Time-varying beta risk, volatility persistence and the asymmetric impact of news: evidence from industry portfolios

This paper examines the time-varying behaviour of beta risk and degree of volatility persistence in the daily stock returns of 30 industry portfolios consisting of firms from the NYSE, AMEX and NASDAQ stock exchanges. Using an exponential ARCH (EGARCH) for this purpose, it further examines the degree to which innovations exert an asymmetric impact on the conditional second moments of return distributions for each portfolio. Findings point to significant time-dependence in returns. There is also time-dependence in beta risk for all the industry portfolios in question and, finally, it appears that industries with relatively high volatility persistence possess higher systematic risks for investors during periods of heightened aggregate stock market volatility.