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Time-varying beta and the Asian financial crisis: Evidence from the Asian industrial sectors

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  • Choudhry, Taufiq
  • Lu, Lin
  • Peng, Ke

Abstract

This paper empirically investigates the effects of the Asian financial crisis of 1997-98, and the period immediately afterwards, on the time-varying beta of four industrial sectors (chemical, finance, retail and industry) of Indonesia, Singapore, South Korea, and Taiwan. We apply daily data from 1992 to 2002 and the bivariate MA-GARCH model (BEKK) to create the time-varying industrial betas. Results provide evidence of the influence of the Asian financial crisis, and the period after, on the time-varying industrial betas of these countries. These results may have implications for investors who are interested in portfolio risk management.

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  • Choudhry, Taufiq & Lu, Lin & Peng, Ke, 2010. "Time-varying beta and the Asian financial crisis: Evidence from the Asian industrial sectors," Japan and the World Economy, Elsevier, vol. 22(4), pages 228-234, December.
    • Handle: RePEc:eee:japwor:v:22:y:2010:i:4:p:228-234
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