Effects of interest rate and exchange rates on bank stock return

E. Katsikas, S. Brahma, S.M. Wangeci

    Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)

    Abstract

    This research attempts to investigate the effects of changes in interest rates (IR) and foreign exchange rates (FX) on bank stock returns (BSR) in the context of Kenya. Further, it will investigate the effects of actual interest and exchange rates on bank stock returns. In addition, this study explores the impact of the 2007-08 election violence in Kenya on these relationships. Both short- and long-term interest rates will be used in this study. By applying the ordinary least squares (OLS) regression method, this study will test whether changes in IR and FX are negatively or positively related to BSR, as well as the significance of their relationship to BSR. This will be tested together with the effect of inflation rates on them. In order to capture the effect of the 2007-08 election violence in Kenya, the significance of IR and FX before and after the election period will be evaluated with regard to their effect on BSR.
    Original languageEnglish
    Title of host publicationHandbook of Frontier Markets: The African, European and Asian Evidence
    EditorsPanagiotis Andrikopoulos, Greg N. Gregoriou , Vasileios Kallinterakis
    PublisherAcademic Press
    Chapter5
    Pages71-92
    Number of pages22
    Volume1
    Edition1st
    ISBN (Electronic)9780128038406
    ISBN (Print)9780128037768, 0128037768
    Publication statusPublished - 2 Aug 2016

    Keywords

    • Bank stock returns
    • Exchange rates
    • Inflation
    • Interest rates

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