Good news, bad news and the time-varying beta: evidence from the UK companies
Good news, bad news and the time-varying beta: evidence from the UK companies
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.
asymmetric effect, time-varying beta, bekk garch, market shocks and non-market shocks
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728
July 2005
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728
Choudhry, Taufiq
(2005)
Good news, bad news and the time-varying beta: evidence from the UK companies.
Twelfth Annual Conference of the Multinational Financial Society, Athens, Greece.
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.
More information
Published date: July 2005
Venue - Dates:
Twelfth Annual Conference of the Multinational Financial Society, Athens, Greece, 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
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Date deposited: 24 May 2006
Last modified: 16 Mar 2024 03:16
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