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This study examines the reaction of commercial bank sector to loan (written by all commercial banks) delinquency rate … shock. Using quarterly data from 1985Q1 to 2012Q4, the results show that returns on the commercial bank sector significantly … of returns on the commercial bank sector. Loan delinquency rate contributes about 3.46%, 6.42%, 8.10% and 9.00% of the …
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