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Time Varying Equity Market Beta as an Index of Financial Openness?

Author

Listed:
  • Syed Kumail Abbas Rizvi

    (Faculty of Business Administration - Lahore School of Economics)

  • Bushra Naqvi

    (SDSB - Suleman Dawood School of Business - LUMS - Lahore University of Management Sciences)

  • Christian Bordes

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

From the data consisting of over a century, there has been a significant relationship between capital account liberalization and increasing correlation among national stock markets of different countries (Quinn and Voth, 2008). In this research we propose a price based de facto measure of financial integration/openness that can be used to rank selected Asian economies solely on the basis of standardized co-movements of their equity markets in relation to the representative world markets. We call this new measure as time varying equity market beta (TVEMB). Significant degree of correlation with some major and complex indices and the ability to show dynamic de facto situations of financial openness, supported by several evidences, allow us to use TVEMB as an alternative measure in conjunction with other indicators of financial openness/integration.

Suggested Citation

  • Syed Kumail Abbas Rizvi & Bushra Naqvi & Christian Bordes, 2013. "Time Varying Equity Market Beta as an Index of Financial Openness?," Post-Print hal-01052655, HAL.
    • Handle: RePEc:hal:journl:hal-01052655
    DOI: 10.1080/09603107.2013.778946
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    Citations

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    Cited by:

    1. Rizvi, Syed Kumail Abbas & Naqvi, Bushra & Boubaker, Sabri & Mirza, Nawazish, 2022. "The power play of natural gas and crude oil in the move towards the financialization of the energy market," Energy Economics, Elsevier, vol. 112(C).
    2. Rizwan Khalid & Choudhry Tanveer Shehzad & Bushra Naqvi, 2023. "Impact of capital account liberalization on stock market crashes," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3700-3726, October.
    3. Sun, Yanpeng & Mirza, Nawazish & Qadeer, Abdul & Hsueh, Hsin-Pei, 2021. "Connectedness between oil and agricultural commodity prices during tranquil and volatile period. Is crude oil a victim indeed?," Resources Policy, Elsevier, vol. 72(C).
    4. Syed Kumail Abbas Rizvi & Bushra Naqvi & Nawazish Mirza, 2022. "Is green investment different from grey? Return and volatility spillovers between green and grey energy ETFs," Annals of Operations Research, Springer, vol. 313(1), pages 495-524, June.

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