Time-varying beta and the Asian financial crisis: evidence from Malaysian and Taiwanese firms
Time-varying beta and the Asian financial crisis: evidence from Malaysian and Taiwanese firms
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.
time-varying beta, GARCH, BEKK model, Asian financial crisis, volatility
93-118
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728
2005
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728
Choudhry, Taufiq
(2005)
Time-varying beta and the Asian financial crisis: evidence from Malaysian and Taiwanese firms.
Pacific-Basin Finance Journal, 13 (1), .
(doi:10.1016/j.pacfin.2004.06.001).
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.
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Published date: 2005
Keywords:
time-varying beta, GARCH, BEKK model, Asian financial crisis, volatility
Identifiers
Local EPrints ID: 37450
URI: http://eprints.soton.ac.uk/id/eprint/37450
ISSN: 0927-538X
PURE UUID: 6504db46-f644-4764-9462-30c7405faf4c
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Date deposited: 24 May 2006
Last modified: 16 Mar 2024 03:16
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