A Multivariate Panel Data Analysis on Nexus between Banks Stock Returns and Institutional Specific Profitability Determinants of Commercial Banks listed in BSE

Finance

This study investigates the dynamic nexus between commercial banks stock returns and banking sectoral profitability indicators for the period 2004-2005 to 2014-2016. The study aims to find the association between banks stock returns and institutional specific factors with the help of econometrics tools such as Panel Unit Root Test Analysis, Panel Johansen Fisher Panel Cointegration Test, Granger Casualty and Panel Data Regression (Random Effect Model). The analytical results revealed the long term relationship between bank stocks return and profitability determinants of commercial banks listed in during the study period. It is found that all the profitability variables are cointegrated with bank stocks return of commercial banks. It is also observed from the results that exogenous variables such as Return on Assets (ROA), Return on Equity (ROE), Operating Profits to Total Assets (OPTA), Deposits to Total Liabilities (DPTL), Return on Advances (ROAD), Secured Advances to Total Advances (SATAD), Non-Performing Assets to Total Assets (NPATA) and Repo Rate (RR) have prodigious effect in determining the movement of bank stocks return of listed commercial banks.

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