Time-varying sensitivity of stock returns to market, interest rate and foreign exchange rate risks of Asian banks using the GARCH model

• Main Authors: Abralzaldo, Romarie L., Ho, Hanna Christelle C., Pabico, Kristine Lian J., Padilla, Nikki T.
• Format: text
• Language: English
• Published: Animo Repository 2015
• Subjects: Foreign exchange rates > Philippines; Interest rates > Philippines
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/7755
• Institution: De La Salle University

Assessing the sensitivity of bank stock returns to time-varying market, interest rate, and foreign exchange rate risk using the GARCH framework has been a common area of study for developed markets but not for emerging markets. This conventional study was applied to five (5) selected Asian emerging...