Time-varying beta and the Asian financial crisis: Evidence from Malaysian and Taiwanese firms [An article from: Pacific-Basin Finance Journal]

This digital document is a journal article from Pacific-Basin Finance Journal, published by Elsevier in 2005. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
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.