Faff, Robert W.; Hodgson, Allan; Kremmer, Michael L. - In: Journal of Business Finance & Accounting 32 (2005-06) 5-6, pp. 1001-1031
This paper extends the existing literature by analysing the dual impact of changes in the interest rate and interest rate volatility on the distribution of Australian financial sector stock returns. In addition, a multivariate GARCH-M model is used to analyse the impact of deregulation on the...