Time-varying beta and the Asian financial crisis: evidence from Malaysian and Taiwanese firms
Choudhry, Taufiq (2005) Time-varying beta and the Asian financial crisis: evidence from Malaysian and Taiwanese firms. Pacific-Basin Finance Journal, 13, (1), 93-118. (doi:10.1016/j.pacfin.2004.06.001).
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This paper empirically investigates the effects of the Asian financial crisis of 1997–1998 on the time-varying beta of 10 firms from each of Malaysia and Taiwan. Daily data from 1990 to 2001 and the bivariate MA-GARCH model (BEKK) are applied to create the time-varying betas for the firms. Results provide ample evidence of the influence of the financial crisis and the period after on the time-varying betas of the twenty firms. Results provided are somewhat mixed, indicating a rise in the beta in some cases and a fall in other cases. Results also show that the 10 Malaysian firms applied were more affected than the Taiwanese firms.
|Keywords:||time-varying beta, GARCH, BEKK model, Asian financial crisis, volatility|
|Subjects:||H Social Sciences > HG Finance
H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
|Divisions:||University Structure - Pre August 2011 > School of Management
|Date Deposited:||24 May 2006|
|Last Modified:||02 Mar 2012 11:47|
|Contact Email Address:||T.Choudhry@Bradford.ac.uk|
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
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