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| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | How was the stock price of the US banks affected after the first increase of the interest rate in March 2022? |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 45 |
| Date | 2023 |
| Abstract Text | This thesis examines the impact of the interest rate increase on March 16th, 2022 on banks using a data set of 287 listed US banks. The impact is measured by using abnormal returns as a proxy. For the analysis, I set up a regression equation with the following five independent variables: duration gap, ZIP code, total assets, Tobin’s q, and beta. I used the abnormal return for a period of 24 hours as the dependent variable. The needed data was collected from the Thomson Reuters Datastream Database, the SEC filings, and the annual reports of the banks. On average, the interest rate increase had a negative impact on the stock price. Moreover, the results show that the estimated coefficients for the duration gap, total assets, and beta are statistically significant. The duration gap has a positive estimated coefficient, which indicates that banks with a higher duration gap have a relatively larger abnormal return in times of interest rate increases. The estimated coefficient of total assets and beta is negative. This indicates that banks with more total assets and a higher beta experience a more negative abnormal return when the interest rate increases. The ZIP codes and Tobin’s q have insignificant estimated coefficients. This means that these variables did not have any impact on the abnormal return in this period. This study contributes to various papers, such as those that examine the determinants of the stock price and the relationship between interest rate changes and the change in the stock price. |
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