政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/31026

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/31026

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政大典藏 > College of Commerce > Department of Finance > Theses > Item 140.119/31026

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/31026

Title:	The Reaction of Bank Stock Prices to the Asian Financial crises
Authors:	張淑倩
Contributors:	張元晨張淑倩
Keywords:	foreign loan exposure bank stock Asian crises
Date:	2004
Issue Date:	2009-09-14 09:05:08 (UTC+8)
Abstract:	This paper investigates the reaction of US, European and Japanese bank stocks to economic and political news reports during the Asian Financial crisis period. I identify relevant events using key word searches during the crisis period and estimate their impact on the US, European and Japanese bank stock prices. The empirical evidence shows that adverse events in Asian countries affect most banks with exposure in these countries. However, it is seen that the exposed banks’ stock price reactions are not proportional to their loan exposure. The stock market still needs more accurate and public exposure disclosures from banks to formulate accurate reactions during the Asian financial crisis period.
Reference:	[1] Basel Committee on Banking and Supervision. 2001. The New Basel Capital Accord, Bank for International Settlements, Basel. [2] Boscaljon B. and Ho C. 2005. Information content of bank loan announcements to Asian corporations during periods of economic uncertainty. Journal of Banking and Finance 29, 369-389. [3] Cornell, B. and Shapiro, A., 1986. The reaction of bank stock prices to the international debt crisis. Journal of Banking and Finance 10, 55–73. [4] Crouzille C., Lepetit L. and Tarazi A. 2004. Bank stock volatility, news and asymmetric information in banking: an empirical investigation. Journal of Multinational Financial Management 14, 443-461. [5] Dahiya S., Saunders A. and Srinivasan A. 2003. Financial distress and bank lending relationships. The Journal of Finance 58, 375-399. [6] Del Negro M. and Kay S. J. 2002. Global banks, local crises: bad news from Argentina. Economic Review- Federal Reserve Bank of Atlanta 87, 89-106. [7] Elyasiani E. and Mansur I. 1998. Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model. Journal of Banking and Finance 22, 535-563. [8] Flannery, M., 2001. The faces of market discipline. Journal of Financial Services Research 20, 107–119. [9] Grammatikos, T. and Saunders A. 1990. Addition to bank loan-loss reserves: good news or bad news?, Journal of Monetary Economics 27, 315-354. [10] Kaminsky G. and Rinhart C. 1999. Bank Lending and Contagion: Evidence from the Asian Crisis. NBER working paper. [11] Kaminsky G. and Schmukler S. 1999. What triggers market jitters? A chronicle of the Asian crisis. Working paper. The World Bank, Washington, DC. [12] Kho, Bong-Chan and Stulz, Ren□ M. 2000. “Banks, the IMF, and the Asian crisis”. Pacific-Basin Finance Journal 8, 177-216. [13] Kho, Bong-Chan, Lee, Dong and Stulz, Ren□ M. 2000. “U.S. banks, crises, and bailouts: from Mexico to LTCM”. Working paper. [14] Lamy, R. E., Marr, W., and Tompson, G. R. 1986. The Mexican debt crisis, the IMF, and the efficiency of bank share prices, Studies in Banking and Finance3, 203-217. [15] Lau, S. T. and McInish, T. H. 2003. IMF bailouts, contagion effects, and bank security returns. International Review of Financial Analysis 12, 3-23. [16] Madura J, Tucker A, Zarruk E. 1992. Reaction of bank share prices to the Third-World debt reduction plan. Journal of Banking and Finance 16: 853–868. [17] Madura J, Tucker A, Zarruk E. 1993. Market reaction to the thrift bailout. Journal of Banking and Finance 17: 591-608. [18] Madura J, Tucker A. 1991. Information effects of First Republic Bank’s failure. Applied Financial Economics 1: 89-96. [19] Musumeci, James J and Sinkey, Joseph F, Jr. 1990. The international debt crisis, investor contagion, and bank security returns in 1987: The Brazilian experience. Journal of Money, Credit and Banking, 22, 209–220. [20] Smirlock M, Kaufold H. 1987. Bank foreign lending, mandatory disclosure rules, and the reaction of bank stock prices to the Mexican debt crisis. Journal of Business 60: 347–364.
Description:	碩士國立政治大學財務管理研究所 92357011 93
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0923570111
Data Type:	thesis
Appears in Collections:	[Department of Finance] Theses

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