Title: Time-varying beta risk, volatility persistence and the asymmetric impact of news: evidence from industry portfolios
Authors: Dimitrios Koutmos
Addresses: Leeds University Business School, The Maurice Keyworth Building, University of Leeds, Leeds, LS2 9JT, UK
Abstract: This paper examines the time-varying behaviour of beta risk and degree of volatility persistence in the daily stock returns of 30 industry portfolios consisting of firms from the NYSE, AMEX and NASDAQ stock exchanges. Using an exponential ARCH (EGARCH) for this purpose, it further examines the degree to which innovations exert an asymmetric impact on the conditional second moments of return distributions for each portfolio. Findings point to significant time-dependence in returns. There is also time-dependence in beta risk for all the industry portfolios in question and, finally, it appears that industries with relatively high volatility persistence possess higher systematic risks for investors during periods of heightened aggregate stock market volatility.
Keywords: EGARCH; time-varying behaviour; beta risk; volatility persistence; daily stock returns; industry portfolios; stock markets; time dependence.
Global Business and Economics Review, 2011 Vol.13 No.1, pp.42 - 56
Available online: 25 Mar 2011 *Full-text access for editors Access for subscribers Purchase this article Comment on this article