Time-Varying Market, Interest Rate and Exchange Rate Risk in Australian Bank Portfolio Stock Returns: A Garch-M Approach: Discussion Paper No 112

Ryan, Susan M. and Worthington, Andrew C. (2002) Time-Varying Market, Interest Rate and Exchange Rate Risk in Australian Bank Portfolio Stock Returns: A Garch-M Approach: Discussion Paper No 112. [Working Paper]

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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 volatility. However, long-term interest rates and the foreign exchange rate do not appear to be significant to the Australian bank return generating process over the period considered

ID Code:	524
Item Type:	Working Paper
Additional URLs :	http://www.bus.qut.edu.au/faculty/school...
ISSN:	1324-5910
Subjects:	Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > Financial Economics (140207)
Divisions:	QUT Faculties and Divisions > Faculty of Business
Copyright Owner :	Copyright 2002 (please consult author)
Deposited On:	08 Nov 2004
Last Modified:	23 Jan 2009 03:22

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