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 ...
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