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Conditional Risk, Return and Contagion in the Banking section in Asia

Brailsford, Timothy John; Lin, Shu-Ling (Sherry); Penm, Jack HW

Description

This paper investigates risk and return in the banking sector in three Asian markets of Taiwan, China and Hong Kong. The study focuses on the risk-return relation in a conditional factor GARCH-M framework that controls for time-series effects. The factor

CollectionsANU Research Publications
Date published: 2006
Type: Journal article
URI: http://hdl.handle.net/1885/57018
Source: Research in International Business and Finance
DOI: 10.1016/j.ribaf.2005.03.001

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