Bank Stock Prices Research Articles

The effect of dividends policy on the stock prices - the Jordanian listed commercial banks case

This paper aims to investigate the effect of dividends policy on the fair value of stock prices of the Jordanian commercial banks listed in the Amman Stock Exchange (ASE). The paper used 13 listed commercial banks during the period (2007-2017). It used two methods of data collection: the annual reports of the banks and the Jordanian shareholding banks guide. In order to clarify the sample, the paper utilised the frequency distributions and descriptive statistics. The paper found that stock price and dividends are correlated positively and significantly and hence there is an impact of dividends policy on fair value of stock prices in the Jordanian listed commercial banks. The paper concluded that the Jordanian listed commercial banks should work to raise the wealth of shareholders by increasing the dividends payment overtime to improve the performance of the stock market.

Pengaruh Komponen RGEC Terhadap Perubahan Harga Saham Perbankan di BEI Tahun 2008-2017

Penelitian ini, bertujuan untuk mengetahui harga saham perbankan dengan melihat pengaruh dari tingkat kesehatannya diukur dengan metode RGEC yaitu Profil Risiko, Earning, Good Corporate Governance (GCG), dan Capital terhadap harga saham perusahaan perbankan di Bursa Efek Indonesia tahun 2008-2017. Penelitian ini menggunakan data sekunder. Metode analisis yang digunakan yaitu dengan analisis regresi berganda. Hasil penelitian menunjukkan secara simultan, harga saham perusahaan bank dipengaruhi oleh variabel-variabel independen LDR, Komisaris Independen, NIM, dan CAR secara signifikan. Sedangkan secara parsial, harga saham perusahaan bank dipengaruhi komisaris independen dan CAR secara negatif, NIM berpengaruh secara positif namun LDR tidak mempengaruhi harga saham.

On Becoming an O-SII (“Other Systemically Important Institution”)

Abstract How have financial markets reacted to the disclosure of the list of Other Systemically Important Institutions by the European Banking Authority? With an event study of bank stock prices, we document that the immediate reaction of the stock market is negative, suggesting that the included financial institutions are perceived to be less profitable because they are subject to tighter regulation. However, within a few days, investors change their perception in the case of both euro-zone and noneuro-zone banks, which can be attributed to their too-big-to-fail status. CDS spreads react similarly, increasing first before decreasing almost immediately thereafter. On the day of the event, abnormal returns are more negative for banks selected using supervisory judgement and for large banks. In the long run, the market reacts more positively in the case of financial institutions selected using discretionary information and those with a lower capitalization. (143 words)

Foreign Bank Entry and Stock Price Crash Risk: Insights from Staggered Regulatory Changes

Exploring staggered quasi-exogenous regulatory changes in China, we find that banking sector FDI significantly reduces the likelihood of stock price crashes of domestic listed firms. The effect is more pronounced among firms with ex-ante lower disclosure quality and worse performances, which indicates a monitoring spillover effect of foreign bank penetration on domestic firms. Moreover, we find evidence of reduced overall financing costs and extended loan maturity after foreign bank entry. Our findings highlight an unexplored role of the banking sector marketization in terms of curtailing stock price crash risks and improving the stability of stock markets.

The (Re)allocation of Bank Risk

Little is known about the location of bank risk, i.e., which investors in which countries hold bank-issued securities like bonds and stocks. In this paper, we analyze the (re-)distribution of bank risk across asset classes (short- and long-term debt, equity), across investor types and across geographic locations. We also differentiate bank holdings according to riskiness based on credit ratings and yield spreads. We use the Securities Holdings Statistics database for the euro area which contains information on securities holdings at the ISIN level. Our main findings are as follows. First, bank risk is held disproportionately by other banks. Second, households are disproportionally exposed to riskier bank securities. Third, about 30% of bank securities are held outside the euro area, with these percentages larger (smaller) for short term debt and equities (long term debt). Geographically, large issuers of bank risk such as France and Germany, also hold most of the bank risk, with the exception of the Netherlands, which, despite being a top 5 issuer, holds almost no bank securities. Fourth, the holding bank risk is highly concentrated domestically, with the concentration more extreme for countries such as Greece, Italy and Portugal, which hold more than 70% of their bank’s securities domestically. The domestic concentration of bank risk is (much) more severe than the domestic concentration of non-bank corporate securities and sovereign debt. Fifth, re-allocation is overall statistically significant but economically more important for bonds than for equities. Finally, we exploit the inclusion of some banks on the list of other systemically important institutions (O-SII) – which makes them subject to more stringent supervisory and regulatory requirements – as a shock to the riskiness of securities issued by those banks. Following the inclusion on the OSII list, bank stock (bond) prices decrease (increase) relative to stock (bond) prices of banks not included on the list. In terms of holdings, other banks increase their holdings of equity and decrease their holdings of bonds issued by the OSII-designated banks. Households and insurances likewise increase holdings of equity issued by the OSII-designated banks. By contrast, investment funds and financial vehicle corporations decrease holdings of equity issued by the OSII-designated banks.

Effect of Car, ROA, NIM, LDR and NPL on Stock Prices in Banking That Shared Listed In LQ45 Period 2013-2018

The aim of this study is to examine and analyze the effect of Capital Adequacy Ratio (CAR), Return on Assets (ROA), Net Interest Margin (NIM), Loan Deposit Ratio (LDR), and Non-Performing Loans (NPL) on banking stock prices listed in LQ45 2013-2018 period. Research data is secondary data for a 6-year observation period. The sampling method used is purposive sampling method, where all conventional commercial banks have only 6 banks registered in LQ45, namely BJB, BNI, Mandiri, BCA, BTN, and BRI which meet the criteria as samples. The analytical method used in this study is panel data regression. The results showed that CAR had a significant positive effect, but ROA, NIM, LDR, and NPL did not affect the banking stock price.

Opacity and the comovement in the stock prices of banks

AbstractWe examine whether the stock prices of banks co‐move more than the stock prices of non‐banks, and whether that comovement is driven by informational opacity. Since the risks associated with the financial intermediation process are relatively opaque to outside investors, valuing banks can be difficult and information acquisition can be costly. We introduce a measure of comovement, denoted as beta dispersion, that identifies how closely a particular stock co‐moves with the average industry CAPM beta. We find that bank stock prices generally co‐move more than non‐bank stock prices, and that opacity is driving the higher levels of comovement.

Banking Price Forecasting Application Using Neural Network Time Series Method


 In the capital market is a meeting place for investors to make an offer with demand for securities as a means of business funding or as a means for companies to get funds. One of the assets to invest in the capital market is stocks. In terms of business aspects, stock investment has good growth but this does not apply to all stock sectors. Because in fact the development of capital markets in Indonesia turned out to be ups and downs. It can cause changes in demand and supply that will affect investor psychology in predicting stock prices. This stock price forecasting system will be created using the Neural Network Time Series method. Using historical data as a reference in the neural network training process can be used as a basis for predicting bank stock prices the next day. In the tests that have been carried out using the application forecasting stock prices of state banks using the neural network time series method with the backpropagation algorithm, the average accuracy rate of the State Savings Bank (BTN) is 97.32%, Bank Negara Indonesia (BNI) 98.25%, Bank Mandiri 97.68% %, and at Bank Rakyat Indonesia (BRI) 98.59%.

Foreign ownership, bank information environments, and the international mobility of corporate governance

This paper investigates how foreign ownership shapes bank information environments. Using a sample of listed banks from 60 countries over 1997–2012, we show that foreign ownership is significantly associated with greater (lower) informativeness (synchronicity) in bank stock prices. We also find that stock returns of foreign-owned banks reflect more information about future earnings. In addition, the positive association between price informativeness and foreign ownership is stronger for foreign-owned banks in countries with stronger governance, stronger banking supervision, and lower monitoring costs. Overall, our evidence suggests that foreign ownership reduces bank opacity by exporting governance, yielding important implications for regulators and governments.

PENGARUH IMPLEMENTASI CORPORTATE SOCIAL RESPONSIBILITY TERHADAP HARGA SAHAM (Studi pada Emiten LQ45 di Bursa Efek Indonesia Tahun 2006/2007)

This research is purposed to determine influence CSR disclosure to stock price of banking and mining companies that listed at Indonesia Stock Exchange(IDX). There are two model ofresearch, the first model without control variable BETA and PBV. The second model included control variable BETA and PBV. BETA is proxy of risk and PBV is proxy of growth. This research was conducted on 30 mining and banking companies that listed in Indonesia Stock Exchange (IDA9 for the period 2006-2007. The method which used to select sample ofthis research is purposive sampling. Data analysis methods used Pearson for validity test, P-P Plot for normality test, Variance Inflation Factor(VIF) for multicollinearity test, LM-test for autocorrelation, and Glejser for heterrocedacity test. 7.= test and F-test was used to test hypothesis. The result of this research are in the first model( without control variable BETA and PBV), CSRI disclosure, Unexpected Return(UE), interaction between CSRI & UE not influenced CAR of mining and banking companies that listed at IDX. The second model(included control variable BETA and PBV) indicated that CSRI disclosure, Unexpected Return(UE), interaction between CSRI & UE, Price to Book Value(PBIO, BETA, interaction BETA & PBVnot influenced CAR ofbanking and mining companies that listed at IDX

A second-order fuzzy time series model for stock price analysis

It is difficult to model stock market because of its uncertainty. Many methods have been introduced to tackle these difficulties, in which fuzzy time series has shown its advantages in dealing with fuzzy and uncertainty data. In recent years, many researchers have applied the fuzzy time series to analyze and forecast the stock price, and how to improve the accuracy of forecasting has attracted many researchers. In this paper, the data are first preprocessed and a new way to divide the universe of discourse is given, after which the data are fuzzified applying the triangular membership function, then three-layer back propagation (BP) neural network is established. Finally, the generalized inverse fuzzy number formula is applied to defuzzify the relation obtained with the prediction results. The proposed method is applied to predict the stock price of State Bank of India (SBI) and Dow-Jones Industrial Average (DJIA). The experimental results show that the proposed method can greatly improve the accuracy of forecasting. Furthermore, the proposed method is not sensitive to its parameters.

Time to buy or just buying time? Lessons from October 2008 for the cross-border bailout of banks

This paper studies the country-level reaction of bank credit default swap (“CDS”) spreads and stock prices to bailout announcements in the US and five European countries in October 2008. Bailouts announcements are associated with bank CDS spreads narrowing, both for domestic and foreign banks, pointing to an important role for cross-border exposures. Movements in bank stock prices show mixed reactions, both domestically and cross-border, with banks receiving favorable government support outperforming foreign rivals. By January 2010, bank CDS spreads had stabilized at higher levels reflecting greater default risk, while bank stock prices remained significantly below their pre-crisis levels.

The Behaviour of Banking Stocks During the Financial Crisis and Recessions. Evidence from Changes‐in‐Changes Panel Data Estimations

AbstractThis paper examines the impact of the financial crisis and economic recessions on bank shares compared to the overall stock market index for 18 OECD countries from 1993 to 2015. The empirical methodology utilizes the changes‐in‐changes approach. We compare and contrast the returns of the banking stock price index (treatment group) in each country with their general stock price index (control group), which experiences smaller changes. Our results suggest that bank returns on average perform significantly worse than that of the general stock price index during recessions. In addition, we also find significantly greater volatility in bank share returns.

Interbank Network Characteristics, Monetary Policy ‘News’ and Sensitivity of Bank Stock Returns

This paper investigates whether interbank network topology influences the impact of monetary policy announcements on bank cumulative abnormal returns (CAR's). Although recent studies have emphasized the channels of non-conventional monetary policy actions and the sensitivity of bank stock prices to News, how such reaction could be influenced by the shape of bank networks remains an open issue. We look at how banks' interconnectedness within interbank loan and deposit networks affects investors' expectations of future bank performance in response to monetary policy News. Our sample consists of commercial, investment, real estate and mortgage banks in 10 Euro-zone countries. Our results show that the stock prices of banks with stronger local network positions are less sensitive to monetary policy announcements while those of banks with stronger system-wide positions are more sensitive to them.

Quantitative easing and government bonds: evidence from the EU

This paper examines the relationship of quantitative easing policy programs, government bond yields and banking stock price returns for the EU periphery. The aim is to estimate and to analyse the effect of the ECB's QE policy on government bond yields and banking stock prices. The dataset consist of monthly panel data observations spanning from January 2008 until September 2017. The empirical part utilises the difference-in-differences methodology. The findings suggest that the implementation of QE has positive effects, by decreasing the bond yields for the periphery countries that participated in the program; there were no effects noted for banking returns. Additional macroeconomic variables are included, where a reduction in government debt and unemployment and a raise in industrial production, tax revenues and FDI lead to lower government bond yields and to higher banking returns. The research provides to investors and government regulators empirical insights into the effects that QE policies have.

Do Accounting Numbers Have Any Relation with Stock Prices? A Case of Public and Private Sector Banks of India

Capital market research examines the ability of accounting numbers to influence the stock prices thus stock returns. This paper attempts to study the association between the accounting variables and stock price for banking sector in India and also to explore whether same variables influence the stock price of private and public sector banks in India. Nine accounting variables for the period of ten years have been studied for BSE listed banks. The study used panel least regression analysis by incorporating Fixed effect model (FEM) and Random effect model (REM), where nine set of accounting variables regressed against market share price of private and public sector banks for a period of 10 years from 2005 to 2014. The empirical findings revealed that, out of nine independent variables used; the earnings per share, book value per share, assets turnover and current ratio were significant in private sector banks and earnings per share, book value per share, return on equity and net non-performing assets ratio were significant in public sector banks. Overall empirical findings reported that the fundamental accounting variables in public sector banks are more relevant than that of private sector banks and this supports the hypothesis of the study. This is against the notion raised in 90s that accounting information has become less value relevant.

ECB's unconventional monetary policies and the European bank stock returns

This paper examines the impact of the four unconventional monetary policy announcements followed by the European Central Bank on the stock price of European banks, as well as on the STOXX Europe 600 Banks index, from January 2010 to December 2016. The results show that there is a positive relation between the announced programs and the stock returns of the European banks at the same day of the announcement, while the impact is stronger for the long-term sovereign bond purchases (Securities Markets Programme). We also find that the banks of the countries which benefit most from the unconventional policies are these from Southern Europe. On the contrary, the announcement of these programs displays a limited effect on the banks of the European core countries and those with solid banking system. Finally, the announcements seem to reduce the volatility of stock prices and especially for the Covered Bond Purchase Programme (CBPP3).

Stock Price Behavior of Nepalese Commercial Banks: Random Walk Hypothesis

Using the data set on daily stock prices during the fiscal year 2015/16 (Sept 23, 2015 through Dec 22, 2015), this paper attempts to analyze the random behavior of stock price of Nepalese Commercial Banks by using run test, serial correlation and run tests and martingale random walk hypothesis under heteroscedasticity assumption of standard error. The results conclude that the proposition of Random Walk Hypothesis (RWH) in Nepalese stock markets does not hold true. This conclusion corroborates with the conclusions of the past studies carried out in Nepalese context.

PENGARUH KINERJA KEUANGAN TERHADAP HARGA SAHAM PADA BANK UMUM MILIK PEMERINTAH

One of the considerations of investors in investing in shares is fluctuations in stock prices. Stock prices are one indicator of the success of company management. Investor or prospective investor trust is very beneficial for the issuer, because the more people who trust the issuer, the stronger the desire to invest in the issuer. The purpose of this study was to determine the financial performance as measured by the variable Capital Adequacy Ratio (CAR), Net Profit Margin (NPM), Loan to Deposit Ratio (LDR) and Return On Equity (ROE) to the stock prices of government-owned commercial banks on the IDX.
 The technical analysis used in this study is multiple linear regression and t (t-test) for partial analysis. Based on the results of multiple linear regression analysis, the regression equation Y = 18.905 + 0.149 (X1) +0.393 (X2) -0.487 (X3) + 0.238 (X4) is obtained. T-test testing from the regression results obtained that the Capital Adequacy Ratio and Return On Equity partially did not have a significant effect on stock prices. While the Net Profit Margin and Loan to Deposit Ratio partially have a significant effect on stock prices.

Stock Price and Performance of Indonesian Banking, Case Study for The Period of 2013-2016

The purpose of this study is to analyze the effect of Return On Assets, Return On Equity and Earning Per Share to stock prices of Banking Companies listed in Indonesia Stock Exchange (IDX) during 2013-2016. This study analyzes the profitability ratios of financial statements of banking companies and their impact on stock prices. Method, The population of this research is Banking Companies listed in IDX during 2013-2016. Samples used are as many as 10 Banking companies with purposive sampling technique to determine the sample based on certain criteria. The analytical technique used is Multiple Regression Analysis. The data is financial statements downloaded from Indonesia Stock Exchange website and tested with SPSS 18 application. Result, Result of this study is that the performance of Indonesian banking is influenced by Return On Asset (ROA), Return On Equity (ROE), which have a significant influence on Stock Price, however Earning Per Share (EPS) has no significant effect on Stock Price. The findings of this study are banking companies that go public in Indonesia, their Stock Price is determined by the value of ROA and ROE and this will assist to provide useful information to other researchers, investors and banking companies