Three different techniques for the estimation of a time-varying beta are investigated: a bivariate GARCH model, the Schwert and Seguin approach, and the Kalman filter method. These approaches are applied to a set of monthly Morgan Stanley country index data over the period 1970 to 1995 and their...

Although many studies have found a non-trivial incidence of beta instability for individual common stocks, there exists controversy over the beta stability characteristics to expect in portfolios formed from these stocks. The extent is examined to which portfolio formation can diversify away...

The impact of information flows on market variables such as traded volume have been well documented in the literature. In this article, the issue as to whether trading volume in derivatives responds to information flows in the underlying asset is considered. Using Hong Kong individual stock...

This paper extends the existing literature into the relationship between beta stability and the length of the estimation period. Specifically of our analysis in the use of powerful new econometrics tests and their application to non-US data, namely, Australian monthly stock returns.

This paper esplores the applicability of ARCH/ GARCH models to Australian financial structure data. In particular we focus on the extent to which the parameters of the models change over time by analysing the data contract. We find the results to vary over time and that simple models such as the...

The external debt burden of many low-income developing countries has increased significantly since the 1970s. Developments in a sample of ten countries show that the main factors behind the buildup of debt were (1) exogenous (adverse terms of trade shocks or weather), (2) a lack of sustained...