The long memory of time-varying beta: examination of three emerging Asian stock markets
Choudhry, Taufiq (2001) The long memory of time-varying beta: examination of three emerging Asian stock markets. Managerial Finance, 27, (1-2), 5-23.
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Reviews previous research on the nature of beta and investigates the stochastic structure of time-varying beta in Hong Kong, Malaysia and Singapore using the bi-variate GARCH-in-mean model and fractional tests. Develops mathematical models and applies them to 1989-1998 daily data from all three stock markets. Presents the results, which suggest, in contrast to other findings, that all three time-varying betas are slowly mean-reverting (long memory).
|Keywords:||accounting research, Beta factor, Hong Kong, Malaysia, Singapore, stochastic modelling|
|Subjects:||H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management|
|Divisions:||University Structure - Pre August 2011 > School of Management
|Date Deposited:||22 May 2006|
|Last Modified:||22 Oct 2011 20:25|
|Contributors:||Choudhry, Taufiq (Author)
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
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