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...

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...

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...

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 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...