This paper investigates the reaction of US, European and Japanese bank stocks to economic and political news reports during the Asian Financial crisis period. I identify relevant events using key word searches during the crisis period and estimate their impact on the US, European and Japanese bank stock prices. The empirical evidence shows that adverse events in Asian countries affect most banks with exposure in these countries. However, it is seen that the exposed banks’ stock price reactions are not proportional to their loan exposure. The stock market still needs more accurate and public exposure disclosures from banks to formulate accurate reactions during the Asian financial crisis period.

It is widely accepted that banks are one of the most significant financial intermediaries in any economy, facilitating the flow of capital between savers and borrowers. While this may be the case in many advanced economies, including the US, little research has been done on how the quantitative easing (QE) program of central banks affects bank performance. This paper examines the impact of the Federal Reserve’s (the Fed’s) quantitative easing (QE) policies and announcements on bank stocks in the United States (US) during the Covid period. While we do not dismiss the role of investor sentiment, we discover that QE interventions improved bank stock returns albeit with a lag in the case of balance sheet expansion. Furthermore, the impact varied with a greater response from banks with stronger balance sheets. Banks with weaker balance sheets were more sensitive to QE interventions as well. These findings have practical implications for policymakers, regulators, banks and market participants to make informed decisions during crises

商業銀行是以借貸為主的金融機構，銀行獲利的主要來源，是從存款大眾手中取得短期資金，再將資金貸放給政府或企業進行長期投資。銀行「借短貸長」的業務，常使得其資產與負債產生存續期間不一致的問題，當利率非預期變動時，會改變資產與負債的真實價值，進而影響到銀行的淨值及股票報酬率。此外，匯率變動的風險也是銀行常常面臨的問題，尤其是當銀行涉足國際業務時，匯率的變動常常會使銀行所持有的外幣部位價值改變，進而影響到銀行的真實價值。另外一個會影響到銀行資產與負債價值的因素，就是信用風險的問題，總體經濟環境的信用品質變動，常常會影響銀行放款的還款機率，進而改變銀行放款的實質價值。 本文採用過去學者們所研究過的銀行股價三因子模型，即市場因子、債券因子、匯率因子，並加入代表總體信用風險的第四個因子，以及代表抵押品價值變動的第五個因子，成為銀行股價五因子模型。以日本銀行業的股價報酬為研究對象，實證結果顯示:新加入的總體信用風險因子，對於銀行股價報酬率的確產生顯著的負向影響，也就是當借貸市場信用品質愈差（信用風險越高）時，整體銀行股價的報酬率下降。且在四種類型的銀行中，地方銀行所估計出的信用風險顯著的比例最高，代表資產規模較小、放款業務較集中的地方銀行，其信用風險確實較其他類型的銀行為高。另外，在日本泡沫經濟破滅以後的銀行危機時期，以股價多因子模型來衡量的銀行信用風險也有上升的現象。