 Assets Pricing and Equity Duration ParadoxRaja Rehan (), Imran Umer Chhapra () and Ali Zain () Humanities and Social Sciences Letters, 2019, vol. 7, issue 3, 167-180 Abstract: We used the co-integration approach and panel unit root test to estimate banks’ equity duration in Pakistan, India, China, Australia, the UK and the US from 1992 to 2017. The results showed that the highest duration is in the UK and Chinese banks then the US and Indian banks followed by the banks in Pakistan and Australia. These results have important implications for policymakers particularly because banks act as channels for monetary policy. Since duration is a measure of sensitivity to interest rates, these results imply that the UK and Chinese banks would be the most affected by monetary policy changes while those in Pakistan and Australia would be the least affected. Since duration also measures the speed by which cash flows come back, these results indicate that investors in Pakistan and Australia banks recover their investments faster than investors in the Indian, US, Chinese and UK banks. Therefore, banks in Australia and Pakistan are the most profitable while those in the UK and China are the least profitable. Keywords: Banks; Panel co-integration; Panel unit root; Elasticity; Interest rate sensitivity; Equity duration (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pkp:hassle:v:7:y:2019:i:3:p:167-180:id:827 Access Statistics for this article More articles in Humanities and Social Sciences Letters from Conscientia Beam |
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