Canadian chartered banks’ stock returns and exchange rate risk

Management Decision

Volumn 39, Issue 4, 2001, Pages 285-295

  Atindéhou, Roger B ^a   Gueyie, Jean Pierre ^b  

^a UNIVERSITÉ DE MONCTON   (Canada)

^b UNIVERSITÉ DU QUÉBEC À MONTRÉAL   (Canada)

Author keywords

Banking; Financial risk; Foreign exchange

Indexed keywords

EID: 84986172642     PISSN: 00251747     EISSN: None     Source Type: Journal    
DOI: 10.1108/EUM0000000005463     Document Type: Article

References (21)

1. Akella, S. and Greenbaum, S. (1992), “Innovations in interest rates, duration transformation, and bank stock returns”, Journal of Money, Credit and Banking, Vol. 24, pp. 27-42.
2. Bodnar, G. and Gentry, W. (1993), “Exchange rate exposure and industry characteristics: evidence from Canada, Japan and the USA”, Journal of International Money and Finance, No. 12, pp. 29-45.
3. Booth, L. and Rotenberg, W. (1990), “Assessing foreign exchange exposure: theory and applications using Canadian firms”, Journal of International Financial Management and Accounting, Vol. 2, pp. 1-22.
4. Brewer, E., Mondschean, T.H. and Strahan, P.E. (1993), “Why the life insurance industry did not face an S&L type crisis”, Economic Perspectives, pp. 12-24.
5. Chamberlain, S., Howe, J.S. and Popper, H. (1997), “The exchange rate exposure of US and Japanese banking institutions”, Journal of Banking and Finance, Vol. 21, pp. 871-92.
6. Chance, D. and Lane, W. (1980), “A re-examination of interest rate sensitivity in the common stocks of financial institutions”, The Journal of Financial Research, Vol. 3, pp. 49-55.
7. Chen, C. and Chan, A. (1989), “Interest rate sensitivity, asymmetry, and the stock returns of financial institutions”, Financial Review, Vol. 24, pp. 457-73.
8. Choi, J.J., Elyasiani, E., and Kopecky, K.J. (1992), “The sensitivity of bank stock returns to market, interest and exchange rate risks”, Journal of Banking and Finance, Vol. 16, pp. 983-1004.
9. Domian, D., Gilster, J. and Louton, D. (1996), “Expected inflation, interest rate, and stock returns”, Financial Review, Vol. 31, pp. 809-30.
10. Flannery, M. and James, C. (1984), “The effect of interest rate changes on the common stock returns of financial institutions”, Journal of Finance, Vol. 39, pp. 1141-53.
11. Gilberto, M. (1985), “Interest rate sensitivity in the common stocks of financial intermediaries: a methodological note”, Journal of Financial and Quantitative Analysis, Vol. 20, pp. 123-6.
12. Kane, E.J. and Unal, H. (1988), “Change in market assessments of deposit institution riskiness”, Journal of Financial Services Research, Vol. 1, pp. 207-29.
13. Kwan, S. (1991), “Re-examination of interest rate sensitivity of commercial bank stock returns using a random coefficient model”, Journal of Financial Services Research, Vol. 5, pp. 61-76.
14. Jorion, P. (1990), “The exchange rate exposure of US multinationals”, Journal of Business, Vol. 63, pp. 331-45.
15. McKinsey et Cie (1998), “L’évolution du secteur des services financiers au Canada”, Document de recherche préparé pour le groupe de travail sur l’avenir du secteur des services financiers canadien.
16. Madura, J. and Zarruk, E. (1995), “Bank exposure to interest rate risk: a global perspective”, Journal of Financial Research, Vol. 18, pp. 1-13.
17. Meese, R. (1990), “Currency fluctuations in the post-Bretton Woods era”, Journal of Economic Perspectives, Vol. 4, pp. 117-34.
18. Meese, R. and Rogoff, K. (1983), “Empirical exchange rate models of the 1970s: do they fit out of sample?”, Journal of International Economics, Vol. 14, pp. 3-24.
19. Newey, W. and West, K. (1987), “A simple positive-definite, heteroskedasticity and autocorrelation consistent covariance matrix”, Econometrica, Vol. 55, pp. 703-08.
20. Saunders, A. and Thomas, H. (1997), Financial Institution Management, 1st Canadian ed., Irwin, Toronto.
21. Wetmore, J.L. and Brick, J.R. (1994), “Commercial bank risk: market, interest rate, and foreign exchange”, Journal of Financial Research, Vol. 17, pp. 585-96.