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Quantile relationships between standard, diffusion and jump betas across Japanese banks

Citation

Chowdhury, B and Jeyasreedharan, N and Dungey, M, Quantile relationships between standard, diffusion and jump betas across Japanese banks, Journal of Asian Economics, 59 pp. 29-47. ISSN 1049-0078 (2018) [Refereed Article]

Copyright Statement

Copyright 2018 Elsevier Inc.

DOI: doi:10.1016/j.asieco.2018.09.004

Abstract

The ability of the banking sector to absorb unexpected news is critical to its ability to disseminate relevant information to the financial markets and real economy. Using high frequency financial data and quantile regression techniques we characterise some stylised facts about standard betas, diffusion betas and jump betas and the relationships between them for Japanese bank stocks and portfolios. Data are for the period 20012012 at 5-min frequency. We find that jump betas, which relate to the arrival of unexpected news, are on average higher and more dispersed than the diffusion betas across Japanese banks. While the standard beta is a weighted average of the diffusion and jump betas, the magnitudes of the weights differ significantly across quantiles (the 5th, 25th, 50th, 75th, 95th), indicating a non-linearity in how jump information is incorporated across the quantiles. On average, small bank stocks and portfolios have smaller diffusion betas and smaller jump betas than large bank stocks and portfolios. While there are no significant differences between the jump-diffusion beta ratios when conditioned by market capitalisation, during times of financial crisis small banks have significantly higher jump beta-diffusion beta ratios than large banks on average, indicating that during time of financial crisis smaller Japanese banks face much higher relative jump risks than larger Japanese banks.

Item Details

Item Type:Refereed Article
Keywords:beta, jumps, high-frequency data, quantile regression, Japanese banks
Research Division:Commerce, Management, Tourism and Services
Research Group:Banking, Finance and Investment
Research Field:Financial Econometrics
Objective Division:Expanding Knowledge
Objective Group:Expanding Knowledge
Objective Field:Expanding Knowledge in Economics
UTAS Author:Chowdhury, B (Mr Biplob Chowdhury)
UTAS Author:Jeyasreedharan, N (Dr Nagaratnam Jeyasreedharan)
UTAS Author:Dungey, M (Professor Mardi Dungey)
ID Code:129872
Year Published:2018
Deposited By:Economics and Finance
Deposited On:2018-12-20
Last Modified:2019-05-02
Downloads:0

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