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What determines bank-specific variations in bank stock returns? Global evidence

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  • Francis, Bill B.
  • Hasan, Iftekhar
  • Song, Liang
  • Yeung, Bernard

Abstract

This paper examines how bank regulation and supervision measures affect the synchronicity of bank stock returns, a measure that is negatively related to variations in bank-specific fundamentals and stock price informativeness. Using data from World Bank surveys in 35 countries, we find that bank stock returns are less synchronous in countries with more stringent capital regulations, more supervision that emphasizes private monitoring, and less government bank ownership. On the other hand, direct government control of bank activities, as well as direct government monitoring and disciplining, do not reduce stock return synchronicity.

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  • Francis, Bill B. & Hasan, Iftekhar & Song, Liang & Yeung, Bernard, 2015. "What determines bank-specific variations in bank stock returns? Global evidence," Journal of Financial Intermediation, Elsevier, vol. 24(3), pages 312-324.
    • Handle: RePEc:eee:jfinin:v:24:y:2015:i:3:p:312-324
    DOI: 10.1016/j.jfi.2014.06.002
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    5. Christina Bui, 2018. "Bank Regulation and Financial Stability," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2018.
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    9. Yiwei Fang & Iftekhar Hasan & Woon Sau Leung & Qingwei Wang, 2019. "Foreign ownership, bank information environments, and the international mobility of corporate governance," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 50(9), pages 1566-1593, December.
    10. Doan, Anh-Tuan & Lin, Kun-Li, 2022. "Bank ownership and stock price informativeness. Does politics matter?," International Review of Financial Analysis, Elsevier, vol. 79(C).
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