This study employs the Gerneralised Autoregressive Conditional Heteroskedasticity (GARCH) model to investigate the sensitivity of Chinese bank stock returns to market, interest rate and foreign exchange rate risks. Daily data are used to model these risks over the period 2007 to 2010. The results suggest that market risk is an important factor of Chinese bank stock returns, along with foreign exchange risk. However, interest rates risk tends to be insignificant factors in Chinese bank equity pricing process over the period considered.
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