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

T. J. Brailsford; Shu Ling Lin; Jack H W Penm

doi:10.1016/j.ribaf.2005.03.001

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 journal › Article › Research › peer-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 language	English
Pages (from-to)	322-339
Number of pages	18
Journal	Research in International Business and Finance
Volume	20
Issue number	3
DOIs	https://doi.org/10.1016/j.ribaf.2005.03.001
Publication status	Published - Sept 2006
Externally published	Yes

Access to Document

10.1016/j.ribaf.2005.03.001

Cite this

@article{d80fda6c46b94d9c859fc6cc863f7d49,

title = "Conditional risk, return and contagion in the banking sector in asia",

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",

author = "Brailsford, {T. J.} and Lin, {Shu Ling} and Penm, {Jack H W}",

year = "2006",

month = sep,

doi = "10.1016/j.ribaf.2005.03.001",

language = "English",

volume = "20",

pages = "322--339",

journal = "Research in International Business and Finance",

issn = "0275-5319",

publisher = "Elsevier BV",

number = "3",

}

TY - JOUR

T1 - Conditional risk, return and contagion in the banking sector in asia

AU - Brailsford, T. J.

AU - Lin, Shu Ling

AU - Penm, Jack H W

PY - 2006/9

Y1 - 2006/9

N2 - 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

AB - 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

UR - http://www.scopus.com/inward/record.url?scp=33748178353&partnerID=8YFLogxK

U2 - 10.1016/j.ribaf.2005.03.001

DO - 10.1016/j.ribaf.2005.03.001

M3 - Article

AN - SCOPUS:33748178353

SN - 0275-5319

VL - 20

SP - 322

EP - 339

JO - Research in International Business and Finance

JF - Research in International Business and Finance

IS - 3

ER -

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

Abstract

Access to Document

Other files and links

Fingerprint

Cite this