EconPapers    
Economics at your fingertips  
 

Testing for Time-variation in Beta in India

Syed Abuzar Moonis and Ajay Shah ()

Journal of Emerging Market Finance, 2003, vol. 2, issue 2, 163-180

Abstract: The beta of a stock is important in a variety of contexts, ranging from the cost of capital, asset-pricing theory, to hedging using index derivatives. It is common to measure betas by estimating the market model using straight ordinary least square (OLS) regression in obtaining beta estimates. This assumes that betas are constant, despite strong economic arguments in favour of time-varying betas. In this article, we test for time-varying betas in the context of a market model with Generalised Auto Regressive Conditional Heteroscedasticity (GARCH) errors, using the modified Kalman filter of Harvey et al. (1992). The null of beta constancy is rejected for 52 per cent of stocks. This has significant implications for portfolio diversification and hedging.

Date: 2003
References: Add references at CitEc
Citations View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://emf.sagepub.com/content/2/2/163.abstract (text/html)

Related works:
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:sae:emffin:v:2:y:2003:i:2:p:163-180

Access Statistics for this article

More articles in Journal of Emerging Market Finance from Institute for Financial Management and Research
Bibliographic data for series maintained by SAGE Publications ().

 
Page updated 2018-12-17
Handle: RePEc:sae:emffin:v:2:y:2003:i:2:p:163-180