ESTIMATING SECTORAL SYSTEMATIC RISK FOR CHINA, MALAYSIA, SINGAPORE, AND THAILAND

Thach Pham () and Duc Hong Vo
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Duc Hong Vo: Business and Economics Research Group, Ho Chi Minh City Open University, District 3, Ho Chi Minh City, Vietnam

Annals of Financial Economics (AFE), 2019, vol. 14, issue 03, 1-18

Abstract: This study examines the relative systematic risks of 10 industries in China and ASEAN-3, including Malaysia, Singapore, and Thailand. We use four different approaches (ordinary least squares, least absolute deviations, MM-estimator and Theil–Sen estimator) and the weekly data from 2004 to 2016 to determine the sectoral systematic risk. The data are also divided into four sub-periods: the pre-crisis, crisis, post-crisis and normal periods. We find that the rankings of systematic risk, and the risk–return framework, for 10 industries vary from one country to another. The pairwise correlation analysis shows that significant correlation of sectoral ranks between estimation methods is found in China and Thailand, but not in Malaysia and Singapore. However, no correlations of industry rankings between China and ASEAN-3 countries for all the estimation methods for the full research periods and sub-periods are found. The sub-periods analysis also suggests that the rankings of systematic risk for industries in four countries across different economic periods are unstable.

Keywords: Systematic risk; CAPM; industry; China; ASEAN (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1142/S2010495219500118

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