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Interest rate risk of Australian financial sector companies in a period of regulatory change

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  • Faff, R. W.
  • Howard, P. F.

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  • Faff, R. W. & Howard, P. F., 1999. "Interest rate risk of Australian financial sector companies in a period of regulatory change," Pacific-Basin Finance Journal, Elsevier, vol. 7(1), pages 83-101, February.
  • Handle: RePEc:eee:pacfin:v:7:y:1999:i:1:p:83-101
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    References listed on IDEAS

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    1. Stone, Bernell K., 1974. "Systematic Interest-Rate Risk in a Two-Index Model of Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(05), pages 709-721, November.
    2. Giliberto, Michael, 1985. "Interest Rate Sensitivity in the Common Stocks of Financial Intermediaries: A Methodological Note," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(01), pages 123-126, March.
    3. 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.
    4. Flannery, Mark J & James, Christopher M, 1984. " The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions," Journal of Finance, American Finance Association, vol. 39(4), pages 1141-1153, September.
    5. 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.
    6. Mitchell, Douglas W., 1991. "Invariance of results under a common orthogonalization," Journal of Economics and Business, Elsevier, vol. 43(2), pages 193-196, May.
    7. Graddy, Duane B & Kyle, Reuben & Strickland, Thomas H, 1994. "The Differential Effects of Deregulation on Savings and Loan Associations and Banks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(2), pages 289-300, Summer.
    8. 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 147-154, Summer.
    9. Yourougou, Pierre, 1990. "Interest-rate risk and the pricing of depository financial intermediary common stock : Empirical evidence," Journal of Banking & Finance, Elsevier, vol. 14(4), pages 803-820, October.
    10. Harper, Ian R & Scheit, T, 1992. "The Effects of Financial Market Deregulation on Bank Risk and Profitability," Australian Economic Papers, Wiley Blackwell, vol. 31(59), pages 260-271, December.
    11. Jonathan A. Neuberger, 1991. "Risk and return in banking: evidence from bank stock returns," Economic Review, Federal Reserve Bank of San Francisco, issue Fall, pages 18-30.
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    Cited by:

    1. Susan Ryan & Andrew C. Worthington, 2002. "Time-Varying Market, Interest Rate and Exchange Rate Risk in Australian Bank Portfolio Stock Returns: A Garch-M Approach," School of Economics and Finance Discussion Papers and Working Papers Series 112, School of Economics and Finance, Queensland University of Technology.
    2. N. Groenewold, 2000. "Financial Deregulation and the Relationship Between the Economy and the Share Market in Australia," Economics Discussion / Working Papers 00-10, The University of Western Australia, Department of Economics.
    3. Au Yong, Hue Hwa & Faff, Robert & Chalmers, Keryn, 2009. "Derivative activities and Asia-Pacific banks' interest rate and exchange rate exposures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 16-32, February.
    4. Bessler, Wolfgang & Kurmann, Philipp & Nohel, Tom, 2015. "Time-varying systematic and idiosyncratic risk exposures of US bank holding companies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 45-68.
    5. Azzam, Islam, 2010. "Stock exchange demutualization and performance," Global Finance Journal, Elsevier, vol. 21(2), pages 211-222.
    6. Román Ferrer & Cristóbal González & Gloria M. Soto, 2010. "Linear and nonlinear interest rate exposure in Spain," Managerial Finance, Emerald Group Publishing, vol. 36(5), pages 431-451, April.
    7. Akhtaruzzaman, Md & Shamsuddin, Abul & Easton, Steve, 2014. "Dynamic correlation analysis of spill-over effects of interest rate risk and return on Australian and US financial firms," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 378-396.
    8. Zongjun Wang & Gongkhonkwa Rujira, 2013. "The Dynamic Relationship of Stock Indexes on Interbank Money Market Rates: Evidence from Thailand," International Journal of Economics and Financial Issues, Econjournals, vol. 3(4), pages 827-843.
    9. Bessler, Wolfgang & Kurmann, Philipp, 2014. "Bank risk factors and changing risk exposures: Capital market evidence before and during the financial crisis," Journal of Financial Stability, Elsevier, vol. 13(C), pages 151-166.
    10. 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 (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 9(1), pages 25-45.
    11. Gloria M. Soto Pacheco & Cristóbal González & Laura Ballester & Román Ferrer, 2009. "Determinants of interest rate exposure of Spanish banking industry," Working Papers. Serie EC 2009-07, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    12. Alexey Akimov & Simon Stevenson & Maxim Zagonov, 2015. "Public Real Estate and the Term Structure of Interest Rates: A Cross-Country Study," The Journal of Real Estate Finance and Economics, Springer, vol. 51(4), pages 503-540, November.

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