banks and Enhancing Management Information System – Case of Asia Commercial Bank

This paper aims to improve Risk management information system (RMIS) that is becoming an important element in MIS system of banking sector in Vietnam in recent years and in future. This study mainly use combination of quantitative methods including OLS regression for the case of Asia Commercial Bank (ACB). Research results indicate that GDP growth (G), CPI and Risk free rate (Rf) have highest effects on both ACB beta CAPM and stock price. Besides, this study also give out recommendations for enhancing management information system (MIS) for upgrading roles of banks in Vietnam economic development. Then, we can suggest suitable plans for sustainable management strategies. Our research limitation is within bank sector, then we can expand for other industries and markets as well.

Examining the Drivers of Stock Prices of Private Sector Banks in India

Indian private sector banking stocks have been rebounding from a massive selloff. Private sector banks which have traditionally maintained their asset quality and profitability when compared to their public-sector counterparts, have recently seen their asset quality erode. Given that private sector banks play an influential role in the Indian economy it would be helpful to understand the key drivers of private bank stock prices. This paper studied the influence of some key micro and macro determinants on the stock prices of all listed private sector banks in India over the 12 years from 2008-2019. Panel regression models were fit to study the relationship between the variables. Liquidity, profitability, growth, inflation and exchange rate indicators proved to be important influencers of the stock prices of private sector banks in India. The study provides evidence for the Fisher effect suggesting that private bank stocks can provide good inflation-adjusted returns over time. Stakeholders of these banks can focus on these determinants which contribute to shareholder value over time.

ANALISIS PENGARUH TINGKAT SUKU BUNGA, NILAI TUKAR DAN INFLASI TERHADAP HARGA SAHAM PERBANKAN PADA TAHUN 2011-2020

The purpose of this study is to reaffirm the effect of interest rates, exchange rates and inflation on banking stock prices in 2011-2020 and to strengthen the results of previous studies. The data sources for this research were obtained from the official website of Bank Indonesia, the Central Bureau of Statistics, and the Indonesia Stock Exchange. The population in this study were 45 banks. The research sample used was purposive sampling technique. The analysis technique used is a quantitative technique, then it is estimated by means of a qualitative test of the influence of the variables both simultaneously and partially and using a panel data regression model test, classical assumptions, linear data panel analysis to the coefficient of determination r-square. The results showed that the results of the separate test showed a positive and significant effect on the interest rate variable, then the exchange rate variable obtained a positive and significant effect while the inflation variable had a negative and insignificant effect. This is because if inflation occurs, the price will decrease so that inflation must continue to increase and in such a way that there are no fluctuations in order to stabilize inflation.