Impact of Market Risk, Interest rate, Exchange rate on Banks stock return: Evidence from listed Banks of Pakistan

Muhammad Zeeshan Rafiq; Ji Cheng Jun; Sobia Naseem; Muhammad Mohsin

Muhammad Zeeshan Rafiq Business Administration, Liaoning Technical University, China
Ji Cheng Jun Business Administration, Liaoning Technical University, China
Sobia Naseem Institute for Optimization and Decision Analytics, Liaoning Technical University, China
Muhammad Mohsin College of Business Administration, Liaoning Technical University, China

Keywords: Banking stock price, OLS, market risk, Exchange rate, interest rate

Abstract

The main purpose of this research is to find the relationship between market risk, Exchange rate, Interest rate, and bank stock returns in Pakistan. The KSE-100 index used as Market risk, US dollar against Pak rupees used as Exchange rate, three-month T-bill rate used as the interest rate and the continuously compounded return used as banks stock return. The time-series data from January 2007 to December 2018 is used in this study. The ordinary least square (OLS) method is used to check the relationship between bank stock return, market risk, interest rate, and Exchange rate. The result of this shows that market risk is positively significant, exchange rate rarely negatively significant, and the interest rate insignificant exempt of one bank. When the prices of the stock market are increasing the bank stock prices also increase. These empirical findings are helpful for the policymaker, investor, banking management as well as Government.

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Author Biographies

Muhammad Zeeshan Rafiq, Business Administration, Liaoning Technical University, China

PhD Scholar, College of Business Administration, Liaoning Technical University, 125105, China

Ji Cheng Jun, Business Administration, Liaoning Technical University, China

Professor, College of Business Administration, Liaoning Technical University, 125105, China

Sobia Naseem, Institute for Optimization and Decision Analytics, Liaoning Technical University, China

PhD Scholar, Institute for Optimization and Decision Analytics, Liaoning Technical University, China

Muhammad Mohsin, College of Business Administration, Liaoning Technical University, China

PhD Scholar, College of Business Administration, Liaoning Technical University, 125105, China

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