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Macroeconomic and bank specific determinants of bank stock return: a case study in Malaysia

This research aims to determine the macroeconomic and bank-specific determinants of the stock return of the banking sector in Malaysia. Eight listed commercial banks are chosen in this research, comprising of Alliance Bank Malaysia Berhad, Affin Bank Berhad, AMMB Holdings Berhad, CIMB Group Holdings...

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Main Authors: Khor, Yong Xin, Lam, Sook Mun, Low, Wai Tung, Yiap, Qian Hua
Format: Final Year Project / Dissertation / Thesis
Published: 2022
Subjects:
HB Economic Theory
HG Finance
Online Access:http://eprints.utar.edu.my/4518/1/fyp_BF_2022_KYX.pdf
http://eprints.utar.edu.my/4518/
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spelling my-utar-eprints.45182022-09-14T14:12:51Z Macroeconomic and bank specific determinants of bank stock return: a case study in Malaysia Khor, Yong Xin Lam, Sook Mun Low, Wai Tung Yiap, Qian Hua HB Economic Theory HG Finance This research aims to determine the macroeconomic and bank-specific determinants of the stock return of the banking sector in Malaysia. Eight listed commercial banks are chosen in this research, comprising of Alliance Bank Malaysia Berhad, Affin Bank Berhad, AMMB Holdings Berhad, CIMB Group Holdings Berhad, Hong Leong Bank Berhad, Malayan Banking Berhad, Public Bank Berhad, and RHB Bank Berhad. Secondary data is adopted in this research, and the data are gathered on an annual basis from 2011 to 2020 via the sources of Bloomberg and Bank Negara Malaysia. The dependent variable is bank stock return whereas the independent variables consist of macroeconomic factors, bank-specific determinants, and dummy variable. Macroeconomic variables are interest rate and exchange rate while the bank-specific determinants include bank size, net interest margin, and non-performing loan ratio. This research also takes into account the financial crisis of 2020 by inserting the dummy variable. Preliminary tests and diagnostic checking, for instance, unit root test, multicollinearity, autocorrelation, heteroscedasticity, and normality, have been conducted to verify the reliability of the regression model. Feasible Generalized Least Square (FGLS) regression is the panel data model that has been applied in this research. The results proved that interest rate, exchange rate, non-performing loan ratio, and financial crisis have a significantly negative relationship with bank stock return. On the other hand, bank size and net interest margin show an insignificant relationship with bank stock return. This research is able to provide crucial implications to several parties, which are government, policy makers, bank management, investors, and academicians. Some limitations of this research have been identified, and the corresponding recommendations have been proposed for future researchers to overcome them. 2022-04-08 Final Year Project / Dissertation / Thesis NonPeerReviewed application/pdf http://eprints.utar.edu.my/4518/1/fyp_BF_2022_KYX.pdf Khor, Yong Xin and Lam, Sook Mun and Low, Wai Tung and Yiap, Qian Hua (2022) Macroeconomic and bank specific determinants of bank stock return: a case study in Malaysia. Final Year Project, UTAR. http://eprints.utar.edu.my/4518/
institution Universiti Tunku Abdul Rahman
building UTAR Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Tunku Abdul Rahman
content_source UTAR Institutional Repository
url_provider http://eprints.utar.edu.my
topic HB Economic Theory
HG Finance
spellingShingle HB Economic Theory
HG Finance
Khor, Yong Xin
Lam, Sook Mun
Low, Wai Tung
Yiap, Qian Hua
Macroeconomic and bank specific determinants of bank stock return: a case study in Malaysia
description This research aims to determine the macroeconomic and bank-specific determinants of the stock return of the banking sector in Malaysia. Eight listed commercial banks are chosen in this research, comprising of Alliance Bank Malaysia Berhad, Affin Bank Berhad, AMMB Holdings Berhad, CIMB Group Holdings Berhad, Hong Leong Bank Berhad, Malayan Banking Berhad, Public Bank Berhad, and RHB Bank Berhad. Secondary data is adopted in this research, and the data are gathered on an annual basis from 2011 to 2020 via the sources of Bloomberg and Bank Negara Malaysia. The dependent variable is bank stock return whereas the independent variables consist of macroeconomic factors, bank-specific determinants, and dummy variable. Macroeconomic variables are interest rate and exchange rate while the bank-specific determinants include bank size, net interest margin, and non-performing loan ratio. This research also takes into account the financial crisis of 2020 by inserting the dummy variable. Preliminary tests and diagnostic checking, for instance, unit root test, multicollinearity, autocorrelation, heteroscedasticity, and normality, have been conducted to verify the reliability of the regression model. Feasible Generalized Least Square (FGLS) regression is the panel data model that has been applied in this research. The results proved that interest rate, exchange rate, non-performing loan ratio, and financial crisis have a significantly negative relationship with bank stock return. On the other hand, bank size and net interest margin show an insignificant relationship with bank stock return. This research is able to provide crucial implications to several parties, which are government, policy makers, bank management, investors, and academicians. Some limitations of this research have been identified, and the corresponding recommendations have been proposed for future researchers to overcome them.
format Final Year Project / Dissertation / Thesis
author Khor, Yong Xin
Lam, Sook Mun
Low, Wai Tung
Yiap, Qian Hua
author_facet Khor, Yong Xin
Lam, Sook Mun
Low, Wai Tung
Yiap, Qian Hua
author_sort Khor, Yong Xin
title Macroeconomic and bank specific determinants of bank stock return: a case study in Malaysia
title_short Macroeconomic and bank specific determinants of bank stock return: a case study in Malaysia
title_full Macroeconomic and bank specific determinants of bank stock return: a case study in Malaysia
title_fullStr Macroeconomic and bank specific determinants of bank stock return: a case study in Malaysia
title_full_unstemmed Macroeconomic and bank specific determinants of bank stock return: a case study in Malaysia
title_sort macroeconomic and bank specific determinants of bank stock return: a case study in malaysia
publishDate 2022
url http://eprints.utar.edu.my/4518/1/fyp_BF_2022_KYX.pdf
http://eprints.utar.edu.my/4518/
_version_ 1744358162118475776
score 13.211869

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