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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Description/Abstract

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.

Item Type: Article
ISSNs: 0927-538X (print)
Related URLs:
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
ePrint ID: 37450
Date Deposited: 24 May 2006
Last Modified: 27 Mar 2014 18:23
Contact Email Address: T.Choudhry@Bradford.ac.uk
URI: http://eprints.soton.ac.uk/id/eprint/37450

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