Advanced Search
MyIDEAS: Login

Conditional risk, return and contagion in the banking sector in asia

Contents:

Author Info

  • Brailsford, T.J.
  • Lin, Shu Ling
  • Penm, Jack H.W.
Registered author(s):

    Abstract

    No abstract is available for this item.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.sciencedirect.com/science/article/B7CPK-4GHBPNN-1/2/24877ca2b1c2e455a1fbde7a7ef6245d
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Elsevier in its journal Research in International Business and Finance.

    Volume (Year): 20 (2006)
    Issue (Month): 3 (September)
    Pages: 322-339

    as in new window
    Handle: RePEc:eee:riibaf:v:20:y:2006:i:3:p:322-339

    Contact details of provider:
    Web page: http://www.elsevier.com/locate/ribaf

    Related research

    Keywords:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Gay, Gerald D & Timme, Stephen G & Yung, Kenneth, 1991. "Bank Failure and Contagion Effects: Evidence from Hong Kong," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 14(2), pages 155-65, Summer.
    2. Dickinson, Amy & Peterson, David R & Christiansen, William A, 1991. "An Empirical Investigation into the Failure of First RepublicBank: Is There a Contagion Effect?," The Financial Review, Eastern Finance Association, vol. 26(3), pages 303-18, August.
    3. Robert F. Engle & Takatoshi Ito & Wen-Ling Lin, 1988. "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market," NBER Working Papers 2609, National Bureau of Economic Research, Inc.
    4. Wall, Larry D. & Peterson, David R., 1990. "The effect of Continental Illinois' failure on the financial performance of other banks," Journal of Monetary Economics, Elsevier, vol. 26(1), pages 77-99, August.
    5. Akella, Srinivas R & Chen, Su-Jane, 1990. "Interest Rate Sensitivity of Bank Stock Returns: Specification Effects and Structural Changes," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 13(2), pages 147-54, Summer.
    6. Madura, Jeff & Zarruk, Emilio R, 1995. "Bank Exposure to Interest Rate Risk: A Global Perspective," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 18(1), pages 1-13, Spring.
    7. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
    8. Xavier Freixas & Bruno M. Parigi & Jean-Charles Rochet, 2000. "Systemic risk, interbank relations, and liquidity provision by the central bank," Proceedings, Federal Reserve Bank of Cleveland, pages 611-640.
    9. Elyasiani, Elyas & Mansur, Iqbal, 1998. "Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model," Journal of Banking & Finance, Elsevier, vol. 22(5), pages 535-563, May.
    10. Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
    11. Stiglitz, Joseph E & Weiss, Andrew, 1983. "Incentive Effects of Terminations: Applications to the Credit and Labor Markets," American Economic Review, American Economic Association, vol. 73(5), pages 912-27, December.
    12. Theodossiou, Panayiotis & Lee, Unro, 1993. "Mean and Volatility Spillovers across Major National Stock Markets: Further Empirical Evidence," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 16(4), pages 337-50, Winter.
    13. King, Mervyn A & Wadhwani, Sushil, 1990. "Transmission of Volatility between Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 5-33.
    14. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
    15. Jonathan A. Neuberger, 1994. "Conditional risk and return in bank holding company stocks: a factor- GARCH approach," Working Papers in Applied Economic Theory 94-02, Federal Reserve Bank of San Francisco.
    16. Robert W. Faff & Allan Hodgson & Michael L. Kremmer, 2005. "An Investigation of the Impact of Interest Rates and Interest Rate Volatility on Australian Financial Sector Stock Return Distributions," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(5-6), pages 1001-1031.
    17. Park, Sangkyun, 1991. "Bank failure contagion in historical perspective," Journal of Monetary Economics, Elsevier, vol. 28(2), pages 271-286, October.
    18. Sangkyun Park, 1991. "Bank failure contagion in historical perspective," Research Paper 9103, Federal Reserve Bank of New York.
    19. Saunders, Anthony & Yourougou, Pierre, 1990. "Are banks special? The separation of banking from commerce and interest rate risk," Journal of Economics and Business, Elsevier, vol. 42(2), pages 171-182, May.
    20. Choi, Jongmoo Jay & Elyasiani, Elyas & Kopecky, Kenneth J., 1992. "The sensitivity of bank stock returns to market, interest and exchange rate risks," Journal of Banking & Finance, Elsevier, vol. 16(5), pages 983-1004, September.
    21. Calomiris, Charles W. & Schweikart, Larry, 1991. "The Panic of 1857: Origins, Transmission, and Containment," The Journal of Economic History, Cambridge University Press, vol. 51(04), pages 807-834, December.
    22. Swary, Itzhak, 1986. "Stock Market Reaction to Regulatory Action in the Continental Illinois Crisis," The Journal of Business, University of Chicago Press, vol. 59(3), pages 451-73, July.
    23. Aharony, Joseph & Swary, Itzhak, 1983. "Contagion Effects of Bank Failures: Evidence from Capital Markets," The Journal of Business, University of Chicago Press, vol. 56(3), pages 305-22, July.
    24. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Tabak, Benjamin M. & Staub, Roberta B., 2007. "Assessing financial instability: The case of Brazil," Research in International Business and Finance, Elsevier, vol. 21(2), pages 188-202, June.
    2. Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2011. "The dynamic interaction between volatility and returns in the US stock market using leveraged bootstrap simulations," Research in International Business and Finance, Elsevier, vol. 25(3), pages 329-334, September.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:eee:riibaf:v:20:y:2006:i:3:p:322-339. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.