Instability and time scale dependence of beta in an emerging market economy

By:

DUBEY, AMLENDU KUMAR

Material type:

Mixed materialsPublication details: 2014Description: 41-56Subject(s):

STOCK MARKET

NLM classification:

332.6322

In: VIKALPAMSummary: 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.

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Holdings
Item type	Current library	Call number	Vol info	Status	Date due	Barcode
Periodicals/Magazines	SSCBS Library		39/1	Available		P15407

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.

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