File(s) under permanent embargo
High frequency characterisation of Indian banking stocks
journal contribution
posted on 2023-05-19, 18:54 authored by Sayeed, MA, Dungey, M, Yao, WUsing 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.
Funding
Australian Research Council
History
Publication title
Journal of Emerging Market FinanceVolume
17Issue
2SPagination
1S-26SISSN
0972-6527Department/School
TSBEPublisher
Sage Publications India Pvt. Ltd.Place of publication
IndiaRights statement
© 2018 Institute for Financial Management and ResearchRepository Status
- Restricted