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Commercial Bank Risk: Market, Interest Rate, And Foreign Exchange

Citations

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Cited by:

  1. Tai, Chu-Sheng, 2005. "Asymmetric currency exposure of US bank stock returns," Journal of Multinational Financial Management, Elsevier, vol. 15(4-5), pages 455-472, October.
  2. Bozhechkova, Alexandra (Божечкова, Александра) & Ivanov, Evgeny (Иванов, Евгений) & Orekhov, Mikhail (Орехов, Михаил) & Trunin, Pavel (Трунин, Павел) & Chembulatova, Maria (Чембулатова, Мария) & Yakov, 2021. "Analysis of the Behavior of Banks and Companies in the Conditions of Exchange Volatility in Russia [Анализ Поведения Банков И Компаний В Условиях Курсовой Волатильности В России]," Working Papers w20220176, Russian Presidential Academy of National Economy and Public Administration.
  3. Eric Wong & Jim Wong & Phyllis Leung, 2008. "The Foreign Exchange Exposure of Chinese Banks," Working Papers 0807, Hong Kong Monetary Authority.
  4. 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.
  5. Tai, Chu-Sheng, 2000. "Time-varying market, interest rate, and exchange rate risk premia in the US commercial bank stock returns," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 397-420, December.
  6. Wong, Tak-Chuen & Wong, Jim & Leung, Phyllis, 2009. "The foreign exchange exposure of Chinese banks," China Economic Review, Elsevier, vol. 20(2), pages 174-182, June.
  7. 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.
  8. Osman Kilic & M. Hassan & David Tufte, 1998. "An empirical investigation of U.S. bank risk and the Mexican peso crisis," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 22(2), pages 139-147, June.
  9. Subhani, Muhammad Imtiaz & Hasan, Syed Akif & Osman, Ms. Amber, 2012. "An Application of GARCH while investigating volatility in stock returns of the World," MPRA Paper 45089, University Library of Munich, Germany.
  10. Adel Al-Sharkas & M. Hassan, 2010. "New evidence on shareholder wealth effects in bank mergers during 1980-2000," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(3), pages 326-348, July.
  11. 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.
  12. Xiangnan Meng & Xin Deng, 2013. "Interest Rate and Foreign Exchange Sensitivity of Bank Stock Returns: Evidence from China," Multinational Finance Journal, Multinational Finance Journal, vol. 17(1-2), pages 77-106, March - J.
  13. Martin, Anna D. & Mauer, Laurence J., 2003. "Exchange rate exposures of US banks: A cash flow-based methodology," Journal of Banking & Finance, Elsevier, vol. 27(5), pages 851-865, May.
  14. Abdullah Mamun & M. Kabir Hassan & Neal Maroney, 2005. "The Wealth and Risk Effects of the Gramm‐Leach‐Bliley Act (GLBA) on the US Banking Industry," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(1‐2), pages 351-388, January.
  15. Aykut Ekinci, 2016. "The Effect of Credit and Market Risk on Bank Performance: Evidence from Turkey," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 427-434.
  16. Kasman, Saadet & Vardar, Gülin & Tunç, Gökçe, 2011. "The impact of interest rate and exchange rate volatility on banks' stock returns and volatility: Evidence from Turkey," Economic Modelling, Elsevier, vol. 28(3), pages 1328-1334, May.
  17. Kenneth S. Bartunek & Jeff Madura, 1996. "Wealth effects of reserve requirement reductions in the 1990s on depository institutions," Review of Financial Economics, John Wiley & Sons, vol. 5(2), pages 191-204.
  18. Elyas Elyasiani & Iqbal Mansur & Jill Wetmore, 2010. "Real-Estate Risk Effects on Financial Institutions’ Stock Return Distribution: a Bivariate GARCH Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 40(1), pages 89-107, January.
  19. Gounopoulos, Dimitrios & Molyneux, Philip & Staikouras, Sotiris K. & Wilson, John O.S. & Zhao, Gang, 2013. "Exchange rate risk and the equity performance of financial intermediaries," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 271-282.
  20. Ngo, Thanh, 2017. "Exchange rate exposure of REITs," The Quarterly Review of Economics and Finance, Elsevier, vol. 64(C), pages 249-258.
  21. Papadamou, Stephanos & Tzivinikos, Trifon, 2013. "The risk relevance of International Financial Reporting Standards: Evidence from Greek banks," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 43-54.
  22. Muhammad Imtiaz Subhani & Syed Akif Hasan & Rabia Mohammad Ayub Moten & Amber Osman, 2011. "An Application of GARCH while investigating volatility in stock returns of the World," South Asian Journal of Management Sciences (SAJMS), Iqra University, Iqra University, vol. 5(2), pages 49-59, Fall.
  23. PRITI Verma, 2016. "The Impact Of Exchange Rates And Interest Rates On Bank Stock Returns: Evidence From U.S. Banks," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 11(1), pages 124-139, April.
  24. Shahzad, Syed Jawad Hussain & Zakaria, Muhammad & Raza, Naveed & Ali, Sajid, 2014. "On the Bank Stocks Return and Volatility: Tale of a South Asian Economy," MPRA Paper 60155, University Library of Munich, Germany.
  25. Gueyie, Jean-Pierre & Lai, Van Son, 2003. "Bank moral hazard and the introduction of official deposit insurance in Canada," International Review of Economics & Finance, Elsevier, vol. 12(2), pages 247-273.
  26. Fujen Daniel Hsiao & Yan Hu, 2014. "International Evidence of Spillover Effects of Deposit Rates: A Multivariate Garch Model," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 8(1), pages 31-44.
  27. Bartunek, Kenneth S. & Madura, Jeff, 1996. "Wealth effects of reserve requirement reductions in the 1990s on depository institutions," Review of Financial Economics, Elsevier, vol. 5(2), pages 191-204.
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