High frequency characterization of Indian banking stocks

Mohammad Abu Sayaeed (), Mardi Dungey and Wenying Yao
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Mohammad Abu Sayaeed: Tasmanian School of Business & Economics, University of Tasmania, http://www.utas.edu.au/business-and-economics

No 2015-04, Working Papers from University of Tasmania, Tasmanian School of Business and Economics

Abstract: Using high-frequency stock returns in the Indian banking sector we find that the beta on jump movements substantially exceeds that on the continuous component, and that the majority of the information content for returns lies with the jump beta. We contribute to the debate on strategies to decrease systemic risk, showing that increased bank capital and reduced leverage reduce both jump and continuous beta - with slightly stronger effects for capital on continuous beta and stronger effects for leverage on jump beta. However, changes in these firm characteristics need to be large to create an economically meaningful change in beta.

Keywords: CAPM; jump; high frequency; India (search for similar items in EconPapers)
JEL-codes: C58 G21 G28 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2015-02-03
New Economics Papers: this item is included in nep-ban, nep-cfn and nep-mst
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Published by the University of Tasmania. Discussion paper 2015-04

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Related works:
Journal Article: High-frequency Characterisation of Indian Banking Stocks (2018)
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