O'Reilly logo

Handbook of Asian Finance by Greg N. Gregoriou, David LEE Kuo Chuen

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

Chapter 6

A Regime-Switching Analysis of Asian Bank Stocks

Kin-Yip Hoa, Yanlin Shia and Zhaoyong Zhangb,    aThe Australian National University, Research School of Finance, Actuarial Studies and Applied Statistics ANU College of Business and Economics, Canberra, ACT 0200, Australia,    bEdith Cowan University, School of Business Faculty of Business and Law, 270 Joondalup Drive, Joondalup, WA 6027, Australia

Abstract

The market prices or returns of bank stocks contain important information for both supervisory bodies and market participants. In this chapter we examine the impact of firm-specific and macroeconomic news announcements on major Asian bank stock returns by applying a regime-switching framework. The analysis suggests that both the occurrence ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required