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).
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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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