Darrat, Ali F.; Gilley, Otis W.; Li, Bin; Wu, Yanhui - In: Journal of Business Research 64 (2011) 2, pp. 199-206
This paper examines the risk/return relations in eleven Asian Pacific stock markets and explores if the 1997 Asian financial crisis significantly influenced market behavior in the region. We use a plain vanilla time-series regression approach as well as various GARCH models. Although results...