The University of Southampton
University of Southampton Institutional Repository

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 At Twelfth Annual Conference of the Multinational Financial Society. 02 - 07 Jul 2005. 31 pp.

Record type: Conference or Workshop Item (Paper)

Abstract

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.

Microsoft Word 37457.doc - Other
Download (452kB)

More information

Published date: July 2005
Venue - Dates: Twelfth Annual Conference of the Multinational Financial Society, 2005-07-02 - 2005-07-07
Keywords: asymmetric effect, time-varying beta, bekk garch, market shocks and non-market shocks

Identifiers

Local EPrints ID: 37457
URI: http://eprints.soton.ac.uk/id/eprint/37457
PURE UUID: e93b7f8e-fac0-4d87-8908-3550400e82c9

Catalogue record

Date deposited: 24 May 2006
Last modified: 17 Jul 2017 15:42

Export record

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×