Time-varying beta and the Asian financial crisis: Evidence from Malaysian and Taiwanese firms

Pacific Basin Finance Journal

Volumn 13, Issue 1, 2005, Pages 93-118

  Choudhry, Taufiq ^a  

^a BRADFORD UNIVERSITY SCHOOL OF MANAGEMENT   (United Kingdom)

Author keywords

Asian financial crisis; BEKK model; GARCH; Time varying beta; Volatility

Indexed keywords

EID: 11144333677     PISSN: 0927538X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.pacfin.2004.06.001     Document Type: Article

References (34)

1. T. Baig I. Goldfajn Financial market contagion in the Asian crisis IMF Staff Papers 46 1999 167-195
2. R.T. Baillie R.J. Myers Bivariate GARCH estimation of the optimal commodity future hedge Journal of Applied Econometrics 6 1991 109-124
3. J. Bodurtha N. Mark Testing the CAPM with time-varying risk and returns Journal of Finance 46 1991 1485-1505
4. T. Bollerslev On the correlation structure for the generalized autoregressive conditional heteroscedastic process Journal of Time Series Analysis 9 1988 121-131
5. T. Bollerslev R. Engle J. Wooldrige A capital asset pricing model with time-varying covariances Journal of Political Economy 96 1988 116-131
6. T. Bollerslev R. Chou K Kroner ARCH modeling in finance Journal of Econometrics 52 1992 5-59
7. T. Bollerslev R. Engle D. Nelson ARCH Models In: R. Engle D. McFadden (Eds.) Handbook of Econometrics vol. 4 1994 Elsevier Science New York 2960-3038
8. T. Bos P. Newbold An empirical investigation of the possibility of stochastic systematic risk in the market model Journal of Business 57 1984 35-41
9. C. Chen R. So Exchange rate variability and the riskiness of US multinational firms: Evidence from the Asian financial turmoil Journal of Multinational Financial Management 12 2002 411-428
10. Corsetti, G., Pesenti, P., Roubini, N., 1998. What caused the Asian currency and financial crisis? Part I: A macroeconomic overview, NBER Working Paper
11. W. Emmons F. Schmid The Asian crisis and the exposure of large US firms Federal Reserve Bank of St. Louis Review 2000 15-33 (Jan./Feb.)
12. C. Engle A. Rodrigues Tests of international CAPM with time-varying covariances Journal of Applied Econometrics 4 1989 119-138
13. R. Engle K. Kroner Multivariate simultaneous generalized ARCH Econometric Theory 11 1995 122-150
14. F. Fabozzi J. Francis Beta as a random coefficient Journal of Financial and Quantitative Analysis 13 1978 101-116
15. K. Giannopoulos Estimating the time-varying components of international stock markets risk European Journal of Finance 1 1995 129-164
16. S. Hall D. Miles M. Taylor Modelling asset prices with time-varying betas Manchester School 57 1989 340-356
17. L. Hansen Large sample properties of generalized method of moments estimators Econometrica 50 1982 1029-1054
18. L. Hansen S. Richard The role of conditioning information in deducing testable restriction implied by dynamic asset pricing models Econometrica 55 1987 587-614
19. J. Hausman Specification tests in econometrics Econometrica 46 1978 1251-1272
20. G. Kaminsky S. Schmukler What triggers markets jitters? A chronicle of the Asian crisis Journal of International Money and Finance 18 1999 537-560
21. R. Klemkosky J. Martin The adjustment of beta forecasts Journal of Finance 30 1975 1123-1128
22. G. Koutmos U. Lee P. Theodossiou Time-varying betas and volatility persistence in international stock markets Journal of Economics and Business 46 1994 101-112
23. W. Lin Y. Chen J.C. Boot The dynamic and stochastic instability of betas: Implications for forecasting stock returns Journal of Forecasting 11 1992 517-541
24. J. Lintner The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets Review of Economics and Statistics 47 1965 13-37
25. H. Markowitz Portfolio selection Journal of Finance 7 1952 77-91
26. J. Muth Rational expectation and the theory of price movements Econometrica 29 1961 1-23
27. L. Ng Tests of the CAPM with time-varying covariances: A multivariate GARCH approach Journal of Finance 46 1991 1507-1521
28. P. Pesenti C. Tille The economics of currency crises and contagion: An introduction Federal Reserve Bank of New York, Economic Policy Review 6 2000 3-16
29. Radelet, S. and Sachs, J., 1998. The onset of the East Asian financial crisis, National Bureau of Economics Research Working Paper No. 6680, August
30. B. Rosenberg J. Guy Prediction of the beta from investment fundamentals: Part 1 Financial Analysts Journal 32 1976 60-72
31. B. Rosenberg J. Guy Prediction of the beta from investment fundamentals: Part 2 Financial Analysts Journal 32 1976 62-70
32. B. Rosenberg J. Ohlson The stationary distribution of returns and portfolio separation in capital markets: A fundamental contradiction Journal of Financial and Quantitative Analysis 11 1976 125-145
33. W. Sharpe Capital asset prices: A theory of market equilibrium under conditions of risk Journal of Finance 19 1964 425-442
34. R. Susmel R. Engle Hourly volatility spillovers between international equity markets Journal of International Money and Finance 13 1994 3-25