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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
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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