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Finance and Financial Management
Time-varying betas; moving average; bivariate GARCH; demutualization and self-listing
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Market Risk In Demutualised Self-Listed Stock Exchanges: An International Analysis Of Selected Time-Varying Betas, A. C. Worthington, H. Higgs
Market Risk In Demutualised Self-Listed Stock Exchanges: An International Analysis Of Selected Time-Varying Betas, A. C. Worthington, H. Higgs
Faculty of Business - Accounting & Finance Working Papers
This paper examines market risk in four demutualised and self-listed stock exchanges: the Australian Stock Exchange, the Deutsche Börse, the London Stock Exchange and the Singapore Stock Exchange. Daily company and MSCI index returns provide the respective asset and market portfolio data. A bivariate MA-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 demutualised and self-listed exchanges entail new market risks that merit regulatory intervention, the …