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Beta Asymmetry in the Global Stock Markets Following the Subprime Mortgage Crisis

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  • Yung-Shi Liau

Abstract

I set out in this study to examine the asymmetry in beta responses using the dynamic conditional correlation threshold generalized autoregressive conditional heteroskedasticity (DCC-GJR-GARCH) model. The empirical results reveal that asymmetry is discernible in both volatility and betas in the global stock markets. Furthermore, when leverage is linked with the price-to-book ratio, the results indicate that the beta asymmetry is attributable to the leverage effect. The results of this study also reveal that the declines in the price-to-book ratio following the subprime mortgage crisis have led to an overall increase in betas.

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  • Yung-Shi Liau, 2016. "Beta Asymmetry in the Global Stock Markets Following the Subprime Mortgage Crisis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(9), pages 2195-2207, September.
    • Handle: RePEc:mes:emfitr:v:52:y:2016:i:9:p:2195-2207
    DOI: 10.1080/1540496X.2015.1068613
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    Cited by:

    1. Balcilar, Mehmet & Kutan, Ali M. & Yaya, Mehmet E., 2017. "Testing the dependency theory on small island economies: The case of Cyprus," Economic Modelling, Elsevier, vol. 61(C), pages 1-11.

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