Quantile relationships between standard, diffusion and jump betas across Japanese banks

Biplob Chowdhury (), Nagaratnam Jeyasreedharan () and Mardi Dungey
Additional contact information
Biplob Chowdhury: Tasmanian School of Business & Economics, University of Tasmania
Nagaratnam Jeyasreedharan: Tasmanian School of Business & Economics, University of Tasmania

No 2017-10, Working Papers from University of Tasmania, Tasmanian School of Business and Economics

Abstract: Using high frequency financial data and associated risk decomposition and quantile regression techniques we characterise some stylised facts and relationship(s) between standard betas, diffusion betas and jump betas of individual stocks and portfolios in Japanese market. We then investigate whether the beta in the conventional CAPM is the weighted average of the jump beta and diffusion beta in the jump-diffusion model and how these different betas behave across different banks. Our empirical findings indicate that jump betas are cross-sectionally more dispersed than diffusion and standard betas. We find that the relationship(s) between the three betas are non-linear. We also find that standard betas are influenced more by diffusion betas than the jump betas, although the actual magnitude of the weights differ significantly across the quantile. This relationship holds for both individual stocks and portfolios. Empirical studies have shown that betas vary systematically across large and small firm equities. For large equity portfolios, the jump beta-diffusion beta ratios are lower that the jump betadiffusion beta ratios of the small equity portfolios. Empirically, we further find that the standard CAPM beta is composed of two-components, i.e. it is the weighted average of the diffusion component and the jump component.

Keywords: diffusion beta; jump beta; jump-diffusion beta ratio; quantile regression, Japanese banks (search for similar items in EconPapers)
JEL-codes: G12 G19 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2017
New Economics Papers: this item is included in nep-ban and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published by the University of Tasmania. Discussion paper 2017-10

Downloads: (external link)
http://eprints.utas.edu.au/23638/1/2017_10_Chowdhury_Jeyasreedharan_Dungey.pdf
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (http://eprints.utas.edu.au/23638/1/2017_10_Chowdhury_Jeyasreedharan_Dungey.pdf [302 Moved Temporarily]--> https://eprints.utas.edu.au/23638/1/2017_10_Chowdhury_Jeyasreedharan_Dungey.pdf [302 Found]--> https://figshare.utas.edu.au/ndownloader/files/40973552 [302 Found]--> https://s3-ap-southeast-2.amazonaws.com/figshare-production-eu-utas-storage2718-ap-southeast-2/40973552/2017_10_Chowdhury_Jeyasreedharan_Dungey.pdf?X-Amz-Algorithm=AWS4-HMAC-SHA256&X-Amz-Credential=AKIARRFKZQ25CRVZALJA/20250331/ap-southeast-2/s3/aws4_request&X-Amz-Date=20250331T114426Z&X-Amz-Expires=10&X-Amz-SignedHeaders=host&X-Amz-Signature=a2a551d5342e2f5fbf0b60cf6a5a494bb65fd6c63a67d8a09b5d0a33f7c977f5)

Related works:
Journal Article: Quantile relationships between standard, diffusion and jump betas across Japanese banks (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tas:wpaper:23638

Access Statistics for this paper

More papers in Working Papers from University of Tasmania, Tasmanian School of Business and Economics Contact information at EDIRC.
Bibliographic data for series maintained by Oscar Pavlov ().