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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.

Suggested Citation

  • 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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    References listed on IDEAS

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    1. repec:kap:rqfnac:v:50:y:2018:i:1:d:10.1007_s11156-017-0623-3 is not listed on IDEAS
    2. Bellelah, M.A. & Bellelah, M.O. & Ben Ameur, H. & Ben Hafsia, R., 2017. "Does the equity premium puzzle persist during financial crisis? The case of the French equity market," Research in International Business and Finance, Elsevier, pages 851-866.
    3. Boubaker, Heni & Raza, Syed Ali, 2016. "On the dynamic dependence and asymmetric co-movement between the US and Central and Eastern European transition markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 459(C), pages 9-23.
    4. Smales, Lee A., 2015. "Time-variation in the impact of news sentiment," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 40-50.
    5. Adcock, Christopher & Hua, Xiuping & Mazouz, Khelifa & Yin, Shuxing, 2014. "Does the stock market reward innovation? European stock index reaction to negative news during the global financial crisis," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 470-491.

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