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 fundamen...
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2022-12-01
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| Series: | Cogent Economics & Finance |
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| Online Access: | https://www.tandfonline.com/doi/10.1080/23322039.2022.2107766 |
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| author | Hendrik Widjaja Moch. Doddy Ariefianto |
| author_facet | Hendrik Widjaja Moch. Doddy Ariefianto |
| author_sort | Hendrik Widjaja |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-c4bf0a91d5f344b0b402aced8d54f864 |
| institution | DOAJ |
| issn | 2332-2039 |
| language | English |
| publishDate | 2022-12-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Economics & Finance |
| spelling | doaj-art-c4bf0a91d5f344b0b402aced8d54f8642025-08-20T03:22:21ZengTaylor & Francis GroupCogent Economics & Finance2332-20392022-12-0110110.1080/23322039.2022.2107766The dynamic of bank stock price and its fundamentals: Evidence from IndonesiaHendrik Widjaja0Moch. Doddy Ariefianto1Accounting Department, School of Accounting - Master Accounting, Bina Nusantara University, Jakarta, 11480, IndonesiaAccounting Department, School of Accounting - Master Accounting, Bina Nusantara University, Jakarta, 11480, IndonesiaThis 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.https://www.tandfonline.com/doi/10.1080/23322039.2022.2107766Stock priceprofitability riskcredit riskliquidity riskC23G3 |
| spellingShingle | Hendrik Widjaja Moch. Doddy Ariefianto The dynamic of bank stock price and its fundamentals: Evidence from Indonesia Cogent Economics & Finance Stock price profitability risk credit risk liquidity risk C23 G3 |
| title | The dynamic of bank stock price and its fundamentals: Evidence from Indonesia |
| title_full | The dynamic of bank stock price and its fundamentals: Evidence from Indonesia |
| title_fullStr | The dynamic of bank stock price and its fundamentals: Evidence from Indonesia |
| title_full_unstemmed | The dynamic of bank stock price and its fundamentals: Evidence from Indonesia |
| title_short | The dynamic of bank stock price and its fundamentals: Evidence from Indonesia |
| title_sort | dynamic of bank stock price and its fundamentals evidence from indonesia |
| topic | Stock price profitability risk credit risk liquidity risk C23 G3 |
| url | https://www.tandfonline.com/doi/10.1080/23322039.2022.2107766 |
| work_keys_str_mv | AT hendrikwidjaja thedynamicofbankstockpriceanditsfundamentalsevidencefromindonesia AT mochdoddyariefianto thedynamicofbankstockpriceanditsfundamentalsevidencefromindonesia AT hendrikwidjaja dynamicofbankstockpriceanditsfundamentalsevidencefromindonesia AT mochdoddyariefianto dynamicofbankstockpriceanditsfundamentalsevidencefromindonesia |