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- W1480685866 abstract "This study employs an extended version of the Generalised Autoregressive Conditional Heteroskedasticity inMean (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 wideaccumulation index, short, medium and long-term interest rates, and a trade-weighted foreign exchange index areused to model these risks over the period 1996 to 2001. The results suggest that market risk is an importantdeterminant 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 Australianbank return generating process over the period considered" @default.
- W1480685866 created "2016-06-24" @default.
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- W1480685866 date "2002-06-01" @default.
- W1480685866 modified "2023-09-27" @default.
- W1480685866 title "Time-Varying Market, Interest Rate and Exchange Rate Risk in Australian Bank Portfolio Stock Returns: A Garch-M Approach: Discussion Paper No 112" @default.
- W1480685866 hasPublicationYear "2002" @default.
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