A Regime-Switching analysis of Asian bank stocks

Document Type

Book Chapter

Publisher

Elsevier

Faculty

Faculty of Business and Law

School

School of Business

RAS ID

18558

Comments

Ho, K., Shi, Y., & Zhang, Z. (2014). A Regime-Switching Analysis of Asian Bank Stocks. In Lee, D. & Gregoriou, G. N. (Eds.). Handbook of Asian Finance Vol 1: Financial Markets and Sovereign Wealth Funds (pp. 355-371). United States: Elsevier. Copy of chapter Available here

Abstract

The market prices or returns of bank stocks contain important information for both supervisory bodies and market participants. In this chapter we examine the impact of firm-specific and macroeconomic news announcements on major Asian bank stock returns by applying a regime-switching framework. The analysis suggests that both the occurrence and sentiment of those news announcements have predictive power for future stock returns. Overall, firm-specific news has greater effects than macroeconomic news, and negative (positive) news can reduce (increase) stock returns. In addition, the magnitudes of those effects are different, depending on the types of news and regimes of stock returns. Our findings have great importance for policy makers seeking stability of financial system. Also, daily impact of news will help traders anticipate the potential effects on the returns of banks that they are monitoring.

DOI

10.1016/B978-0-12-800982-6.00006-8

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