The Determinants of Bank Stock Returns' Co-Movements in East Asia
type: Dataset
contact point: Organization
  fn: CCSD
keyword: shsecohumanities-and-social-scienceseconomics-and-finance
keyword: infoeu-reposemanticspreprint
keyword: preprints-working-papers-
landing page: https://unilim.hal.science/hal-00916496
description: We examine co-movements of bank stock returns in eight East Asian countries after the 1997 crisis and attempt to determine the factors that influence them. The return correlations among banks within each country are computed and used as a dependent variable in weighted least squares regressions. The factors were chosen from a wide range of accounting and market-based indicators using a stepwise procedure. The results show that the share of interbank activities in the balance sheet does not explain the level of correlations. However, a strong link is found between the bank return co-movements and bank default risk measured by a z-score. To a lesser extent, the share of loan activities in a bank's balance sheet, which is a proxy of opacity, is also a significant factor of the level of correlation.
issued: 2026-05-07T20:38:45.699999
language: en
modified: 2026-05-07T20:38:45.700004

test_moissonnage_selune
type: Agent

The Determinants of Bank Stock Returns' Co-Movements in East Asia
type: Distribution
access URL: https://unilim.hal.science/hal-00916496
format: HTML
issued: 2026-05-07T20:38:45.704008
modified: 2026-05-07T20:38:45.692689