Dynamic models of beta measurement in the Malaysian banking sector / N. H. Yaakop Yahaya Al-Haj and M. Nurol ain

UNSPECIFIED (2006) Dynamic models of beta measurement in the Malaysian banking sector / N. H. Yaakop Yahaya Al-Haj and M. Nurol ain. Journal of International Business, Economics and Entrepreneurship (JIBE), 12 (1). pp. 69-85. ISSN 0128-7494

Abstract

This paper concentrates on the estimation of beta in the Malaysian banking sector using three different dynamic econometric techniques, specifically Kalman Filter, GARCH(1, 1) and Schwert and Seguin (1990). These techniques consider the behavior of the banks' betas in respect to the country's composite index (Kuala Lumpur Composite Index), as the proxy to the market portfolio. Potentially, these techniques provide better estimates due to the time varying nature of beta. Evidence is provided to support of which is the better technique to explain best the behavior of Malaysian banks' betas behavior. Another potential implication to note is to consider period and size oriented study in respect of beta estimations since stationarity of betas has important implications for the measures of capital asset pricing and performance, efficient market hypothesis and, more importantly in the forecasting of stock returns.

Metadata

Item Type: Article
Divisions: Universiti Teknologi MARA, Shah Alam > Faculty of Business and Management
Journal or Publication Title: Journal of International Business, Economics and Entrepreneurship (JIBE)
Journal: UiTM Journal > Journal of International Business, Economics and Entrepreneurship
ISSN: 0128-7494
Volume: 12
Number: 1
Page Range: pp. 69-85
Official URL: https://jibe.uitm.edu.my/
Item ID: 16758
Uncontrolled Keywords: Dynamic models; Beta measurement; Malaysian banking sector
URI: http://ir.uitm.edu.my/id/eprint/16758

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