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Title : Bank specific and macroeconomic determinants of loan loss provisions: a case of Nepalese commercial banks Material Type: printed text Authors: Sudeep Nepal, Author Publication Date: 2017 Pagination: 101p Size: GRP/Thesis Accompanying material: 6/B Languages : English Descriptors: Macroeconomics Class number: 332.632 Abstract: In today’s fast-moving business environment, banks are exposed to a large number of risks: credit risk, liquidity risk, market risk, operational risk, interest rate exchange risk, etc. Due to such exposure to various risks, efficient risk management is required. Managing risk is one of the basic tasks to be done, once it has been identified and known. Shafiq & Nasr (2010) argued that managing a risk in advance is far better than waiting for its occurrence. The focus of good risk management is the identification and treatment of risks. Its objective is to add maximum sustainable value to all the activities of the organization.
The loan loss provision increase with the riskiness that bank makes on the loan. A bank making a small number of risky loans will have a low loan loss provision compared to a bank taking higher risks. The high quality loan requires low loan loss provision, whereas bad loan requires high loan loss provision. A loan loss provision is considered as an adjustment of the bank value of a loan which regards future changes in the loan’s value due to default events (Hlawatch & Ostrowski, 2010).
Managerial discretion in the use of loan loss provision (LLP) has attracted considerable attention from both regulators and academics for a long time. Earlier studies focused on the use of LLP for capital management (Ahmed et al., 1999). More recently, the study focuses on the timeliness of LLP over the business cycle and the associated effects on banks' lending behavior and financial stability (Laeven & Majnoni, 2003; Bikker & Metzemakers, 2005 and Beatty & Liao, 2011). If banks account for the fact that the latent credit risk in their loan portfolios rises during upswings when competition between banks increases and monitoring efforts decrease, they should increase their provisioning level during upswings and lower it during downturns as losses occur, thus build and release provisions in a countercyclical fashion.
The major purpose of this study is to analyze the impact of bank specific and macroeconomic factors on loan loss provisions in Nepalese commercial banks. The specific objectives of this study are: a) To analyze the structure and pattern of dependent (LLP1 and LLP2) and independent variables (capital adequacy ratio, loan growth, bank size and non-performing loan), b) To examine the relationship between macroeconomic variable like GDP growth rate, inflation rate and interest rate with loan loss provision, c)To identify the effect of capital adequacy ratio, loan growth and bank size on loan loss provision, d) To examine the relationship between non-performing loan and loan loss provision of the bank.
The study is based on the secondary data which were gathered for a sample of 18 commercial banks of Nepal within the time period from 2008 to 2015, leading to the total of 144 observations. This study employs descriptive and causal comparative research design to deal with bank specific and macroeconomic determinants of loan loss provision of Nepalese commercial banks. More specifically, the study examines the effect of capital adequacy ratio, loan growth, bank size, non-performing loan, GDP growth rate, inflation rate and interest rate on loan loss provision. The main sources of data are various issues of banking and financial statistics, World Bank, bank supervision reports of NRB and various annual reports of selected commercial banks.
The average loan loss provision to total loan is highest for NBB (9.88 percent) and lowest for SCBL (1.34 percent).CZBL has the highest average loan loss provision to non-performing loan of 7.29 times and HBL has lowest of 1.25 times.The average capital adequacy ratio is highest for SCBL (15.18 percent) and lowest for SBL (10.76 percent).The analysis of loan growth indicates that average loan growth is highest for GBIME (38.33 percent) and lowest for SCBL (11.73 percent).The average bank size is highest for NABIL (83695.83 million) and lowest for NCC (22907.86 million).NBB has the highest average non-performing loan of 6.39 percent and EBL has lowest of 0.51 percent.
The descriptive statistics for the variables are used in this study. Clearly, The average loan loss provisions to total loan and loan loss provision to non-performing loan for 18 sample banks is 2.62 percent and 2.85 times respectively. Similarly, average capital adequacy ratio is 12.31 percent; loan growth is 23.71 percent. Similarly, the mean proportion of bank size is 45266.58 million, non-performing loan is 1.73 percent, GDP growth rate is 3.86 percent and inflation rate is 9.53 percent. Furthermore, the average interest rate is of 3.25 percent.
From the analysis, non-performing loan, inflation rate and interest rate are positively correlated with loan loss provision to total loan. This study reveals that capital adequacy ratio, loan growth, bank size and GDP growth rate are negatively correlated with loan loss provision to total loan. It indicates that higher the capital adequacy ratio, loan growth,Bank specific and macroeconomic determinants of loan loss provisions: a case of Nepalese commercial banks [printed text] / Sudeep Nepal, Author . - 2017 . - 101p ; GRP/Thesis + 6/B.
Languages : English
Descriptors: Macroeconomics Class number: 332.632 Abstract: In today’s fast-moving business environment, banks are exposed to a large number of risks: credit risk, liquidity risk, market risk, operational risk, interest rate exchange risk, etc. Due to such exposure to various risks, efficient risk management is required. Managing risk is one of the basic tasks to be done, once it has been identified and known. Shafiq & Nasr (2010) argued that managing a risk in advance is far better than waiting for its occurrence. The focus of good risk management is the identification and treatment of risks. Its objective is to add maximum sustainable value to all the activities of the organization.
The loan loss provision increase with the riskiness that bank makes on the loan. A bank making a small number of risky loans will have a low loan loss provision compared to a bank taking higher risks. The high quality loan requires low loan loss provision, whereas bad loan requires high loan loss provision. A loan loss provision is considered as an adjustment of the bank value of a loan which regards future changes in the loan’s value due to default events (Hlawatch & Ostrowski, 2010).
Managerial discretion in the use of loan loss provision (LLP) has attracted considerable attention from both regulators and academics for a long time. Earlier studies focused on the use of LLP for capital management (Ahmed et al., 1999). More recently, the study focuses on the timeliness of LLP over the business cycle and the associated effects on banks' lending behavior and financial stability (Laeven & Majnoni, 2003; Bikker & Metzemakers, 2005 and Beatty & Liao, 2011). If banks account for the fact that the latent credit risk in their loan portfolios rises during upswings when competition between banks increases and monitoring efforts decrease, they should increase their provisioning level during upswings and lower it during downturns as losses occur, thus build and release provisions in a countercyclical fashion.
The major purpose of this study is to analyze the impact of bank specific and macroeconomic factors on loan loss provisions in Nepalese commercial banks. The specific objectives of this study are: a) To analyze the structure and pattern of dependent (LLP1 and LLP2) and independent variables (capital adequacy ratio, loan growth, bank size and non-performing loan), b) To examine the relationship between macroeconomic variable like GDP growth rate, inflation rate and interest rate with loan loss provision, c)To identify the effect of capital adequacy ratio, loan growth and bank size on loan loss provision, d) To examine the relationship between non-performing loan and loan loss provision of the bank.
The study is based on the secondary data which were gathered for a sample of 18 commercial banks of Nepal within the time period from 2008 to 2015, leading to the total of 144 observations. This study employs descriptive and causal comparative research design to deal with bank specific and macroeconomic determinants of loan loss provision of Nepalese commercial banks. More specifically, the study examines the effect of capital adequacy ratio, loan growth, bank size, non-performing loan, GDP growth rate, inflation rate and interest rate on loan loss provision. The main sources of data are various issues of banking and financial statistics, World Bank, bank supervision reports of NRB and various annual reports of selected commercial banks.
The average loan loss provision to total loan is highest for NBB (9.88 percent) and lowest for SCBL (1.34 percent).CZBL has the highest average loan loss provision to non-performing loan of 7.29 times and HBL has lowest of 1.25 times.The average capital adequacy ratio is highest for SCBL (15.18 percent) and lowest for SBL (10.76 percent).The analysis of loan growth indicates that average loan growth is highest for GBIME (38.33 percent) and lowest for SCBL (11.73 percent).The average bank size is highest for NABIL (83695.83 million) and lowest for NCC (22907.86 million).NBB has the highest average non-performing loan of 6.39 percent and EBL has lowest of 0.51 percent.
The descriptive statistics for the variables are used in this study. Clearly, The average loan loss provisions to total loan and loan loss provision to non-performing loan for 18 sample banks is 2.62 percent and 2.85 times respectively. Similarly, average capital adequacy ratio is 12.31 percent; loan growth is 23.71 percent. Similarly, the mean proportion of bank size is 45266.58 million, non-performing loan is 1.73 percent, GDP growth rate is 3.86 percent and inflation rate is 9.53 percent. Furthermore, the average interest rate is of 3.25 percent.
From the analysis, non-performing loan, inflation rate and interest rate are positively correlated with loan loss provision to total loan. This study reveals that capital adequacy ratio, loan growth, bank size and GDP growth rate are negatively correlated with loan loss provision to total loan. It indicates that higher the capital adequacy ratio, loan growth,Hold
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Barcode Call number Media type Location Section Status + 332.632 NEP Maps and Plans BBA_BI Junction Philosophy & Psychology Not for loan 343/D NEP Thesis/Dissertation Uniglobe Library Social Sciences Available
Title : Bank specific and macroeconomic determinants of non-performing loans evidence from commercial banks of Nepal Material Type: printed text Authors: Garima Dawadi, Author Publication Date: 2015 Pagination: 72p. Size: GRP/Thesis Accompanying material: 5/B General note: Including bibilography Languages : English Descriptors: Banks
Banks and banking
Macroeconomics
Non-performing loanKeywords: 'macroeconomics economic policy banks banks and banking nepal' Class number: 332.632 Abstract: Loans have a vital contribution towards development of economy. However, its nonpayment also leads to incidence of huge loss on banks in particular and country in general. Hence, this study was conducted to examine both bank specific and macroeconomic determinants of NPLs of commercial banks in Nepal.
A total of 17 commercial banks are chosen to represent the Nepalese commercial banks during period form 2004/2005 to 2013/14. The independent variables for this research are return on assets, return on equity, capital adequacy ratio, size, interest gross domestic product, inflation rate.For analysis of data descriptive statistics, correlation, and regression analysis among the dependent and independent is used.This study is based on secondary data and data are collected from the annual reports of the individual bank, Nepal Rastra Bank BFIs statistics, and audited balance sheet of respective bank, published journals and books.
Pearson Correlation Analysis shows that non-performing loan is positively correlated with interest rate however there is negative relationship between NPL and inflation. Similarly, the highest positive correlation is between size and NPL at 1 percent significance level.NPL has positive relation with other variable such as interest, CAR, but negative relationship between GDP and Inflation.
The linear regression model is used to examine the relationship between dependent variable, non-performing loan, and independent variables, firm specific and macro-economic. Among the firm specific variables, size and capital adequacy ratios have significant relationship with non-performing loan. However, the macroeconomic variables, gross domestic product and inflation do not have significant relation with non-performing loan.
The study shows that capital adequacy ratio is negatively related with non-performing loan and the relationship is significant, which also supports the priori hypothesis. The negative relationship with non-performing loans indicates that increase in capital adequacy ratio leads to decrease in non-performing loan. Similarly, bank size has positive significant relation with non-performing loan which is however against the priori hypothesis. The positive relation with non-performing loan indicates that increase in bank size leads to increase to non-performing loans.
Thus, of the variables considered, capital adequacy ratio and bank size have higher explanatory power than other variables as indicated by significant relationship. Other variables like return on assets, return on equity, interest, gross domestic product and inflation are not significant with non-performing loans.Bank specific and macroeconomic determinants of non-performing loans evidence from commercial banks of Nepal [printed text] / Garima Dawadi, Author . - 2015 . - 72p. ; GRP/Thesis + 5/B.
Including bibilography
Languages : English
Descriptors: Banks
Banks and banking
Macroeconomics
Non-performing loanKeywords: 'macroeconomics economic policy banks banks and banking nepal' Class number: 332.632 Abstract: Loans have a vital contribution towards development of economy. However, its nonpayment also leads to incidence of huge loss on banks in particular and country in general. Hence, this study was conducted to examine both bank specific and macroeconomic determinants of NPLs of commercial banks in Nepal.
A total of 17 commercial banks are chosen to represent the Nepalese commercial banks during period form 2004/2005 to 2013/14. The independent variables for this research are return on assets, return on equity, capital adequacy ratio, size, interest gross domestic product, inflation rate.For analysis of data descriptive statistics, correlation, and regression analysis among the dependent and independent is used.This study is based on secondary data and data are collected from the annual reports of the individual bank, Nepal Rastra Bank BFIs statistics, and audited balance sheet of respective bank, published journals and books.
Pearson Correlation Analysis shows that non-performing loan is positively correlated with interest rate however there is negative relationship between NPL and inflation. Similarly, the highest positive correlation is between size and NPL at 1 percent significance level.NPL has positive relation with other variable such as interest, CAR, but negative relationship between GDP and Inflation.
The linear regression model is used to examine the relationship between dependent variable, non-performing loan, and independent variables, firm specific and macro-economic. Among the firm specific variables, size and capital adequacy ratios have significant relationship with non-performing loan. However, the macroeconomic variables, gross domestic product and inflation do not have significant relation with non-performing loan.
The study shows that capital adequacy ratio is negatively related with non-performing loan and the relationship is significant, which also supports the priori hypothesis. The negative relationship with non-performing loans indicates that increase in capital adequacy ratio leads to decrease in non-performing loan. Similarly, bank size has positive significant relation with non-performing loan which is however against the priori hypothesis. The positive relation with non-performing loan indicates that increase in bank size leads to increase to non-performing loans.
Thus, of the variables considered, capital adequacy ratio and bank size have higher explanatory power than other variables as indicated by significant relationship. Other variables like return on assets, return on equity, interest, gross domestic product and inflation are not significant with non-performing loans.Hold
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Barcode Call number Media type Location Section Status 126/D 332.632 DAW Thesis/Dissertation Uniglobe Library Social Sciences Available
Title : Bank-specific and macroeconomic determinants of non-performing loans of Nepalese commercial banks Material Type: printed text Authors: Bishnu Aryal, Author Publication Date: 2016 Pagination: 87p. Size: GRP/Thesis Accompanying material: 7/B Languages : English Descriptors: Macroeconomics Class number: 332.632 Bank-specific and macroeconomic determinants of non-performing loans of Nepalese commercial banks [printed text] / Bishnu Aryal, Author . - 2016 . - 87p. ; GRP/Thesis + 7/B.
Languages : English
Descriptors: Macroeconomics Class number: 332.632 Hold
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Barcode Call number Media type Location Section Status 253/D 332.632 ARY Thesis/Dissertation Uniglobe Library Social Sciences Available
Title : Bank-specific and macroeconomic determinants of non-performing loans of Nepalese commercial banks Material Type: printed text Authors: Prerana Singh, Author Publication Date: 2016 Pagination: 100p. Size: GRP/Thesis Accompanying material: 7/B Languages : English Descriptors: Macroeconomics Class number: 332.632 Abstract: Banking sectors play a key role in the development of an economy. The stability of banking sector is important for the development of an economy. The primary function of bank is to mobilize deposits from surplus units to deficit units in the form of loan and advances in various sectors such as agricultural, industry, personal and governments. However, in recent times, the banks have become very cautious in extending loans due to increasing volume of non-performing loans (Sontakke and Tiwari, 2013). A non-performing loan is one in which the maturity date has passed but the least part of the loan is still outstanding. This implies that the principal or interest on these loans have been left unpaid for at least 90 days (Caprio and Klingebiel, 1996). The success of commercial banks depends on profitability. Loan is the major component of earning assets of commercial banks. However, the profitability will be more if the bank have less non-performing loan. On the other hand, if the non-performing loan is high, the banks may not be able to reap profit. Instead, they may be in loss because the banks need to put reserves for the amount of non-performing loans (Farhan et al., 2012). This study focus on dependent variable non-performing loans which consists of three proxies: Non-performing loans, credit risk and non-performing loan to total assets.
The major purpose of the study is to examine the bank-specific and macroeconomic determinants of non-performing loans of Nepalese commercial banks. The specific objectives of this study are (a) to analyze the structure and pattern of dependent variables and independent variables. (b) to assess the affect of bank specific variables and macroeconomic variables on non-performing loans of the commercial banks. (c) to evaluate the factors affecting credit risk of Nepalese commercial banks. (d) to examine the possible factors affecting the non-performing loans to total assets of Nepalese commercial banks.
The study is based on descriptive and causal-comparative research designs. The descriptive research design has been adopted to undertake fact-finding operation searching for adequate information about the impact of bank size, return on assets, return on equity, capital adequacy ratio, loan loss provision, gross domestic product and inflation on non-performing loans of Nepalese commercial banks. Moreover, this study also emphasizes on cause and effect relationship between non-performing loans and its determinants in Nepalese context. This study is based on the secondary data which are gathered from 20 commercial banks in Nepal with 140 total number of observations for the study period 2008-2014. The main sources of data are official website of concern commercial banks, annual reports of commercial banks, Supervision Reports published by NRB, annual reports of respective banks and published journals along with the publications of the World Bank.
The result shows that average non-performing loan is highest for RBBL and lowest for LXBL. The average credit risk is highest for RBBL and lowest for EBL. Similarly, the capital adequacy ratio is highest for NMB and lowest for RBBL. The study reveals that bank size and loan loss provision have positive relationship with non-performing loan. Return on assets and return on equity are negatively related to the non-performing loan. It indicates that increase in return on assets and return on equity lead to decrease in nonperforming loan. Regarding the macroeconomic variable, the study found that non-performing loan is negatively related to inflation. The regression result shows that beta coefficients are positive for bank size and loan loss provision with non-performing loans; whereas beta coefficients are negative for return on assets, return on equity, capital adequacy ratio and inflation. However, the beta coefficients are significant for bank size, return on assets and capital adequacy ratio and loan loss provision only.
The major conclusion of the study is that bank size, return on assets, capital adequacy ratio, loan loss provisions plays a significant role in determining the non-performing loan of Nepalese commercial banks.
Bank-specific and macroeconomic determinants of non-performing loans of Nepalese commercial banks [printed text] / Prerana Singh, Author . - 2016 . - 100p. ; GRP/Thesis + 7/B.
Languages : English
Descriptors: Macroeconomics Class number: 332.632 Abstract: Banking sectors play a key role in the development of an economy. The stability of banking sector is important for the development of an economy. The primary function of bank is to mobilize deposits from surplus units to deficit units in the form of loan and advances in various sectors such as agricultural, industry, personal and governments. However, in recent times, the banks have become very cautious in extending loans due to increasing volume of non-performing loans (Sontakke and Tiwari, 2013). A non-performing loan is one in which the maturity date has passed but the least part of the loan is still outstanding. This implies that the principal or interest on these loans have been left unpaid for at least 90 days (Caprio and Klingebiel, 1996). The success of commercial banks depends on profitability. Loan is the major component of earning assets of commercial banks. However, the profitability will be more if the bank have less non-performing loan. On the other hand, if the non-performing loan is high, the banks may not be able to reap profit. Instead, they may be in loss because the banks need to put reserves for the amount of non-performing loans (Farhan et al., 2012). This study focus on dependent variable non-performing loans which consists of three proxies: Non-performing loans, credit risk and non-performing loan to total assets.
The major purpose of the study is to examine the bank-specific and macroeconomic determinants of non-performing loans of Nepalese commercial banks. The specific objectives of this study are (a) to analyze the structure and pattern of dependent variables and independent variables. (b) to assess the affect of bank specific variables and macroeconomic variables on non-performing loans of the commercial banks. (c) to evaluate the factors affecting credit risk of Nepalese commercial banks. (d) to examine the possible factors affecting the non-performing loans to total assets of Nepalese commercial banks.
The study is based on descriptive and causal-comparative research designs. The descriptive research design has been adopted to undertake fact-finding operation searching for adequate information about the impact of bank size, return on assets, return on equity, capital adequacy ratio, loan loss provision, gross domestic product and inflation on non-performing loans of Nepalese commercial banks. Moreover, this study also emphasizes on cause and effect relationship between non-performing loans and its determinants in Nepalese context. This study is based on the secondary data which are gathered from 20 commercial banks in Nepal with 140 total number of observations for the study period 2008-2014. The main sources of data are official website of concern commercial banks, annual reports of commercial banks, Supervision Reports published by NRB, annual reports of respective banks and published journals along with the publications of the World Bank.
The result shows that average non-performing loan is highest for RBBL and lowest for LXBL. The average credit risk is highest for RBBL and lowest for EBL. Similarly, the capital adequacy ratio is highest for NMB and lowest for RBBL. The study reveals that bank size and loan loss provision have positive relationship with non-performing loan. Return on assets and return on equity are negatively related to the non-performing loan. It indicates that increase in return on assets and return on equity lead to decrease in nonperforming loan. Regarding the macroeconomic variable, the study found that non-performing loan is negatively related to inflation. The regression result shows that beta coefficients are positive for bank size and loan loss provision with non-performing loans; whereas beta coefficients are negative for return on assets, return on equity, capital adequacy ratio and inflation. However, the beta coefficients are significant for bank size, return on assets and capital adequacy ratio and loan loss provision only.
The major conclusion of the study is that bank size, return on assets, capital adequacy ratio, loan loss provisions plays a significant role in determining the non-performing loan of Nepalese commercial banks.
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Barcode Call number Media type Location Section Status 211/D 332.632 SIN Books Uniglobe Library Social Sciences Available
Title : Effect of bank specific variables and macroeconomic variables on common stock returns of Nepalese Commercial Banks Material Type: printed text Authors: Nirmal Kunwar, Author Publication Date: 2015 Pagination: 81p. Size: GRP/Thesis Accompanying material: 6/B Languages : English Descriptors: Bank specific
MacroeconomicsClass number: 332.632 Abstract: Stock market has drawn much more attention in the academic literature. There is ongoing research on stock return but the topic is much debatable in itself. Different models have been developed to explain the relationship between risk and return on stock. There is an accepted norm in finance that bank specific variables and macroeconomic variables explain the behavior of expected stock returns. They provide a useful mechanism to raise capital fund which enhances corporate efficiency, innovation and provides a valuable source of capital for long term economic development. Most of the empirical work investigates the relationship between stock return, bank specific variables and macroeconomic variables mostly in the developed economy. However such studies are lacking in the developing economy. Therefore, this study tries to investigate the relationship between the stock return, bank specific variables and macroeconomic variables evidence from Nepalese commercial banks. Stock return is highly sensitive to market activities. Information asymmetric also play vital role for the fluctuation of stock market. For that reason, this study basically aimed at examining the empirical relationship between stock return, market price per share, bank specific variables and macroeconomic variables in context to Nepal. This study basically concentrate on the following purpose: a) to explore the effect of bank specific variables such as size measured by market capitalization, E/P ratio, leverage, NPL, BE/ME of the commercial bank of Nepal b) to identify the effect of macroeconomic variables such as RGDP, inflation and market interest rate c) to investigate the most influencing factors to explain the stock return and market price per share in Nepalese context d) to provide the suggestion based on the research finding.
This study is based on the secondary data analysis. The data of bank specific variables have been obtained from the financial statement of the sample banks recorded in the
viii
database of NEPSA and annual report of individual bank's annual report including the NRB annual report from the fiscal year 2007/08 through 2013/14. The annual data series of macroeconomic variables has been obtained from the annual report of Central bureau of statistics and ministry of finance. The major findings of this study is based on bank specific characteristics such as bank size, leverage, BE/ME, NPL, E/P ratio and macroeconomic variables such as real gross domestic product, inflation and interest rate as independent variables where stock return and market price per share as dependent variables. The study also uses descriptive statistics, correlation and stepwise regression to draw the conclusion of the study. The major conclusion of this study is that independent variables like bank size and real gross domestic product are the major determinant of common stock return in Nepalese commercial banks. Equally, bank size and Leverage are found to have dominant role on market price determination. To sum up, bank size is the major factor that determines both the stock return and market price per share of commercial banks in Nepal because larger bank has higher risk bearing capacity and better portfolio management. Better portfolio management gives regular cash inflow which will always keeps bank‟s stock return and market price maximum. Besides this, there are other extraneous factors equally important that caused stock return/market price fluctuation. Therefore, banks/investors must look after all these factors which explicitly or implicitly affect stock return/MPS to arrive at rational decision. Finally Nepalese bankers and policy maker should pay adequate attentions to analyze the factors that make variation in stock return/MPS of the commercial banks.Effect of bank specific variables and macroeconomic variables on common stock returns of Nepalese Commercial Banks [printed text] / Nirmal Kunwar, Author . - 2015 . - 81p. ; GRP/Thesis + 6/B.
Languages : English
Descriptors: Bank specific
MacroeconomicsClass number: 332.632 Abstract: Stock market has drawn much more attention in the academic literature. There is ongoing research on stock return but the topic is much debatable in itself. Different models have been developed to explain the relationship between risk and return on stock. There is an accepted norm in finance that bank specific variables and macroeconomic variables explain the behavior of expected stock returns. They provide a useful mechanism to raise capital fund which enhances corporate efficiency, innovation and provides a valuable source of capital for long term economic development. Most of the empirical work investigates the relationship between stock return, bank specific variables and macroeconomic variables mostly in the developed economy. However such studies are lacking in the developing economy. Therefore, this study tries to investigate the relationship between the stock return, bank specific variables and macroeconomic variables evidence from Nepalese commercial banks. Stock return is highly sensitive to market activities. Information asymmetric also play vital role for the fluctuation of stock market. For that reason, this study basically aimed at examining the empirical relationship between stock return, market price per share, bank specific variables and macroeconomic variables in context to Nepal. This study basically concentrate on the following purpose: a) to explore the effect of bank specific variables such as size measured by market capitalization, E/P ratio, leverage, NPL, BE/ME of the commercial bank of Nepal b) to identify the effect of macroeconomic variables such as RGDP, inflation and market interest rate c) to investigate the most influencing factors to explain the stock return and market price per share in Nepalese context d) to provide the suggestion based on the research finding.
This study is based on the secondary data analysis. The data of bank specific variables have been obtained from the financial statement of the sample banks recorded in the
viii
database of NEPSA and annual report of individual bank's annual report including the NRB annual report from the fiscal year 2007/08 through 2013/14. The annual data series of macroeconomic variables has been obtained from the annual report of Central bureau of statistics and ministry of finance. The major findings of this study is based on bank specific characteristics such as bank size, leverage, BE/ME, NPL, E/P ratio and macroeconomic variables such as real gross domestic product, inflation and interest rate as independent variables where stock return and market price per share as dependent variables. The study also uses descriptive statistics, correlation and stepwise regression to draw the conclusion of the study. The major conclusion of this study is that independent variables like bank size and real gross domestic product are the major determinant of common stock return in Nepalese commercial banks. Equally, bank size and Leverage are found to have dominant role on market price determination. To sum up, bank size is the major factor that determines both the stock return and market price per share of commercial banks in Nepal because larger bank has higher risk bearing capacity and better portfolio management. Better portfolio management gives regular cash inflow which will always keeps bank‟s stock return and market price maximum. Besides this, there are other extraneous factors equally important that caused stock return/market price fluctuation. Therefore, banks/investors must look after all these factors which explicitly or implicitly affect stock return/MPS to arrive at rational decision. Finally Nepalese bankers and policy maker should pay adequate attentions to analyze the factors that make variation in stock return/MPS of the commercial banks.Hold
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Barcode Call number Media type Location Section Status 112/D 332.632 KUN Thesis/Dissertation Uniglobe Library Social Sciences Available
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