This paper investigates the international spillover effect of . monetary policy changes on . bank stock returns. Our dataset covers 442 . banks in 57 countries for 1994-2007. We find that there exists an inverse relationship between . bank stock returns and unexpected changes in the . federal funds rate target. Our study provides strong evidence that the sensitivity of . bank stock returns varies with regard to the nature and context of monetary policy changes, bank-level characteristics, and country-level institutional factors. Our findings have important implications on international financial stability, trading and hedging strategies, and banking management and regulation. | The sensitivity of . bank stock returns to changes of . monetary policy
