Conditional risk, return and contagion in the banking sector in asia

T. J. Brailsford*, Shu Ling Lin, Jack H.W. Penm

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    11 Citations (Scopus)

    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 approach is adopted to incorporate intra-industry contagion and an analysis of spillovers between large banks and small banks. Finally, the study provides evidence on these relations before and after the Asian financial crisis of 1997. The results are generally consistent across the markets and with expectations. Crown

    Original languageEnglish
    Pages (from-to)322-339
    Number of pages18
    JournalResearch in International Business and Finance
    Volume20
    Issue number3
    DOIs
    Publication statusPublished - Sept 2006

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