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

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

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

Date

2006

Authors

Brailsford, Timothy John

Lin, Shu-Ling (Sherry)

Penm, Jack HW

Publisher

JAI Press

Abstract

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