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A Two-Factor ARCH Model for Deposit-Institution Stock Returns

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Cited by:

  1. Beverly Hirtle, 1997. "Derivatives, Portfolio Composition, and Bank Holding Company Interest Rate Risk Exposure," Journal of Financial Services Research, Springer;Western Finance Association, vol. 12(2), pages 243-266, October.
  2. Kwan, Simon H., 2003. "Impact of deposit rate deregulation in Hong Kong on the market value of commercial banks," Journal of Banking & Finance, Elsevier, vol. 27(12), pages 2231-2248, December.
  3. Söhnke Bartram, 2002. "The Interest Rate Exposure of Nonfinancial Corporations," Review of Finance, European Finance Association, vol. 6(1), pages 101-125.
  4. 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.
  5. Warren Dean & Robert Faff, 2011. "Feedback trading and the behavioural ICAPM: multivariate evidence across international equity and bond markets," Applied Financial Economics, Taylor & Francis Journals, vol. 21(22), pages 1665-1678.
  6. Jean-Pierre Gueyié & Alaa Guidara & Van Son Lai, 2019. "Banks’ non-traditional activities under regulatory changes: impact on risk, performance and capital adequacy," Applied Economics, Taylor & Francis Journals, vol. 51(29), pages 3184-3197, June.
  7. Davidson, Sinclair & Faff, Robert & Hillier, David, 2003. "Gold factor exposures in international asset pricing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(3), pages 271-289, July.
  8. Guidara, Alaa & Lai, Van Son & Soumaré, Issouf & Tchana, Fulbert Tchana, 2013. "Banks’ capital buffer, risk and performance in the Canadian banking system: Impact of business cycles and regulatory changes," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3373-3387.
  9. 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.
  10. G l ah Gen er elik, 2020. "Volatility Modelling for Tourism Sector Stocks in Borsa Istanbul," International Journal of Economics and Financial Issues, Econjournals, vol. 10(3), pages 158-165.
  11. 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.
  12. Abdulnasser Hatemi-J & Eduardo Roca, 2008. "Estimating banks' equity duration: a panel cointegration approach," Applied Financial Economics, Taylor & Francis Journals, vol. 18(14), pages 1173-1180.
  13. 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.
  14. Elyasiani, Elyas & Zhang, Ling, 2015. "Bank holding company performance, risk, and “busy” board of directors," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 239-251.
  15. 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.
  16. Chee Wooi Hooy & Hui Boon Tan & Annuar Md Nassir, 2004. "Risk Sensitivity of Bank Stocks in Malaysia: Empirical Evidence Across the Asian Financial Crisis," Asian Economic Journal, East Asian Economic Association, vol. 18(3), pages 261-276, September.
  17. 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.
  18. Papadamou, Stephanos & Siriopoulos, Costas, 2014. "Interest rate risk and the creation of the Monetary Policy Committee: Evidence from banks’ and life insurance companies’ stocks in the UK," Journal of Economics and Business, Elsevier, vol. 71(C), pages 45-67.
  19. Priti Verma & Dave Jackson, 2008. "Interest rate and bank stock returns asymmetry: Evidence from U.S. banks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 32(2), pages 105-118, April.
  20. Elyasiani, Elyas & Zhang, Ling, 2013. "Bank Holding Company Performance, Risk and "Busy" Board of Directors," Working Papers 13-24, University of Pennsylvania, Wharton School, Weiss Center.
  21. Yi Fu & Shuai Cao & Tao Pang, 2020. "A Sustainable Quantitative Stock Selection Strategy Based on Dynamic Factor Adjustment," Sustainability, MDPI, vol. 12(10), pages 1-12, May.
  22. 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.
  23. Klaus P. Fischer & Jean-Pierre Gueyie & Edgar Ortiz, 1997. "Financial Liberalization: Commercial Bank's Blessing or Curse?," Finance 9705003, University Library of Munich, Germany.
  24. 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.
  25. Brooks, Robert D. & Faff, Robert W. & Fry, Tim R. L., 2001. "GARCH modelling of individual stock data: the impact of censoring, firm size and trading volume," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(2), pages 215-222, June.
  26. Go Tamakoshi & Shigeyuki Hamori, 2014. "Causality-in-variance and causality-in-mean between the Greek sovereign bond yields and Southern European banking sector equity returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(4), pages 627-642, October.
  27. Mark Iarovyi & sasson Bar Yosef & Itzhak Venezia, 2017. "Implied Maturity Mismatches and Investor Disagreement," Proceedings of Economics and Finance Conferences 4507072, International Institute of Social and Economic Sciences.
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