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High frequency characterization of Indian banking stocks

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Abstract

Using high-frequency stock returns in the Indian banking sector we find that the beta on jump movements substantially exceeds that on the continuous component, and that the majority of the information content for returns lies with the jump beta. We contribute to the debate on strategies to decrease systemic risk, showing that increased bank capital and reduced leverage reduce both jump and continuous beta - with slightly stronger effects for capital on continuous beta and stronger effects for leverage on jump beta. However, changes in these firm characteristics need to be large to create an economically meaningful change in beta.

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  • Sayaeed, Mohammad Abu & Dungey, Mardi & Yao, Wenying, 2015. "High frequency characterization of Indian banking stocks," Working Papers 2015-04, University of Tasmania, Tasmanian School of Business and Economics.
    • Handle: RePEc:tas:wpaper:22661
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    Keywords

    CAPM; jump; high frequency; India;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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