The effects of interest rate changes on bank stock returns and profitability

Resource type
Thesis type
(Project) M.A.
Date created
Author: Cai, Hualan
Author: Wang, Wei
We empirically investigate the sensitivity of Canadian commercial bank stock returns and profitability to changes in interest rates. We find a statistically significant negative relationship between bank stock returns and changes in interest rates over the period 1995-2006, while the relationship is not significant over the past five years. Furthermore, banks’ profitability appears not to be significantly affected by changes in interest rates over our sample period. Our results suggest that Canadian Banks are relatively well immunized against interest rate risk. This may be due to an appropriate matching between the duration of assets and liabilities (on balance sheet risk management) and/or an efficient use of interest rate derivatives (off balance sheet management).
Copyright statement
Copyright is held by the author.
The author has not granted permission for the file to be printed nor for the text to be copied and pasted. If you would like a printable copy of this thesis, please contact
Scholarly level
Member of collection
Download file Size
etd2477.pdf 2.57 MB

Views & downloads - as of June 2023

Views: 6
Downloads: 1