Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10480653 | Pacific-Basin Finance Journal | 2005 | 26 Pages |
Abstract
This paper empirically investigates the effects of the Asian financial crisis of 1997-1998 on the time-varying beta of 10 firms from each of Malaysia and Taiwan. Daily data from 1990 to 2001 and the bivariate MA-GARCH model (BEKK) are applied to create the time-varying betas for the firms. Results provide ample evidence of the influence of the financial crisis and the period after on the time-varying betas of the twenty firms. Results provided are somewhat mixed, indicating a rise in the beta in some cases and a fall in other cases. Results also show that the 10 Malaysian firms applied were more affected than the Taiwanese firms.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Taufiq Choudhry,