• myGriffith
    • Staff portal
    • Contact Us⌄
      • Future student enquiries 1800 677 728
      • Current student enquiries 1800 154 055
      • International enquiries +61 7 3735 6425
      • General enquiries 07 3735 7111
      • Online enquiries
      • Staff phonebook
    View Item 
    •   Home
    • Griffith Research Online
    • Conference outputs
    • View Item
    • Home
    • Griffith Research Online
    • Conference outputs
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Browse

  • All of Griffith Research Online
    • Communities & Collections
    • Authors
    • By Issue Date
    • Titles
  • This Collection
    • Authors
    • By Issue Date
    • Titles
  • Statistics

  • Most Popular Items
  • Statistics by Country
  • Most Popular Authors
  • Support

  • Contact us
  • FAQs
  • Admin login

  • Login
  • Money market interest rate and bank shares: A case study of Australia

    Author(s)
    Awirothananon, Thatphong
    Griffith University Author(s)
    Awirothananon, Thatphong
    Year published
    2009
    Metadata
    Show full item record
    Abstract
    There is a large literature on the relationship between changes in interest rate and stock return of commercial banks but the empirical evidence is conflicting and mixed. This paper sets out to explain the apparent differences in the relationship in terms of regime switching. Markov switching model is used for this because it allows for some parameters to change according to economic shocks. This paper examines the relationship by measuring the direction and magnitude in which stock return of commercial banks responds to changes in money market interest rate in Australia. The study covers the period from October 1993 ...
    View more >
    There is a large literature on the relationship between changes in interest rate and stock return of commercial banks but the empirical evidence is conflicting and mixed. This paper sets out to explain the apparent differences in the relationship in terms of regime switching. Markov switching model is used for this because it allows for some parameters to change according to economic shocks. This paper examines the relationship by measuring the direction and magnitude in which stock return of commercial banks responds to changes in money market interest rate in Australia. The study covers the period from October 1993 to May 2008. The analysis shows that the noticeable differences in the relationship between changes in money market interest rate and commercial banks' stock return are caused by regime switching. Hence, it is arguable that the apparent different responses could be better explained in terms of regime switching.
    View less >
    Conference Title
    Asian FA International Conference 2009
    Publisher URI
    http://www.business.uq.edu.au/
    Subject
    Banking, Finance and Investment not elsewhere classified
    Publication URI
    http://hdl.handle.net/10072/31963
    Collection
    • Conference outputs

    Footer

    Disclaimer

    • Privacy policy
    • Copyright matters
    • CRICOS Provider - 00233E
    • TEQSA: PRV12076

    Tagline

    • Gold Coast
    • Logan
    • Brisbane - Queensland, Australia
    First Peoples of Australia
    • Aboriginal
    • Torres Strait Islander