Good news, bad news and the time-varying beta: evidence from the UK companies

Choudhry, Taufiq (2005) Good news, bad news and the time-varying beta: evidence from the UK companies. In, Twelfth Annual Conference of the Multinational Financial Society, Athens, Greece, 02 - 07 Jul 2005. 31pp.


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This paper investigates the effect of bad or good news (asymmetric effect) on the time-varying beta of firms in the UK. Daily data from thirty UK firms of different size and from different industries are applied in the empirical tests. The time-varying betas are created by mean of the bivariate BEKK GARCH model and then linear regressions are applied to test for the asymmetric effect of news on the beta. The asymmetric effects are investigated based on both market and non-market shocks. Ample evidence of asymmetric effect from the non-market shocks is found. The market shocks seem to induce a symmetric effect. These results may have implications for the market efficiency and hedging strategies.

Item Type: Conference or Workshop Item (Paper)
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Keywords: asymmetric effect, time-varying beta, bekk garch, market shocks and non-market shocks
Subjects: H Social Sciences > HG Finance
H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
H Social Sciences > HB Economic Theory
Divisions : University Structure - Pre August 2011 > School of Management
ePrint ID: 37457
Accepted Date and Publication Date:
July 2005Delivered
Date Deposited: 24 May 2006
Last Modified: 31 Mar 2016 12:06

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