Search Results - subject:"time-varying systematic risk"

Stock market integration and financial crises : evidence from Chinese sectoral portfolios

Li, Hong; Daly, Vincent - In: Review of economics & finance 10 (2017) 4, pp. 33-48

Persistent link: https://www.econbiz.de/10011770691

Systematic risk behavior in cyclical industries : the case of shipping

Drobetz, Wolfang; Menzel, Christina; Schröder, Henning - In: Transportation research / E : an international journal 88 (2016), pp. 129-145

Persistent link: https://www.econbiz.de/10011458356

Momentum profits and conditional time-varying systematic risk

Morelli, David - In: Journal of International Financial Markets, … 29 (2014) C, pp. 242-255

market, and attempts to explain whether such profits can be attributed to time-varying systematic risk based upon the …

Persistent link: https://www.econbiz.de/10010743654

The 2007 - 2009 financial crisis : changing market dynamics and the impact of credit supply and aggregate demand sensitivity

Grammatikos, Theoharry; Vermeulen, Robert - In: Applied economics 46 (2014) 7/9, pp. 895-911

Persistent link: https://www.econbiz.de/10010398846

Momentum profits and conditional time-varying systematic risk

Morelli, David - In: Journal of international financial markets, … 29 (2014), pp. 242-255

Persistent link: https://www.econbiz.de/10010412145

Integration versus segmentation in China's stock market: An analysis of time-varying beta risks

Li, Hong - In: Journal of International Financial Markets, … 25 (2013) C, pp. 88-105

This paper assesses whether China's stock market is integrated with the global market during 2000–2010 within the framework of an augmented CAPM. We firstly use Kalman smoothing technique to obtain time-varying global and national systematic risks for the once-restricted A- and unrestricted...

Persistent link: https://www.econbiz.de/10010665652

Integration versus segmentation in China's stock market : an analysis of time-varying beta risks

Li, Hong - In: Journal of international financial markets, … 25 (2013), pp. 88-105

Persistent link: https://www.econbiz.de/10009762803