Time-varying beta and the Asian financial crisis: Evidence from the Asian industrial sectors

Taufiq Choudhry, Lin Lu and Ke Peng

Japan and the World Economy, 2010, vol. 22, issue 4, 228-234

Abstract: This paper empirically investigates the effects of the Asian financial crisis of 1997-98, and the period immediately afterwards, on the time-varying beta of four industrial sectors (chemical, finance, retail and industry) of Indonesia, Singapore, South Korea, and Taiwan. We apply daily data from 1992 to 2002 and the bivariate MA-GARCH model (BEKK) to create the time-varying industrial betas. Results provide evidence of the influence of the Asian financial crisis, and the period after, on the time-varying industrial betas of these countries. These results may have implications for investors who are interested in portfolio risk management.

Keywords: Time-varying; beta; GARCH; BEKK; model; Asian; financial; crisis; Volatility (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:japwor:v:22:y:2010:i:4:p:228-234

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