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Time-varying betas and volatility persistence in International Stock markets

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Cited by:

  1. J. -H. Chen & C. -Y. Huang, 2010. "An analysis of the spillover effects of exchange-traded funds," Applied Economics, Taylor & Francis Journals, vol. 42(9), pages 1155-1168.
  2. Anders Johansson, 2009. "An analysis of dynamic risk in the Greater China equity markets," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 7(3), pages 299-320.
  3. Taufiq Choudhry & Hao Wu, 2008. "Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time-varying beta," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(8), pages 670-689.
  4. Anders Johansson, 2009. "Stochastic volatility and time-varying country risk in emerging markets," The European Journal of Finance, Taylor & Francis Journals, vol. 15(3), pages 337-363.
  5. 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.
  6. 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.
  7. Robert D. Brooks & Robert W. Faff & Michael D. McKenzie, 1998. "Time†Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques," Australian Journal of Management, Australian School of Business, vol. 23(1), pages 1-22, June.
  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. Zhou, Jian, 2013. "Conditional market beta for REITs: A comparison of modeling techniques," Economic Modelling, Elsevier, vol. 30(C), pages 196-204.
  10. Ahmed, Mohamed S. & Alhadab, Mohammad, 2020. "Momentum, asymmetric volatility and idiosyncratic risk-momentum relation: Does technology-sector matter?," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 355-371.
  11. Behr Adam & Mielcarz Paweł & Osiichuk Dmytro, 2018. "Terminal Value Calculation in DCF Valuation Models: An Empirical Verification," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 14(1), pages 27-38, March.
  12. 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 & Francis Journals, vol. 35(3), pages 239-257.
  13. R. D. Brooks & R. W. Faff & M. McKenzie, 2002. "Time varying country risk: an assessment of alternative modelling techniques," The European Journal of Finance, Taylor & Francis Journals, vol. 8(3), pages 249-274.
  14. Taufiq Choudhry, 2005. "September 11 and time-varying beta of United States companies," Applied Financial Economics, Taylor & Francis Journals, vol. 15(17), pages 1227-1242.
  15. Maik Eisenbeiss & Goran Kauermann & Willi Semmler, 2007. "Estimating Beta-Coefficients of German Stock Data: A Non-Parametric Approach," The European Journal of Finance, Taylor & Francis Journals, vol. 13(6), pages 503-522.
  16. Paraskevi Tzika & Theologos Pantelidis, 2021. "The contribution of Economic Policy Uncertainty to the persistence of shocks to stock market volatility," Discussion Paper Series 2021_11, Department of Economics, University of Macedonia, revised Sep 2021.
  17. Kathryn A. Holmes & Robert W. Faff, 2004. "Stability, Asymmetry and Seasonality of Fund Performance: An Analysis of Australian Multi‐sector Managed Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(3‐4), pages 539-578, April.
  18. 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.
  19. Kim Hiang Liow, 2006. "The Dynamics of Return Volatilty and Systematic Risk in International Real Estate Security Markets," Journal of Property Research, Taylor & Francis Journals, vol. 24(1), pages 1-29, November.
  20. Sunil Kumar Bundoo, 2008. "An augmented Fama and French three-factor model: new evidence from an emerging stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 15(15), pages 1213-1218.
  21. Yunmi Kim, 2012. "Autoregressive conditional beta," Economics Bulletin, AccessEcon, vol. 32(2), pages 1489-1494.
  22. 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.
  23. Argel S. Masa & John Francis T. Diaz, 2017. "Long-memory Modelling and Forecasting of the Returns and Volatility of Exchange-traded Notes (ETNs)," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 11(1), pages 23-53, February.
  24. Hisham Al Refai & Gazi Mainul Hassan, 2018. "The Impact of Market-wide Volatility on Time-varying Risk: Evidence from Qatar Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 239-258, August.
  25. George A. Christodoulakis, 2008. "Asymmetric rotation of risk factors in a global portfolio," Journal of Risk Finance, Emerald Group Publishing, vol. 9(4), pages 391-403, August.
  26. 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.
  27. Robert Brooks & Robert Faff & David Sokulsky, 2005. "The stock market impact of German reunification: international evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 15(1), pages 31-42.
  28. 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.
  29. Lestano, Lestano, 2015. "Asymmetric Exchange Rate Exposure in Indonesian Industry Sectors," MPRA Paper 64357, University Library of Munich, Germany.
  30. 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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