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.

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Description/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.

Item Type: Conference or Workshop Item (Paper)
Venue - Dates: Twelfth Annual Conference of the Multinational Financial Society, 2005-07-02 - 2005-07-07
Related URLs:
Keywords: asymmetric effect, time-varying beta, bekk garch, market shocks and non-market shocks
Subjects:

ePrint ID: 37457
Date :
Date Event
July 2005Published
Date Deposited: 24 May 2006
Last Modified: 16 Apr 2017 22:03
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/37457

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