Market risk in demutualized self-listed stock exchanges: An international analysis of selected time-varying betas
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This article examines market risk in four demutulized and self-listed stock exchanges: the Australian Stock Exchange, the Deutsche Borse, the London Stock Exchange and the Singapore Stock Exchange. Daily company and the Morgan Stanley Capital International (MSCI) Index returns provide the respective asset and market portfolio data. A bivariate GARCH model is used to estimate time-varying betas for each exchange from listing until 7 June 2005. While the results indicate significant beta volatility, unit root tests show the betas to be mean-reverting. These findings are used to suggest that despite concerns that demutulized and self-listed exchanges entail new market risks that merit regulatory intervention, the betas of the exchange companies have not changed significantly since listing. However market risk does vary considerably across the exchanges, with mean time-varying betas of 0.56 for the Deutsche Borse, 0.66 for the London Stock Exchange, 0.78 for the Singapore Stock Exchange and 0.95 for the Australian Stock Exchange.
Global Economic Review
© 2006 Taylor & Francis. This is the author-manuscript version of the paper. Reproduced in accordance with the copyright policy of the publisher.