The dynamic of bank stock price and its fundamentals: Evidence from Indonesia

This study examines the relationship between bank stock price and its selected fundamentals, namely, profitability, credit risk, and liquidity risk. Using the dynamic common correlated effect (DCCE) technique, we discover a mechanism error-correction between the stock price and the selected fundamentals. We estimate that the equilibrating process of stock price takes between 2.62 and 3.22 months. This study also provides significant support for hypotheses of the positive role of profitability (proxied by ROE and NIM) to bank stock price. Credit and liquidity risk measures do not significantly affect stock price.

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Year of publication:	2022
Authors:	Widjaja, Hendrik ; Ariefianto, Mochammad Doddy
Published in:	Cogent Economics & Finance. - ISSN 2332-2039. - Vol. 10.2022, 1, p. 1-21
Publisher:	Abingdon : Taylor & Francis
Subject:	Stock price \| profitability risk \| credit risk \| liquidity risk

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.1080/23322039.2022.2107766 [DOI] 1819351548 [GVK] RePEc:taf:oaefxx:v:10:y:2022:i:1:p:2107766 [RePEc]
Classification:	C23 - Models with Panel Data ; G3 - Corporate Finance and Governance ; G18 - Government Policy and Regulation
Source:	EconStor

Persistent link: https://www.econbiz.de/10015074046