This study has two purposes. First, it estimates the market, interest rate, and exchange rate sensitivities (betas) of the Japanese banking institutions. Second, it investigates the relationship between the market-based measures of risk and accounting-based financial ratios. We extend the...

The objective of this paper is to employ the generalized autoregressive conditionally heteroskedastic in the mean (GARCH-M) methodology to investigate the effect of interest rate and its volatility on the bank stock return generation process. This framework discards the restrictive assumptions...

We examine the impact of changes in the oil returns and oil return volatility on excess stock returns and return volatilities of thirteen U.S. industries using the GARCH (1,1) technique. We find strong evidence in support of the view that oil price fluctuations constitute a systematic asset...

We examine the risk and return linkages across US commercial banks, securities firms, and life insurance companies during the 1991-2001 period. After controlling for changes in the broader stock market, interest rates, and foreign currency values, we find that return and risk interdependencies...

This paper investigates the dynamics in the British Pound (BP), Deutsche Mark (DM), Swiss Franc (SF), and Japanese Yen (JY) futures using Generalized Variance Decomposition analysis over the 1985–2005 period. The results support the interdependence hypothesis against the segregation model with...

We examine market, interest rate risk, and interdependencies in returns and return volatilities across three insurer segments within a System-GARCH framework. Three main results are obtained: market risk is greatest for accident amp; health (Aamp;H) insurers, followed by life (Life) and property...

We investigate the association between the stock return distributions of 10 major U.S. sectors and oil returns within a double-threshold FIGARCH model. This model nests GARCH, IGARCH and Fama-French specifications as its special cases and allows a test of their validity. This model also has the...

This study attempts to determine whether the level and volatility of interest rates affect the equity returns of commercial banks. Short-term, intermediate-term, and long-term interest rates are used. Volatility is defined as the conditional variance of respective interest rates and is generated...

Using the bivariate GARCH methodology, this study examines bank stock sensitivities to market, interest rate, and exchange rate, and investigates the spillover effects of interest rate volatility and unsystematic risk among the banking sectors of the United States and Japan, and the United...

This study employs a multivariate GARCH model to investigate the relative sensitivities of the first and the second moment of bank stock return distribution to the short-term and long-term interest rates and their respective volatilities. Three portfolios are formed representing the money center...