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High frequency characterisation of Indian banking stocks
Citation
Sayeed, MA and Dungey, M and Yao, W, High frequency characterisation of Indian banking stocks, Journal of Emerging Market Finance, 17, (2S) pp. 1S-26S. ISSN 0972-6527 (2018) [Refereed Article]
Copyright Statement
© 2018 Institute for Financial Management and Research
DOI: doi:10.1177/0972652718777081
Abstract
Using high-frequency stock returns in the Indian banking sector, we find that the beta on jump movements substantially exceeds that on the continuous component, and that the majority of the information content for returns lies with the jump beta. We contribute to the debate on strategies to decrease systemic risk, showing that increased bank capital and reduced leverage reduce both jump and continuous beta with slightly stronger effects for capital on continuous beta and stronger effects for leverage on jump beta. However, changes in these firm characteristics need to be large to create an economically meaningful change in beta.
Item Details
Item Type: | Refereed Article |
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Keywords: | jumps, India, stocks, high frequency, CAPM |
Research Division: | Commerce, Management, Tourism and Services |
Research Group: | Banking, finance and investment |
Research Field: | Financial econometrics |
Objective Division: | Economic Framework |
Objective Group: | Macroeconomics |
Objective Field: | Savings and investments |
UTAS Author: | Sayeed, MA (Mr Mohammad Sayeed) |
UTAS Author: | Dungey, M (Professor Mardi Dungey) |
ID Code: | 126594 |
Year Published: | 2018 |
Funding Support: | Australian Research Council (DP130100168) |
Deposited By: | Economics and Finance |
Deposited On: | 2018-06-18 |
Last Modified: | 2018-12-10 |
Downloads: | 0 |
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