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The long memory of time-varying beta: examination of three emerging Asian stock markets

The long memory of time-varying beta: examination of three emerging Asian stock markets
The long memory of time-varying beta: examination of three emerging Asian stock markets
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).
accounting research, Beta factor, Hong Kong, Malaysia, Singapore, stochastic modelling
0307-4358
5-23
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728

Choudhry, Taufiq (2001) The long memory of time-varying beta: examination of three emerging Asian stock markets. Managerial Finance, 27 (1-2), 5-23.

Record type: Article

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).

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More information

Published date: 2001
Keywords: accounting research, Beta factor, Hong Kong, Malaysia, Singapore, stochastic modelling
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Identifiers

Local EPrints ID: 35694
URI: http://eprints.soton.ac.uk/id/eprint/35694
ISSN: 0307-4358
PURE UUID: 8c91ca30-0b19-49f8-8d86-44aad9058a40
ORCID for Taufiq Choudhry: ORCID iD orcid.org/0000-0002-0463-0662

Catalogue record

Date deposited: 22 May 2006
Last modified: 09 Jan 2022 03:04

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Contributors

Author: Taufiq Choudhry ORCID iD

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