Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1002351 | Research in International Business and Finance | 2006 | 18 Pages |
Abstract
This paper investigates risk and return in the banking sector in three Asian markets of Taiwan, China and Hong Kong. The study focuses on the risk-return relation in a conditional factor GARCH-M framework that controls for time-series effects. The factor approach is adopted to incorporate intra-industry contagion and an analysis of spillovers between large banks and small banks. Finally, the study provides evidence on these relations before and after the Asian financial crisis of 1997. The results are generally consistent across the markets and with expectations.
Keywords
Related Topics
Social Sciences and Humanities
Business, Management and Accounting
Business and International Management
Authors
T.J. Brailsford, Shu Ling Lin, Jack H.W. Penm,