Using data collected from the Saudi Arabian TadawulStock Exchange, this paper analyses 11 publically listed bank risk-return relationships during 2008-2011. The contribution of this paper provides a more refined technique, a rolling beta, to accurately capture daily valuation swings caused by...

This preliminary study employs VECH-Multivariate Generalized Conditional Heteroskedasticity (MGARCH) model to test the cluster volatility of asset returns transmission impact among four Asian-Pacific equity markets: Australia, India, Hong Kong and Japan. Daily asset returns of the stock exchange...

Using data collected from the Saudi Arabian TadawulStock Exchange, this paper analyses 11 publically listed bank risk-return relationships during 2008-2011.  The contribution of this paper provides a more refined technique, a rolling beta, to accurately capture daily valuation swings caused by...