Conditional risk and return in Asian emerging markets: evidence from the banking sector

Shu Ling Lin

Applied Economics, 2008, vol. 40, issue 24, 3173-3183

Abstract: Previous studies reach no consensus on the relationship between risk and return using data from one market. This study argues that the market factor should be noticed in assessing the risk-return relationship in a partially integrated emerging market. The analysis aims to provide new insight into the nature of the risk-return relationship by a conditional factor GARCH-M framework that controls for time-series effects, to investigate the banking sector in five Asian emerging markets of China, Hong Kong, Indonesia, Malaysia and Taiwan during the period 1995 to 2004. Finally, the study provides evidence on these relations before and after the Asian financial crisis of 1997. The results are generally consistent across the markets and with expectations, and have implications for empirical assessments of the risk-return relationship and diversification.

Date: 2008
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DOI: 10.1080/00036840600994161

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