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Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks

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  • McKenzie, Michael D.
  • Brooks, Robert D.
  • Faff, Robert W.
  • Ho, Yew Kee

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  • McKenzie, Michael D. & Brooks, Robert D. & Faff, Robert W. & Ho, Yew Kee, 2000. "Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(1), pages 85-106.
  • Handle: RePEc:eee:quaeco:v:40:y:2000:i:1:p:85-106
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    References listed on IDEAS

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    3. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
    4. Braun, Phillip A & Nelson, Daniel B & Sunier, Alain M, 1995. " Good News, Bad News, Volatility, and Betas," Journal of Finance, American Finance Association, vol. 50(5), pages 1575-1603, December.
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    7. R.W. Faff & R.D. Brooks, 1998. "Time-varying Beta Risk for Australian Industry Portfolios: An Exploratory Analysis," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 25(5&6), pages 721-745.
    8. Blume, Marshall E, 1975. "Betas and Their Regression Tendencies," Journal of Finance, American Finance Association, vol. 30(3), pages 785-795, June.
    9. Aharony, Joseph & Saunders, Anthony & Swary, Itzhak, 1988. "The effects of DIDMCA on bank stockholders' returns and risk," Journal of Banking & Finance, Elsevier, vol. 12(3), pages 317-331, September.
    10. Bundt, Thomas P. & Cosimano, Thomas F. & Halloran, John A., 1992. "DIDMCA and bank market risk: Theory and evidence," Journal of Banking & Finance, Elsevier, vol. 16(6), pages 1179-1193, December.
    11. Collins, Daniel W & Ledolter, Johannes & Rayburn, Judy Dawson, 1987. "Some Further Evidence on the Stochastic Properties of Systematic Risk," The Journal of Business, University of Chicago Press, vol. 60(3), pages 425-448, July.
    12. 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.
    13. Shiers, Alden F., 1994. "Deposit insurance and banking system risk: Some empirical evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 34(4), pages 347-361.
    14. Joseph Cheng, 1997. "A switching regression approach to the stationarity of systematic and non-systematic risks: the Hong Kong experience," Applied Financial Economics, Taylor & Francis Journals, vol. 7(1), pages 45-57.
    15. Fabozzi, Frank J. & Francis, Jack Clark, 1978. "Beta as a Random Coefficient," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(01), pages 101-116, March.
    16. Kroner, Kenneth F. & Sultan, Jahangir, 1993. "Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(04), pages 535-551, December.
    17. Millon-Cornett, Marcia H. & Tehranian, Hassan, 1989. "Stock market reactions to the depository institutions deregulation and monetary control act of 1980," Journal of Banking & Finance, Elsevier, vol. 13(1), pages 81-100, March.
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    23. Peter S. Sephton, 1993. "Optimal Hedge Ratios at the Winnipeg Commodity Exchange," Canadian Journal of Economics, Canadian Economics Association, vol. 26(1), pages 175-193, February.
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    25. Brooks, Robert D. & Faff, Robert W. & McKenzie, Michael D. & Ho, Yew Kee, 2000. "U.S. Banking Sector Risk in an Era of Regulatory Change: A Bivariate GARCH Approach," Review of Quantitative Finance and Accounting, Springer, vol. 14(1), pages 17-43, January.
    26. Alexander, John Jr. & Spivey, Michael F., 1994. "CEBA of 1987 and the security returns and market risk of savings and loan institutions: a note," Journal of Banking & Finance, Elsevier, vol. 18(6), pages 1205-1215, December.
    27. K. Giannopoulos, 1995. "Estimating the time Varying Components of international stock markets' risk," The European Journal of Finance, Taylor & Francis Journals, vol. 1(2), pages 129-164.
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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. Coleman, Jane A. & Shaik, Saleem, 2009. "Time-Varying Estimation of Crop Insurance Program in Altering North Dakota Farm Economic Structure," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49516, Agricultural and Applied Economics Association.
    3. Dr. Ibrahim Onour, "undated". "The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries," API-Working Paper Series 1009, Arab Planning Institute - Kuwait, Information Center.
    4. repec:eee:riibaf:v:41:y:2017:i:c:p:347-353 is not listed on IDEAS
    5. Ibrahim Onour, "undated". "Exploring Stability of Systematic Risk: Sectoral Portfolio Analysis," API-Working Paper Series 1002, Arab Planning Institute - Kuwait, Information Center.
    6. Onour, Ibrahim, 2008. "Forward-Looking Beta Estimates:Evidence from an Emerging Market," MPRA Paper 14992, University Library of Munich, Germany.
    7. Henrik Amilon, 2002. "A Score Test for Discreteness in GARCH Models," Research Paper Series 76, Quantitative Finance Research Centre, University of Technology, Sydney.
    8. Amilon, Henrik, 2003. "GARCH estimation and discrete stock prices: an application to low-priced Australian stocks," Economics Letters, Elsevier, vol. 81(2), pages 215-222, November.

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