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  • Market, Interest Rate and Foreign Exchange Rate Risk in Australian Banking: A Generalised Autoregressive Conditional Heteroskedasticity in Mean (GARCH-M) Approach

    Author(s)
    K. Ryan, Suzanne
    C. Worthington, Andrew
    Griffith University Author(s)
    Worthington, Andrew C.
    Year published
    2004
    Metadata
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    Abstract
    This study employs an extended version of the Generalised Autoregressive Conditional Heteroskedasticity in Mean (GARCH-M) model to consider the time-series sensitivity of Australian bank stock returns to market, interest rate and foreign exchange rate risks. Daily Australian bank portfolio returns, a market wide accumulation index, short, medium and long-term interest rates, and a trade-weighted foreign exchange index are used to model these risks over the period 1996 to 2001. The results suggest that market risk is an important determinant of bank stock returns, along with short and medium term interest rate levels and their ...
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    This study employs an extended version of the Generalised Autoregressive Conditional Heteroskedasticity in Mean (GARCH-M) model to consider the time-series sensitivity of Australian bank stock returns to market, interest rate and foreign exchange rate risks. Daily Australian bank portfolio returns, a market wide accumulation index, short, medium and long-term interest rates, and a trade-weighted foreign exchange index are used to model these risks over the period 1996 to 2001. The results suggest that market risk is an important determinant of bank stock returns, along with short and medium term interest rate levels and their volatility. However, long-term interest rates and the foreign exchange rate do not appear to be significant factors in the Australian bank return generating process over the period considered.
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    Journal Title
    International Journal of Applied Business and Economic Research
    Volume
    2
    Issue
    2
    Publisher URI
    http://eprints.qut.edu.au/2327/
    Subject
    Economics
    Commerce, Management, Tourism and Services
    Publication URI
    http://hdl.handle.net/10072/24398
    Collection
    • Journal articles

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