Working Paper Series

Bank Share Prices and Profitability
Author(s): Daniel Daugaard and Tom Valentine
Date of publication: August 1993
Working paper number: 31
This paper considers the influence of economic conditions and financial markets on Australian bank share prices and profitability. It uses time series analysis to obtain an indication of the effectiveness of banks in managing their exposure to interest rates and exchange rates. The results give rise to some comments on the extent to which banks actively manage their exposure to financial and economic variables. The discussion of risk management activities necessarily raises the question of how recent regulatory initiatives will affect bank behaviour in these areas.
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Known citations:

Shamsuddin, A. F. M., 2009, "Interest Rate and Foreign Exchange Risk Exposures of Australian Banks: A Note", International Journal of Banking and Finance, 6(2), 129-138.

Sukcharoensin, P., 2013, "Time-Varying Market, Interest Rate and Exchange Rate Risks of Thai Commercial Banks", Asian Academy of Management Journal of Accounting and Finance, 9(1), 25-45.

Valentine, T., 1997, "Regulation of Bank Interest Rate Risk", Australian Economic Papers, 36(68), 31-41.