A Study on Bond Price Sensitivity to Interest Rate Movements with Reference to Shiva Cooperative Credit Bank, Haveri

References

[1] Acharya, V. V., Amihud, Y., & Bharath, S. T. (2010). Liquidity risk of corporate bond returns. Journal of Financial Economics, 110(2), 358–386.

[2] Alessandri, P., & Drehmann, M. (2009). The integrated impact of credit and interest rate risk on banks. Journal of Banking and Finance, 34(6), 1346–1360.

[3] Bansal, R., Kiku, D., & Yaron, A. (2010). Long run risks, the macroeconomy, and asset prices. American Economic Review, 100(2), 542–546.

[4] Bauer, M. D., & Hamilton, J. D. (2019). Robust bond risk premia. Review of Financial Studies.

[5] Buckova, Z., Stehlikova, B., & Sevcovic, D. (2016). Numerical and analytical methods for bond pricing in short rate convergence models of interest rates. Kybernetika.

[6] Canzoneri, M. B., & Diba, B. T. (2005). Interest rate rules and price determinacy. Journal of Monetary Economics, 52(2), 329–343.

[7] Chou, J. H., Yu, H. F., & Chang, C. Y. (2008). An accurate measure of callable bond price sensitivity. Journal of Applied Finance, 14(2), 87–98.

[8] Crack, T. F., & Nawalkha, S. K. (2000). Interest rate sensitivities of bond risk measures. Financial Analysts Journal, 56(1), 34–43.

[9] Huang, H. (2010). Convertible bonds: Risks and optimal strategies. Financial Markets and Portfolio Management, 24(3), 289–312.

[10] International Monetary Fund. (2024). Global financial stability report. IMF.

[11] Ivanovski, Z., Stojanovski, T. D., & Ivanovska, N. (2012). Interest rate risk of bonds and duration and convexity analysis. Financial Studies.

[12] Piazzesi, M., & Schneider, M. (2010). Interest rate risk in credit markets. American Economic Review, 100(2), 579–584.

[13] Reserve Bank of India. (2022–2024). Report on trend and progress of banking in India; Financial stability report. RBI.

[14] Shi, Z., & Huang, J. Z. (2010). Determinants of bond risk premia. Journal of Fixed Income, 20(4), 45–63.

[15] World Bank. (2025). Global economic prospects and financial market developments. World Bank.

[16] Zhou, W. X., & Sornette, D. (2003). Causal slaving of the U.S. Treasury bond yield antibubble. Physica A, 337(1–2), 243–268.

@article{1719920,
      author = {Swati Chandrashekar Hubballi, Prof. Saroja S, Prof. Vanisha D Patel},
      title = {A Study on Bond Price Sensitivity to Interest Rate Movements with Reference to Shiva Cooperative Credit Bank, Haveri},
      journal = {Iconic Research And Engineering Journals},
      year = {2026},
      volume = {10},
      number = {1},
      pages = {1991-1994},
      issn = {2456-8880},
      url = {https://www.irejournals.com/formatedpaper/1719920.pdf},
      abstract = {This study examines the sensitivity of bond prices to interest rate movements, with special reference to Shiva Cooperative Credit Bank, Haveri. Bonds are a key investment instrument used by banks and financial institutions to generate stable returns, yet their market value is directly affected by changes in prevailing interest rates. The research combines primary data, collected through a structured questionnaire administered to 50 respondents using convenience sampling, with secondary data drawn from books, journals, RBI reports, and financial websites. Percentage analysis, frequency distribution, and Pearson correlation were used to examine the relationship between bond yield to maturity and bond prices for a sample of seven bonds. The correlation coefficient obtained was 0.546, indicating a moderate positive relationship; however, the associated t-value (1.46) was below the critical value (2.571) at the 5 percent significance level, so the null hypothesis could not be rejected for this specific sample. Despite this statistical result, respondent perceptions and duration-based analysis confirmed the well-established inverse relationship between interest rates and bond prices, particularly for longer-maturity and higher-duration bonds. The study concludes that effective monitoring of interest rate movements and sound risk management practices are essential for cooperative banks seeking to protect the value of their bond portfolios.},
      month = {July},
      doi = {https://doi.org/10.64388/IREV10I1-1719920}
  }