Beta Asymmetry in the Global Stock Markets Following the Subprime Mortgage Crisis. Issue 9 (1st September 2016)

• Record Type: Journal Article
• Authors: Liau, Yung-Shi
• Is Part Of: Emerging markets finance & trade. Volume 52:Issue 9(2016)
• Page Start: 2195
• Page End: 2207
• Publication Date: 2016-09-01
• Subjects: asymmetric beta -- DCC-GJR-GARCH model -- subprime mortgage crisis; Balkan Peninsula -- Commerce -- Periodicals; Balkan Peninsula -- Foreign economic relations -- Periodicals; Europe, Central -- Commerce -- Periodicals; Europe, Central -- Foreign economic relations -- Periodicals; Europe, Eastern -- Commerce -- Periodicals; Europe, Eastern -- Foreign economic relations -- Periodicals; Turkey -- Commerce -- Periodicals; Turkey -- Foreign economic relations -- Periodicals; Asia -- Commerce -- Periodicals; Asia -- Foreign economic relations -- Periodicals; Eurasia -- Commerce -- Periodicals; Eurasia -- Foreign economic relations -- Periodicals; 382.05
• DOI: 10.1080/1540496X.2015.1068613
• Languages: English
• ISSNs: 1540-496X

Abstract

ABSTRACT: I set out in this study to examine the asymmetry in beta responses using the dynamic conditional correlation threshold generalized autoregressive conditional heteroskedasticity (DCC-GJR-GARCH) model. The empirical results reveal that asymmetry is discernible in both volatility and betas in the global stock markets. Furthermore, when leverage is linked with the price-to-book ratio, the results indicate that the beta asymmetry is attributable to the leverage effect. The results of this study also reveal that the declines in the price-to-book ratio following the subprime mortgage crisis have led to an overall increase in betas.