Market Risk in Demutualised Self-Listed Stock Exchanges: An International Analysis of Selected Time-Varying Betas
Download full text from publisher
Other versions of this item:
- 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.
References listed on IDEAS
- Pirrong, Craig, 2000. "A Theory of Financial Exchange Organization," Journal of Law and Economics, University of Chicago Press, vol. 43(2), pages 437-471, October.
- Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
- Robert D. Brooks & Robert W. Faff & Michael D. McKenzie, 1998. "Timeâ€ 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.
- Susmel, Raul & Engle, Robert F., 1994. "Hourly volatility spillovers between international equity markets," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 3-25, February.
- Hart, Oliver & Moore, John, 1996.
"The Governance of Exchanges: Members' Cooperatives versus Outside Ownership,"
Oxford Review of Economic Policy,
Oxford University Press, vol. 12(4), pages 53-69, Winter.
- Oliver Hart & John Moore, 1996. "The Governance of Exchanges: Members' Co-operatives Versus Outside Ownership," STICERD - Theoretical Economics Paper Series /1996/292, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Engel, Charles & Rodrigues, Anthony P, 1989.
"Tests of International CAPM with Time-Varying Covariances,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 4(2), pages 119-138, April-Jun.
- Charles Engel & Anthony P. Rodrigues, 1987. "Tests of International CAPM with Time-Varying Covariances," NBER Working Papers 2303, National Bureau of Economic Research, Inc.
- Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-131, February.
- Huang, Bwo-Nung & Yang, Chin-Wei, 2000. "The Impact of Financial Liberalization on Stock Price Volatility in Emerging Markets," Journal of Comparative Economics, Elsevier, vol. 28(2), pages 321-339, June.
- Bodurtha, James N, Jr & Mark, Nelson C, 1991. " Testing the CAPM with Time-Varying Risks and Returns," Journal of Finance, American Finance Association, vol. 46(4), pages 1485-1505, September.
- Gonzalez-Rivera, Gloria, 1996. "Time-varying risk The case of the American computer industry," Journal of Empirical Finance, Elsevier, vol. 2(4), pages 333-342, February.
- Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
- Hall, Stephen G & Miles, David K & Taylor, Mark P, 1989. "Modelling Asset Prices with Time-Varying Betas," The Manchester School of Economic & Social Studies, University of Manchester, vol. 57(4), pages 340-356, December.
- Karolyi, G Andrew, 1995. "A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 11-25, January.
- Bos, T & Newbold, P, 1984. "An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model," The Journal of Business, University of Chicago Press, vol. 57(1), pages 35-41, January.
- Fabozzi, Frank J. & Francis, Jack Clark, 1978. "Beta as a Random Coefficient," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(01), pages 101-116, March.
- Koutmos, Gregory & Lee, Unro & Theodossiu, Panayiotis, 1994. "Time-varying betas and volatility persistence in International Stock markets," Journal of Economics and Business, Elsevier, vol. 46(2), pages 101-112, May.
- Benn Steil, "undated". "Changes in the Ownership and Governance of Securities Exchanges: Causes and Consequences," Center for Financial Institutions Working Papers 02-15, Wharton School Center for Financial Institutions, University of Pennsylvania.
- K. Giannopoulos, 1995. "Estimating the time Varying Components of international stock markets' risk," The European Journal of Finance, Taylor & Francis Journals, vol. 1(2), pages 129-164.
- repec:cup:etheor:v:11:y:1995:i:1:p:122-50 is not listed on IDEAS
- 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.
- Choudhry, Taufiq, 2002. "The Stochastic Structure of the Time-Varying Beta: Evidence from UK Companies," Manchester School, University of Manchester, vol. 70(6), pages 768-791, December.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Maurizio Polato & Josanco Floreani & Andrea Paltrinieri & Flavio Pichler, 2016. "Religion, governance and performance: evidence from Islamic and conventional stock exchanges," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 20(3), pages 591-623, September.
More about this item
KeywordsTime-varying betas; moving average; bivariate GARCH; demutualization and self-listing; exchanges;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-02-17 (All new papers)
- NEP-RMG-2007-02-17 (Risk Management)
- NEP-SEA-2007-02-17 (South East Asia)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:qut:dpaper:201. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Angela Fletcher). General contact details of provider: http://edirc.repec.org/data/sequtau.html .