144
Views
3
CrossRef citations to date
0
Altmetric
Original Articles

Conditional risk and return in Asian emerging markets: evidence from the banking sector

Pages 3173-3183 | Published online: 11 Apr 2011

References

  • Aquin , RQ . 2006 . A variance equality test of the ICAPM on Philippine stocks: post-Asian financial crisis period . Applied Economics , 38 : 353 – 62 .
  • Baillie , R and DeGennaro , P . 1990 . Stock return and volatility . Journal of Financial and Quantitative Analysis , 25 : 203 – 14 .
  • Bansal , R and Lundblad , C . 1999 . Fundamental values and asset returns in global equity markets , Working Paper Duke University .
  • Bollerslev , T , Chou , R and Kroner , K . 1992 . ARCH modelling in finance: a review of the theory and empirical evidence . Journal of Econometrics , 52 : 5 – 29 .
  • Brailsford , TJ , Lin , SL and Penm , JHW . 2006 . Conditional risk, return and contagion in the banking sector in Asia . Research in International Business and Finance , 20 : 322 – 39 .
  • Campbell , J and Hentschel , L . 1993 . No news is good news: an asymmetric model of changing volatility in stock return . Journal of Financial Economics , 31 : 281 – 318 .
  • Choi , JJ , Elyasiani , E and Kopecky , KP . 1992 . The sensitivity of bank stock returns to market, interest and exchange rate risks . Journal of Banking and Finance , 16 : 983 – 1004 .
  • Chou , R . 1988 . Volatility persistence and stock valuations: some empirical evidence using GARCH . Journal of Applied Econometrics , 3 : 279 – 94 .
  • Elyasiani , E and Mansur , I . 1998 . Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rates: a GARCH-M model . Journal of Banking and Finance , 22 : 535 – 63 .
  • Engle , R , Lilien , D and Robins , R . 1987 . Estimating time varying risk premia in the term structures: the ARCH-M model . Econometrica , 55 : 391 – 407 .
  • Estrada , J and Serra , AP . 2005 . Risk and return in emerging markets: family matters . Journal of Multinational Financial Management , 15 : 257 – 72 .
  • Faff , R , Hodgson , A and Kremmer , M . 2005 . An investigation of the impact of interest rates and interest rate volatility on Australian financial sector stock return distributions . Journal of Business Finance and Accounting , 32 : 1001 – 31 .
  • Freixas , X , Parigi , B and Rochet , JC . 2000 . Systemic risk, interbank relations and liquidity provision by the central bank . Journal of Money, Credit, and Banking , 32 : 611 – 38 .
  • French , K , Schwert , G and Stambaugh , R . 1987 . Expected stock returns and volatility . Journal of Financial Economics , 19 : 3 – 30 .
  • Glosten , L , Jagannathan , R and Runkle , D . 1993 . On the relation between the expected value and the volatility of the nominal excess return on stocks . Journal of Finance , 48 : 1779 – 801 .
  • Madura , J and Zarruk , E . 1995 . Bank exposure to interest rate risk: a global perspective . Journal of Financial Research , 18 : 1 – 13 .
  • Merton , R . 1980 . On estimating the expected return on the market . Journal of Financial Economics , 8 : 323 – 61 .
  • Nelson , D . 1991 . Conditional heteroscedasticity in asset returns: a new approach . Econometrica , 59 : 347 – 70 .
  • Neuberger , J . 1994 . Conditional risk and return in bank holding company stocks: a factor-GARCH approach Federal Reserve Bank of Chicago, Working Paper No. 94–02
  • Noh , J and Kim , TH . 2006 . Forecasting volatility of futures market: the S&P 500 and FTSE 100 futures using high frequency returns and implied volatility 1 . Applied Economics , 38 : 395 – 413 .
  • Saunders , A and Yourougou , P . 1990 . Are banks special? The separation of banking from commerce and interest rate risk . Journal of Economics and Business , 42 : 171 – 82 .
  • Theodossiou , P and Lee , U . 1993 . Mean and volatility spillovers across major national stock market: further empirical evidence . Journal of Financial Research , 16 : 337 – 50 .
  • Xing , S and Howe , JS . 2003 . The empirical relationship between risk and return: evidence from the UK stock market . International Review of Financial Analysis , 12 : 329 – 46 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.