Beta Risk and Regime Shift in Market Volatility

In this paper, we relate the returns in the thirty securities in the Dow Jones index to regime shifts in stock market volatility. We apply a Markov switching process of order one to market volatility and examine the variation in the securities' returns in different volatility regimes. We test the significance of the risk premium in different market regimes and we find evidence of relationship between market volatility and securities beta risk.

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Year of publication:	2004-06-23
Authors:	Shami, Roland ; Galagedera, Don U.A.
Institutions:	EconWPA
Subject:	Markov regime-switching \| market volatility \| beta risk

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Extent:	application/pdf
Series:	Finance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; pages: 19 19 pages
Classification:	G12 - Asset Pricing ; G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005134927