Bank Stock Returns And Financial Volatility: A MGARCH-M Modeling

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Bank Stock Returns And Financial Volatility: A MGARCH-M Modeling

This study examines the sensitivity of commercial bank stock excess returns to the volatility level and financial risk factors, measured by interest rate risk and exchange rate risk across the recent Asian financial crisis horizon, via Multivariate GARCH in Mean (MGARCH-M) model. Application of t...

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Bibliographic Details
Main Author:	Hooy, Chee Wooi
Format:	Thesis
Language:	English English
Published:	2002
Subjects:	Stocks Finance
Online Access:	http://psasir.upm.edu.my/id/eprint/8307/ http://psasir.upm.edu.my/id/eprint/8307/1/FEP_2002_4_IR.pdf

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