Some evidence on the distribution of beta in Hong Kong

Keith Lam

Applied Financial Economics, 1999, vol. 9, issue 3, 251-262

Abstract: This paper investigates the stochastic properties of the beta distribution in Hong Kong for the period 1980-93. We test the distribution of beta for one-year and two-year nonoverlapping betas, and for the cumulative overlapping betas within our sample. We find similar results for both the distribution of the nonoverlapping and overlapping betas. Our results show that our beta distributions for the overall 14 one-year betas, seven two-year betas and the 14 cumulative betas are not stable. However, the distributions are all stable within the pre-86 (1980-85) and the post-86 (1986-93) subperiods. A test for a weaker form of stability on the distribution of any two periods suggests that the distribution of all possible pairs of betas exhibit short and median term stability. However, the pairs do not show any sign of long term stability, especially those that span across the two subperiods, pre-86 and post-86 subperiods. The finding of long term instability of the beta distribution in the sample periods casts doubt on the validity of results in certain event study tests which span across the pre-86 and post-86 periods. But, on the other hand, the findings of short and median term stability of the beta distribution do suggest that betas are practically useful and reliable in tests which rely on cumulative betas.

Date: 1999
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/096031099332320 (text/html)
Access to full text is restricted to subscribers.

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:taf:apfiec:v:9:y:1999:i:3:p:251-262

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/096031099332320

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().