Market risk in demutualized self-listed stock exchanges: An international analysis of selected time-varying betas

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Title Market risk in demutualized self-listed stock exchanges: An international analysis of selected time-varying betas
Author Worthington, Andrew Charles; Higgs, Helen
Journal Name Global Economic Review
Editor Kap Young Jeong
Year Published 2006
Place of publication UK
Publisher Routledge
Abstract 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.
Peer Reviewed Yes
Published Yes
Publisher URI http://www.tandf.co.uk/journals/titles/1226508x.asp
Copyright Statement Copyright 2006 Taylor & Francis. This is the author-manuscript version of the paper. Reproduced in accordance with the copyright policy of the publisher.
Volume 35
Issue Number 3
Edition 2006
Page from 239
Page to 257
ISSN 1226-508X
Date Accessioned 2007-03-02
Date Available 2013-02-07T04:54:23Z
Language en_US
Research Centre Griffith Asia Institute
Faculty Griffith Business School
Subject PRE2009-Time-Series Analysis
URI http://hdl.handle.net/10072/13936
Publication Type Journal Articles (Refereed Article)
Publication Type Code c1

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