The effect of market returns, interest rates, and exchange rates on the stock returns of Japanese horizontal keiretsu financial firms

Journal of Multinational Financial Management - Tập 11 - Trang 165-182 - 2001
Timothy W Koch1, Andrew Saporoschenko2
1University of South Carolina, Columbia, SC 29208, USA
2College of Business Administration, University of Akron, Akron, OH 44325-4803, USA

Tài liệu tham khảo

Belsley, 1980

Berglof, 1994, The governance structure of the Japanese financial keiretsu, J. Fin. Econ., 36, 259, 10.1016/0304-405X(94)90026-4

Cargill, 1997

Dodwell Marketing Consultants, Industrial Groupings in Japan, 1992/93. Tenth ed.

Engle, 1982, Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica, 50, 987, 10.2307/1912773

Engle, 1993, Measuring and testing the impact of news on volatility, J. Fin., 48, 1749, 10.2307/2329066

Flannery, 1984, The effect of interest rate changes on the common stock returns of financial institutions, J. Fin., 39, 1141, 10.2307/2327618

Gerlach, 1992

Kane, 1991, Capital positions of banks

Komiya, 1990, The Life Insurance Company as a business enterprise

Kwan, 1991, Re-examination of interest rate sensitivity of commercial bank stock returns using a random coefficient model, J. Fin. Ser. Res., 5, 61, 10.1007/BF00127084

Madura, 1995, Bank exposure to interest rate risk: a global perspective, J. Fin. Res., 18, 1, 10.1111/j.1475-6803.1995.tb00207.x

Pettway, 1988, The impacts of financial deregulation upon trading efficiency and the levels of risk and return of Japanese banks, The Fin. Rev., 23, 243, 10.1111/j.1540-6288.1988.tb01266.x

Saunders, 1990, Are banks special? The separation of banking from commerce and interest rate risk, J. Econ. Bus., 42, 171, 10.1016/0148-6195(90)90033-9

Yoshimura, 1997