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 |
| Item ID: | 37450 |
| Date Deposited: | 24 May 2006 |
| Last Modified: | 02 Mar 2012 11:47 |
| Contributors: | Choudhry, Taufiq (Author) |
| Date: | 2005 |
| Status: | Published |
| Contact Email Address: | T.Choudhry@Bradford.ac.uk |
| URI: | http://eprints.soton.ac.uk/id/eprint/37450 |
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