Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.14279/19339
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Elyasiani, Elyas | - |
dc.contributor.author | Hasan, Iftekhar | - |
dc.contributor.author | Kalotychou, Elena | - |
dc.contributor.author | Pouliasis, Panos K. | - |
dc.contributor.author | Staikouras, Sotiris K. | - |
dc.date.accessioned | 2020-11-09T10:17:33Z | - |
dc.date.available | 2020-11-09T10:17:33Z | - |
dc.date.issued | 2020-05 | - |
dc.identifier.citation | Financial Markets, Institutions and Instruments, 2020, vol. 29, no. 2, pp. 43-64 | en_US |
dc.identifier.issn | 14680416 | - |
dc.identifier.uri | https://hdl.handle.net/20.500.14279/19339 | - |
dc.description.abstract | Using an extensive global sample, this paper investigates the impact of the term structure of interest rates on bank equity returns. Decomposing the yield curve to its three constituents (level, slope and curvature), the paper evaluates the time-varying sensitivity of the bank's equity returns to these constituents by using a diagonal dynamic conditional correlation multivariate GARCH framework. Evidence reveals that the empirical proxies for the three factors explain the variations in equity returns above and beyond the market-wide effect. More specifically, shocks to the long-term (level) and short-term (slope) factors have a statistically significant impact on equity returns, while those on the medium-term (curvature) factor are less clear-cut. Bank size plays an important role in the sense that exposures are higher for SIFIs and large banks compared to medium and small banks. Moreover, banks exhibit greater sensitivities to all risk factors during the crisis and post-crisis periods compared to the pre-crisis period; though these sensitivities do not differ for market-oriented and bank-oriented financial systems. | en_US |
dc.format | en_US | |
dc.language.iso | en | en_US |
dc.relation.ispartof | Financial Markets, Institutions and Instruments | en_US |
dc.rights | © The Authors. | en_US |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 International | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | * |
dc.subject | Banks | en_US |
dc.subject | Economic cycles | en_US |
dc.subject | Equity return | en_US |
dc.subject | Interest rate risk | en_US |
dc.subject | Yield curve | en_US |
dc.title | Banks’ equity performance and the term structure of interest rates | en_US |
dc.type | Article | en_US |
dc.collaboration | Temple University | en_US |
dc.collaboration | Fordham University | en_US |
dc.collaboration | Cyprus University of Technology | en_US |
dc.collaboration | University of London | en_US |
dc.collaboration | Bank of Finland | en_US |
dc.collaboration | University of Sydney | en_US |
dc.subject.category | Economics and Business | en_US |
dc.journals | Open Access | en_US |
dc.country | United States | en_US |
dc.country | Cyprus | en_US |
dc.country | United Kingdom | en_US |
dc.country | Finland | en_US |
dc.country | Australia | en_US |
dc.subject.field | Social Sciences | en_US |
dc.publication | Peer Reviewed | en_US |
dc.identifier.doi | 10.1111/fmii.12125 | en_US |
dc.relation.issue | 2 | en_US |
dc.relation.volume | 29 | en_US |
cut.common.academicyear | 2019-2020 | en_US |
dc.identifier.spage | 43 | en_US |
dc.identifier.epage | 64 | en_US |
item.fulltext | With Fulltext | - |
item.languageiso639-1 | en | - |
item.grantfulltext | open | - |
item.openairecristype | http://purl.org/coar/resource_type/c_6501 | - |
item.cerifentitytype | Publications | - |
item.openairetype | article | - |
crisitem.author.dept | Department of Finance, Accounting and Management Science | - |
crisitem.author.faculty | Faculty of Tourism Management, Hospitality and Entrepreneurship | - |
crisitem.author.orcid | 0000-0003-2824-0383 | - |
crisitem.author.parentorg | Faculty of Management and Economics | - |
Appears in Collections: | Άρθρα/Articles |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
fmii.12125.pdf | Fulltext | 2.36 MB | Adobe PDF | View/Open |
CORE Recommender
SCOPUSTM
Citations
1
checked on Nov 6, 2023
Page view(s)
363
Last Week
0
0
Last month
29
29
checked on Mar 14, 2025
Download(s)
110
checked on Mar 14, 2025
Google ScholarTM
Check
Altmetric
This item is licensed under a Creative Commons License