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dc.contributor.authorWorthington, Andrew
dc.contributor.authorHiggs, Helen
dc.contributor.editorKap Young Jeong
dc.date.accessioned2018-06-21T05:49:21Z
dc.date.available2018-06-21T05:49:21Z
dc.date.issued2006
dc.date.modified2013-02-07T04:54:23Z
dc.identifier.issn1226508X
dc.identifier.doi10.1080/12265080600887894
dc.identifier.urihttp://hdl.handle.net/10072/13936
dc.description.abstractThis 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.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.format.extent437807 bytes
dc.format.extent47701 bytes
dc.format.mimetypeapplication/pdf
dc.format.mimetypetext/plain
dc.languageEnglish
dc.language.isoeng
dc.publisherRoutledge
dc.publisher.placeUK
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom239
dc.relation.ispartofpageto257
dc.relation.ispartofedition2006
dc.relation.ispartofissue3
dc.relation.ispartofjournalGlobal Economic Review
dc.relation.ispartofvolume35
dc.rights.retentionY
dc.subject.fieldofresearchApplied Economics
dc.subject.fieldofresearchcode1402
dc.titleMarket risk in demutualized self-listed stock exchanges: An international analysis of selected time-varying betas
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
dc.description.versionAccepted Manuscript (AM)
gro.rights.copyright© 2006 Taylor & Francis. This is the author-manuscript version of the paper. Reproduced in accordance with the copyright policy of the publisher.
gro.date.issued2006
gro.hasfulltextFull Text
gro.griffith.authorHiggs, Helen


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