The long memory of time‐varying beta: examination of three emerging Asian stock markets

Reviews previous research on the nature of beta and investigates the stochastic structure of time‐varying beta in Hong Kong, Malaysia and Singapore using the bi‐variate GARCH‐in‐mean model and fractional tests. Develops mathematical models and applies them to 1989‐1998 daily data from all three stock markets. Presents the results, which suggest, in contrast to other findings, that all three time‐varying betas are slowly mean‐reverting (long memory).

MoreLess

Year of publication:	2001
Authors:	Choudhry, Taufiq
Published in:	Managerial Finance. - MCB UP Ltd, ISSN 1758-7743, ZDB-ID 2047612-7. - Vol. 27.2001, 1/2, p. 5-23
Publisher:	MCB UP Ltd
Subject:	Accounting research \| Beta factor \| Stochastic modelling \| Hong Kong \| Malaysia \| Singapore

More details

Type of publication:	Article
Type of publication (narrower categories):	conceptual-paper
Language:	English
Other identifiers:	10.1108/03074350110767475 [DOI]
Source:	Other ZBW resources

Persistent link: https://www.econbiz.de/10014939584