Time-varying beta and the Asian financial crisis: Evidence from the Asian industrial sectors
AbstractThis 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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Bibliographic InfoArticle provided by Elsevier in its journal Japan and the World Economy.
Volume (Year): 22 (2010)
Issue (Month): 4 (December)
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Web page: http://www.elsevier.com/locate/inca/505557
Time-varying beta GARCH BEKK model Asian financial crisis Volatility;
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