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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| Format: | Thesis |
| Language: | English English |
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2002
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| Online Access: | http://psasir.upm.edu.my/id/eprint/8307/1/FEP_2002_4_IR.pdf |