This paper tests whether bank can be a source of contagion during the 1997 Asian crisis using asset return data from a crisis country – Thailand. In particular, I examine whether Thai banking sector can produce contagion effects in both conditional means and volatilities of its foreign...

This paper examines the role of market, interest rate, and exchange rate risks in pricing a sample of the US Commercial Bank stocks by developing and estimating a multi-factor model under both unconditional and conditional frameworks. Three different econometric methodologies are used to conduct...

Most of previous studies have not been successful in finding significant currency exposure. One possible explanation for this failure is that these studies ignore the asymmetric relationship between the value of a firm and exchange rate. Consequently, in this paper, I explore the possibility of...