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 journalArticleResearchpeer-review

9 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 - Sep 2006
Externally publishedYes

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