Show simple item record

dc.contributor.authorWorthington, Andrewen_US
dc.contributor.authorHiggs, Helenen_US
dc.contributor.editorKap Young Jeongen_US
dc.date.accessioned2017-05-03T15:14:05Z
dc.date.available2017-05-03T15:14:05Z
dc.date.issued2006en_US
dc.date.modified2013-02-07T04:54:23Z
dc.identifier.issn1226508Xen_US
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.en_US
dc.description.peerreviewedYesen_US
dc.description.publicationstatusYesen_US
dc.format.extent437807 bytes
dc.format.extent47701 bytes
dc.format.mimetypeapplication/pdf
dc.format.mimetypetext/plain
dc.languageEnglishen_US
dc.language.isoen_US
dc.publisherRoutledgeen_US
dc.publisher.placeUKen_US
dc.publisher.urihttp://www.tandf.co.uk/journals/titles/1226508x.aspen_US
dc.relation.ispartofstudentpublicationNen_US
dc.relation.ispartofpagefrom239en_US
dc.relation.ispartofpageto257en_US
dc.relation.ispartofedition2006en_US
dc.relation.ispartofissue3en_US
dc.relation.ispartofjournalGlobal Economic Reviewen_US
dc.relation.ispartofvolume35en_US
dc.rights.retentionYen_US
dc.subject.fieldofresearchcode340403en_US
dc.titleMarket risk in demutualized self-listed stock exchanges: An international analysis of selected time-varying betasen_US
dc.typeJournal articleen_US
dc.type.descriptionC1 - Peer Reviewed (HERDC)en_US
dc.type.codeC - Journal Articlesen_US
gro.rights.copyrightCopyright 2006 Taylor & Francis. This is the author-manuscript version of the paper. Reproduced in accordance with the copyright policy of the publisher.en_US
gro.date.issued2006
gro.hasfulltextFull Text


Files in this item

This item appears in the following Collection(s)

  • Journal articles
    Contains articles published by Griffith authors in scholarly journals.

Show simple item record