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Time-varying betas and volatility persistence in International Stock markets

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  • Koutmos, Gregory
  • Lee, Unro
  • Theodossiu, Panayiotis
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    File URL: http://www.sciencedirect.com/science/article/B6V7T-47DD28T-1H/2/95679d16bca408237598458aafaee299
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Economics and Business.

    Volume (Year): 46 (1994)
    Issue (Month): 2 (May)
    Pages: 101-112

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    Handle: RePEc:eee:jebusi:v:46:y:1994:i:2:p:101-112

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    Web page: http://www.elsevier.com/locate/jeconbus

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    Cited by:
    1. Andrew Worthington & Helen Higgs, 2006. "Market Risk in Demutualized Self-Listed Stock Exchanges: An International Analysis of Selected Time-Varying Betas," Global Economic Review, Taylor and Francis Journals, vol. 35(3), pages 239-257.
    2. Anders Johansson, 2009. "An analysis of dynamic risk in the Greater China equity markets," Journal of Chinese Economic and Business Studies, Taylor and Francis Journals, vol. 7(3), pages 299-320.
    3. Gangemi, Michael & Brooks, Robert & Faff, Robert, 1999. "Mean reversion and the forecasting of country betas: a note," Global Finance Journal, Elsevier, vol. 10(2), pages 231-245.
    4. Yunmi Kim, 2012. "Autoregressive conditional beta," Economics Bulletin, AccessEcon, vol. 32(2), pages 1489-1494.
    5. McKenzie, Michael D. & Brooks, Robert D. & Faff, Robert W. & Ho, Yew Kee, 2000. "Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(1), pages 85-106.
    6. Saporoschenko, Andrew, 2002. "The sensitivity of Japanese bank stock returns to economic factors: An examination of asset/liability differences and main bank status," Global Finance Journal, Elsevier, vol. 13(2), pages 253-270.
    7. Ewing, Bradley T. & Malik, Farooq, 2005. "Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2655-2673, October.
    8. Yuenan Wang & Amalia Di Iorio, 2007. "The cross-sectional relationship between stock returns and domestic and global factors in the Chinese A-share market," Review of Quantitative Finance and Accounting, Springer, vol. 29(2), pages 181-203, August.
    9. Reyes, Mario G., 1999. "Size, time-varying beta, and conditional heteroscedasticity in UK stock returns," Review of Financial Economics, Elsevier, vol. 8(1), pages 1-10, June.
    10. R. D. Brooks & R. W. Faff & M. McKenzie, 2002. "Time varying country risk: an assessment of alternative modelling techniques," European Journal of Finance, Taylor and Francis Journals, vol. 8(3), pages 249-274.
    11. Choudhry, Taufiq, 2005. "Time-varying beta and the Asian financial crisis: Evidence from Malaysian and Taiwanese firms," Pacific-Basin Finance Journal, Elsevier, vol. 13(1), pages 93-118, January.
    12. Koutmos, Gregory, 1997. "Do emerging and developed stock markets behave alike? Evidence from six pacific basin stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(3), pages 221-234, October.

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