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Risk Sensitivity of Bank Stocks in Malaysia: Empirical Evidence Across the Asian Financial Crisis

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  • Chee Wooi Hooy
  • Hui Boon Tan
  • Annuar Md Nassir

Abstract

The present study examines the sensitivity of commercial banks' stock excess returns to their volatility and financial risk factors, measured by interest rates and exchange rates, across the recent Asian financial crisis. In general, we found that there were no significant differences among Malaysian commercial banks in their risk exposure prior to and during the Asian financial crisis. The introduction of selective capital controls, a fixed exchange rate regime and a forced banking consolidation program, however, had increased the risk exposure of both large and small domestic banks. The effects of these risk factors were significantly detected in both large and small banks. Copyright 2004 East Asian Economic Association.

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Bibliographic Info

Article provided by East Asian Economic Association in its journal Asian Economic Journal.

Volume (Year): 18 (2004)
Issue (Month): 3 (09)
Pages: 261-276

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Handle: RePEc:bla:asiaec:v:18:y:2004:i:3:p:261-276

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Cited by:
  1. Mudakkar, Syeda Rabab & Uppal, Jamshed Y. & Zaman, Khalid & Naseem, Imran & Shah, Ghias Ud Din, 2013. "Foreign exchange risk in a managed float regime: A case study of Pakistani rupee," Economic Modelling, Elsevier, vol. 35(C), pages 409-417.
  2. Pariyada Sukcharoensin, 2013. "Time-Varying Market, Interest Rate and Exchange Rate Risks of Thai Commercial Banks," Asian Academy of Management Journal of Accounting and Finance, Penerbit Universiti Sains Malaysia, vol. 9(1), pages 25-45.

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