The effect of changes in the level of interest rates to the stock returns of British banks : The case of Great Britain stock market
Part of : Αρχείον οικονομικής ιστορίας ; Vol.XX, No.2, 2008, pages 79-84
Issue:
Pages:
79-84
Author:
Abstract:
The main subject of my paper is to examine the influence of interest rate changes to common stock returns of commercial banks in Great Britain. The interest rate changes are categorized to current and unanticipated changes. In order to predict unanticipated interest rate expectations I will use the Box-Jenkins modeling procedure. I will employ a variant of the capital asset pricing model to analyze the separate effects of market return and current and unexpected interest rate changes on bank stock returns. The results over the sample period indicate a significant influence of changes in interest rates expectations to the market values of British Commercial Banks.
Subject:
Subject (LC):
Keywords:
unanticipated interest rate changes, stock returns of British banks, Box-Jenkins modeling procedure
Notes:
JEL classification: G10
