The determinants of bank stock return's co-movements in East Asia
AbstractWe examine co-movements of bank stock returns in eight East Asian countries after the 1997 crisis and attempt to determine the factors that influence them. Unlike Bautista and al (2008) who focus on a measure of the contribution of banks to systemic risk, we consider the return correlations among banks within each country which are used as a dependent variable in weighted least squares regressions. The factors were chosen from a wide range of accounting and market-based indicators, but also macroeconomic and financial development data, using a stepwise procedure. The study finds that financial development is one of the significant determinants of return co-movement but that the share of interbank activities in the balance sheet is not a significant factor. A strong link is found between the bank return co-movements and bank default risk measured by a z-score. To a lesser extent, the share of loan activities in a bank's balance sheet, which is a proxy of opacity, is also a significant factor of the level of correlation.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 29 (2009)
Issue (Month): 3 ()
Contact details of provider:
Bank contagion; East Asia; Correlation of bank stock returns;
Other versions of this item:
- Carlos Bautista & Philippe Rous & Amine Tarazi, 2008. "The Determinants of Bank Stock Returns' Co-Movements in East Asia," Working Papers hal-00916496, HAL.
- Carlos Bautista & Philippe Rous & Amine Tarazi, 2009. "The determinants of bank stock return's co-movements in East Asia," Post-Print hal-00844920, HAL.
- G2 - Financial Economics - - Financial Institutions and Services
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Demirguc-Kunt, Asli & Detragiache, Enrica & Gupta, Poonam, 2006.
"Inside the crisis: An empirical analysis of banking systems in distress,"
Journal of International Money and Finance, Elsevier,
Elsevier, vol. 25(5), pages 702-718, August.
- Demirguc-Kunt, Asli & Detragiache, Enrica & Gupta, Poonam, 2000. "Inside the crisis : an empirical analysis of banking systems in distress," Policy Research Working Paper Series 2431, The World Bank.
- Gropp, Reint & Moerman, Gerard, 2003.
"Measurement of contagion in banks' equity prices,"
Working Paper Series
0297, European Central Bank.
- Gropp, Reint & Moerman, Gerard, 2004. "Measurement of contagion in banks' equity prices," Journal of International Money and Finance, Elsevier, Elsevier, vol. 23(3), pages 405-459, April.
- Saxonhouse, Gary R, 1976. "Estimated Parameters as Dependent Variables," American Economic Review, American Economic Association, vol. 66(1), pages 178-83, March.
- Douglas W. Diamond & Philip H. Dybvig, 2000.
"Bank runs, deposit insurance, and liquidity,"
Quarterly Review, Federal Reserve Bank of Minneapolis,
Federal Reserve Bank of Minneapolis, issue Win, pages 14-23.
- Diamond, Douglas W & Dybvig, Philip H, 1983. "Bank Runs, Deposit Insurance, and Liquidity," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 91(3), pages 401-19, June.
- Ilan Goldfajn & Taimur Baig, 1999.
"Financial market contagion in the Asian crisis,"
Textos para discussão
400, Department of Economics PUC-Rio (Brazil).
- Diamond, Douglas W, 1984. "Financial Intermediation and Delegated Monitoring," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 51(3), pages 393-414, July.
- Gianni De NicolÃƒÂ³ & Myron L. Kwast, 2002. "Systemic Risk and Financial Consolidation," IMF Working Papers 02/55, International Monetary Fund.
- Carlos Bautista & Philippe Rous & Amine Tarazi, 2008.
"The Determinants of Domestic and Cross Border Bank Contagion Risk in Southeast Asia,"
Presses de Sciences-Po, vol. 59(6), pages 1215-1242.
- Carlos Bautista & Philippe Rous & Amine Tarazi, 2007. "The Determinants of Domestic and Cross Border Bank Contagion Risk in South East Asia," Working Papers hal-00918555, HAL.
- De Nicolo, Gianni & Kwast, Myron L., 2002. "Systemic risk and financial consolidation: Are they related?," Journal of Banking & Finance, Elsevier, vol. 26(5), pages 861-880, May.
- Soedarmono, Wahyoe & Tarazi, Amine, 2013.
"Bank opacity, intermediation cost and globalization: Evidence from a sample of publicly traded banks in Asia,"
Journal of Asian Economics,
Elsevier, vol. 29(C), pages 91-100.
- Wahyoe Soedarmono & Amine Tarazi, 2013. "Bank Opacity, Intermediation Cost and Globalization: Evidence from a Sample of Publicly Traded Banks in Asia," Working Papers hal-00916564, HAL.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John P. Conley).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.