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The influence of currency risk upon the market value of commercial banks operating in the Polish banking sector

Author

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  • Zbigniew Korzeb

    (Bialystok University of Technology)

Abstract

The objective of the paper is to analyse the impact of the Swiss Nati onal Bank’s decision to introduce the floating exchange rate of the franc on January 15th, 2015, upon the market value of commercial banks operatingin the Polish banking sector. The analysis involved twelve commercial banks quoted on the Warsaw Stock Exchange. The results are inconclusive. The predicted reducti on of the banks’ market value was less significant than indicated by market investors’ reaction on the day after the announcement of the decision to introduce the floating exchange rate of the franc. The banks most prone to granting credit denominated in CHF did experience the largest reducti on of their share quotations. However, the Pearson product-moment correlation coefficient calculated for the correlation between the average cumulative abnormal returns on shares for the entire analysed sample, and the proportion of credits denominated in Swiss francs in the total credit portfolio, indicated only a moderate correlation between both variables.

Suggested Citation

  • Zbigniew Korzeb, 2016. "The influence of currency risk upon the market value of commercial banks operating in the Polish banking sector," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 11(4), pages 57-63, March.
    • Handle: RePEc:rze:efinan:v:11:y:2016:i:4:p:57-63
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    References listed on IDEAS

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    1. Mehmet Huseyin Bilgin & Hakan Danis & Ender Demir & Ugur Can (ed.), 2016. "Business Challenges in the Changing Economic Landscape - Vol. 1," Eurasian Studies in Business and Economics, Springer, edition 1, number 978-3-319-22596-8, December.
    2. Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February.
    3. Mehmet Huseyin Bilgin & Hakan Danis & Ender Demir & Ugur Can (ed.), 2016. "Business Challenges in the Changing Economic Landscape - Vol. 2," Eurasian Studies in Business and Economics, Springer, edition 1, number 978-3-319-22593-7, December.
    4. Alexander J. McNeil & Rüdiger Frey & Paul Embrechts, 2015. "Quantitative Risk Management: Concepts, Techniques and Tools Revised edition," Economics Books, Princeton University Press, edition 2, number 10496.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    commercial banks; event studies; internati onal fi nancial markets; criteria for decision-making under risk and uncertainty;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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