An international study of causality-in-variance: Interest rate and financial sector returns
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Finance
Link
http://link.springer.com/content/pdf/10.1007/BF02751589.pdf
Reference19 articles.
1. Akella, S. R., and S. Chen. 1990. “Interest Rate Sensitivity of Bank Stock Returns: Specification Effects and Structural Changes.”Journal of Financial Research 13: 147–154.
2. Allen F., and D. Gale. 1995. “A Welfare Comparison of Intermediaries and Financial Markets in Germany and the U.S.”European Economic Review 39: 179–209.
3. Bae, S. C. 1990. “Interest Rate Changes and Common Stock Returns of Financial Institutions: Revisited.”Journal of Financial Research 13: 71–79.
4. Cheung, Y., and L. K. Ng. 1996. “A Causality-in-Variance Test and Its Application to Financial Market Prices.”Journal of Econometrics 72: 33–48.
5. Cox, J. C., J. E. Ingersoll, and S. A. Ross. 1985. “A Theory of Term Structure of Interest Rates.”Econometrica 53: 385–407.
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