High-frequency Characterisation of Indian Banking Stocks

Mohammad Abu Sayeed, Mardi Dungey and Wenying Yao

Journal of Emerging Market Finance, 2018, vol. 17, issue 2_suppl, S213-S238

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)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:17:y:2018:i:2_suppl:p:s213-s238

DOI: 10.1177/0972652718777081

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