Instability and time scale dependence of beta in an emerging market economy
DUBEY, AMLENDU KUMAR
Instability and time scale dependence of beta in an emerging market economy - 2014 - 41-56
Financial markets are characterized by hetrogeneous investors. The perception of risk in holding different stock by different trading classes varies. Also, in emerging market economics, conditions are very fluid. Assuming that the risk in holdinga firm's stock will be constant over a longer period would be rather restrictive. This paper tests for the stability of beta of different trading stocks in the Indian equity market. It finds considerable instability in beta estimates of different trading stocks.
STOCK MARKET
332.6322
Instability and time scale dependence of beta in an emerging market economy - 2014 - 41-56
Financial markets are characterized by hetrogeneous investors. The perception of risk in holding different stock by different trading classes varies. Also, in emerging market economics, conditions are very fluid. Assuming that the risk in holdinga firm's stock will be constant over a longer period would be rather restrictive. This paper tests for the stability of beta of different trading stocks in the Indian equity market. It finds considerable instability in beta estimates of different trading stocks.
STOCK MARKET
332.6322