Testing for asymmetry in betas of cumulative returns: Impact of the financial crisis and crude oil price

Kokoszka Piotr (), Hong Miao and Zheng Ben ()
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Kokoszka Piotr: Department of Statistics, Colorado State University, Fort Collins, USA
Zheng Ben: Department of Statistics, Colorado State University, Fort Collins, USA

Statistics & Risk Modeling, 2017, vol. 34, issue 1-2, 33-53

Abstract: We introduce a functional factor model to investigate the dependence of cumulative return curves of individual assets on the market and other factors. We propose a new statistical test to determine whether the dependence in two sample periods are equal. The statistical properties of the test are established by asymptotic theory and simulations. We apply this test to study the impact of the recent financial crisis and trends in oil price on individual stock and sector ETFs. Our analysis reveals the significance of the daily oil futures curves and their different impact on individual stocks and sector ETFs. It also shows that the functional approach has an information content different from that obtained from scalar factor models for point-to-point returns.

Keywords: Asymmetric beta; cumulative intraday return curves; functional data analysis; two sample test (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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DOI: 10.1515/strm-2016-0010

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