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

Hendrik Widjaja and Moch. Doddy Ariefianto

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.

MoreLess

Year of publication:	2022
Authors:	Widjaja, Hendrik ; Ariefianto, Mochammad Doddy
Published in:	Cogent economics & finance. - Abingdon : Taylor & Francis, ISSN 2332-2039, ZDB-ID 2773198-4. - Vol. 10.2022, 1, Art.-No. 2107766, p. 1-21
Subject:	Stock price \| profitability risk \| credit risk \| liquidity risk \| Börsenkurs \| Share price \| Indonesien \| Indonesia \| Kreditrisiko \| Credit risk

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1080/23322039.2022.2107766 [DOI] hdl:10419/303737 [Handle]
Classification:	C23 - Models with Panel Data ; G3 - Corporate Finance and Governance ; G18 - Government Policy and Regulation ; g211
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013399982