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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Description/Abstract
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).
| Item Type: | Article |
|---|---|
| ISSNs: | 0307-4358 (print) |
| Related URLs: | |
| 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 |
| Item ID: | 35694 |
| Date Deposited: | 22 May 2006 |
| Last Modified: | 22 Oct 2011 20:25 |
| Contributors: | Choudhry, Taufiq (Author) |
| Date: | 2001 |
| Status: | Published |
| URI: | http://eprints.soton.ac.uk/id/eprint/35694 |
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