Title : | Impact of firm specific variables on share price volatility and stock returns: evidence from Nepalese commercial banks | Material Type: | printed text | Authors: | Rajan Ghimire, Author | Publication Date: | 2016 | Pagination: | 81p. | Size: | GRP/Thesis | Accompanying material: | 7/B | Languages : | English | Class number: | 332.632 | Abstract: | With the development of economic liberalization, stock market has become one of the major indicators of economic development of the nation and it has also turned out to be one of the most interesting subject matter of study. Fama and French (1972) stock market is said to be efficient if current security prices reflect all the valuable information. Returns from investment are subjected to variations owing to the movement of share price, which depends on various factors which could be internal or bank specific such as earning per share, bank size, and book to market equity (Srivinasan, 2013; Shafana, 2013). Share price volatility means the ups and downs in stock prices during a time period. It’s a common phenomenon in the equity market and measures the unforeseen changes in the stock prices (Kanniainen, 2007). Guo (2002) also stated that the volatility of share price is the systemic risk faced by investors and it is a measure of the level of risk they are exposed to. Nel and Krugler (2001) argue that share price with higher volatility results in greater risk that the share might not perform as excepted.
The main purpose of the study is to examine the impact of firm specific variables on share price volatility and stock return in context of Nepalese commercials banks. The specific objectives of the study are as follows: (i) to examine the structure and pattern of share price volatility, stock return, dividend payout, dividend yield ratio, leverage, growth, market capitalization, book to market ratio, earning price ratio, (ii) to analyze the relationship of dividend yield, dividend payout and leverage with share price volatility and stock return, (iii) to find out whether market capitalization, growth of assets, and book to market ratio has any impact on share price volatility and (iv) to identify the major factors influencing share price volatility and stock returns.
The study is based on the secondary data which were gathered for 19 Nepalese commercial banks, leading to a total of 133 observations. These data were collected for the period of 2008/09 to 2014/15. This study employs descriptive and causal comparative research design which deals with how bank specific variables, specifically, leverage ratio, market capitalization, and growth of assets, earning price ratio, book to market, share price volatility, and stock return on the share price volatility and stock returns represented by dividend yield, dividend payout in the Nepalese commercial banks. The secondary data have been obtained from various issues of Banking and Financial Statistics, Bank Supervision Report published by Nepal Rastra Bank and annual reports of selected banks.
The study found that average share price volatility is highest for CIBL (1.50 times) and lowest for LAXBL (0.59 times). It has been found that share price volatility has decreased in the majority of the selected commercial banks in recent years. The study also shows that average stock return is highest for ADBL (109.82 percent) while lowest for NABIL (0.016 percent). It has been found that stock returns have been increased in the majority of the selected commercial banks in recent years.
The study reveals that there is positive relation between market capitalization, leverage, dividend payout and dividend yield with stock return which indicates that higher the market capitalization, leverage, dividend payout and dividend yield ratio, higher would be the stock return. Likewise, there is negative relation between book to market, growth of assets, and earning price ratio with stock return which reveals that higher the book to market, growth of assets and earning price ratio, lower would be the stock return. Similarly, leverage, dividend payout, and dividend yield have positive relation with share price volatility, which shows higher the leverage, dividend payout and dividend yield, higher would be the share price volatility. However, there is negative relationship between market capitalization, book to market, growth of assets and earning price ratio which showing higher the market capitalization, book to market, growth of assets and earning price ratio, lower would be the share price volatility.
The study reveals that there is positive significant relation with stock return and dividend payout. However, result shows that price earning ratio has negative significant relationship with stock return. The study also found that leverage has positive significant relation with share price volatility. Where, dividend payout and dividend yield have positive relation with share price volatility. Book to market has negative significant with share price volatility.
|
Impact of firm specific variables on share price volatility and stock returns: evidence from Nepalese commercial banks [printed text] / Rajan Ghimire, Author . - 2016 . - 81p. ; GRP/Thesis + 7/B. Languages : English Class number: | 332.632 | Abstract: | With the development of economic liberalization, stock market has become one of the major indicators of economic development of the nation and it has also turned out to be one of the most interesting subject matter of study. Fama and French (1972) stock market is said to be efficient if current security prices reflect all the valuable information. Returns from investment are subjected to variations owing to the movement of share price, which depends on various factors which could be internal or bank specific such as earning per share, bank size, and book to market equity (Srivinasan, 2013; Shafana, 2013). Share price volatility means the ups and downs in stock prices during a time period. It’s a common phenomenon in the equity market and measures the unforeseen changes in the stock prices (Kanniainen, 2007). Guo (2002) also stated that the volatility of share price is the systemic risk faced by investors and it is a measure of the level of risk they are exposed to. Nel and Krugler (2001) argue that share price with higher volatility results in greater risk that the share might not perform as excepted.
The main purpose of the study is to examine the impact of firm specific variables on share price volatility and stock return in context of Nepalese commercials banks. The specific objectives of the study are as follows: (i) to examine the structure and pattern of share price volatility, stock return, dividend payout, dividend yield ratio, leverage, growth, market capitalization, book to market ratio, earning price ratio, (ii) to analyze the relationship of dividend yield, dividend payout and leverage with share price volatility and stock return, (iii) to find out whether market capitalization, growth of assets, and book to market ratio has any impact on share price volatility and (iv) to identify the major factors influencing share price volatility and stock returns.
The study is based on the secondary data which were gathered for 19 Nepalese commercial banks, leading to a total of 133 observations. These data were collected for the period of 2008/09 to 2014/15. This study employs descriptive and causal comparative research design which deals with how bank specific variables, specifically, leverage ratio, market capitalization, and growth of assets, earning price ratio, book to market, share price volatility, and stock return on the share price volatility and stock returns represented by dividend yield, dividend payout in the Nepalese commercial banks. The secondary data have been obtained from various issues of Banking and Financial Statistics, Bank Supervision Report published by Nepal Rastra Bank and annual reports of selected banks.
The study found that average share price volatility is highest for CIBL (1.50 times) and lowest for LAXBL (0.59 times). It has been found that share price volatility has decreased in the majority of the selected commercial banks in recent years. The study also shows that average stock return is highest for ADBL (109.82 percent) while lowest for NABIL (0.016 percent). It has been found that stock returns have been increased in the majority of the selected commercial banks in recent years.
The study reveals that there is positive relation between market capitalization, leverage, dividend payout and dividend yield with stock return which indicates that higher the market capitalization, leverage, dividend payout and dividend yield ratio, higher would be the stock return. Likewise, there is negative relation between book to market, growth of assets, and earning price ratio with stock return which reveals that higher the book to market, growth of assets and earning price ratio, lower would be the stock return. Similarly, leverage, dividend payout, and dividend yield have positive relation with share price volatility, which shows higher the leverage, dividend payout and dividend yield, higher would be the share price volatility. However, there is negative relationship between market capitalization, book to market, growth of assets and earning price ratio which showing higher the market capitalization, book to market, growth of assets and earning price ratio, lower would be the share price volatility.
The study reveals that there is positive significant relation with stock return and dividend payout. However, result shows that price earning ratio has negative significant relationship with stock return. The study also found that leverage has positive significant relation with share price volatility. Where, dividend payout and dividend yield have positive relation with share price volatility. Book to market has negative significant with share price volatility.
|
|