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dc.contributor.authorW. Faff, Roberten_US
dc.contributor.authorHodgson, Allanen_US
dc.contributor.authorKremmer, Michaelen_US
dc.date.accessioned2017-05-03T12:53:28Z
dc.date.available2017-05-03T12:53:28Z
dc.date.issued2005en_US
dc.date.modified2007-03-19T21:45:26Z
dc.identifier.issn0306-686Xen_US
dc.identifier.doi10.1111/j.0306-686X.2005.00620.xen_AU
dc.identifier.urihttp://hdl.handle.net/10072/4541
dc.description.abstractThis paper extends the existing literature by analysing the dual impact of changes in the interest rate and interest rate volatility on the distribution of Australian financial sector stock returns. In addition, a multivariate GARCHM model is used to analyse the impact of deregulation on the financial institutions sector. It was found that there is a consistent intertemporal trade off between risk and return over the different regulatory periods. Moreover, finance corporations were found to be highly sensitive to new shocks across the financial sector and deregulation increased the risk faced by finance corporations and small banks - effectively increasing the required rate of return and explaining the continued rationalisation of these sectors. Furthermore, deregulation has changed the fundamental relationship between interest rates and large bank stock excess returns from positive in the prederegulation period to negative in the postderegulation period. This reflects the changing institutional environment from one of controlled credit rationing to a more competitive environment.en_US
dc.description.peerreviewedYesen_US
dc.description.publicationstatusYesen_AU
dc.languageEnglishen_US
dc.language.isoen_AU
dc.publisherBlackwell Publishingen_US
dc.publisher.placeOxforden_US
dc.publisher.urihttp://www.blackwell-synergy.com/doi/full/10.1111/j.0306-686X.2005.00620.xen_AU
dc.relation.ispartofstudentpublicationNen_AU
dc.relation.ispartofpagefrom1001en_US
dc.relation.ispartofpageto1030en_US
dc.relation.ispartofissue5&6en_US
dc.relation.ispartofjournalJournal Of Business Finance And Accountingen_US
dc.relation.ispartofvolume32en_US
dc.rights.retentionYen_AU
dc.subject.fieldofresearchcode340203en_US
dc.titleAn Investigation of the Impact of Interest Rates and Interest Rate Volatility on Australian Banking Sector Stock Return Distributionsen_US
dc.typeJournal articleen_US
dc.type.descriptionC1 - Peer Reviewed (HERDC)en_US
dc.type.codeC - Journal Articlesen_US
gro.rights.copyrightCopyright 2005 Blackwell Publishing. The definitive version is available at [www.blackwell-synergy.com.]en_AU
gro.date.issued2005
gro.hasfulltextNo Full Text


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