Time-Varying Beta And The Subprime Financial Crisis: Evidence From U.S. Industrial Sectors

Time-Varying Beta And The Subprime Financial Crisis: Evidence From U.S. Industrial Sectors

In the current study, we investigate the effect of the subprime financial crisis on the time-varying beta of 10 U.S. industrial sectors. We use daily data, during the period 2002 through 2014, and the bivariate BEKK-GARCH model to the conditional capital asset pricing model (CAPM) to create the time...

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Veröffentlicht in:Journal of applied business research 2014, Vol.30 (5), p.1465
Hauptverfasser: Hasnaoui, Habib, Fatnassi, Ibrahim
Format: Artikel
Sprache:eng
Schlagworte:
Capital assets
Copyright
Economic crisis
Energy industry
Financial services
Industrial markets
Investments
Investors
Licenses
Standard deviation
Stochastic models
Studies
Subprime lending
Volatility
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Zusammenfassung:In the current study, we investigate the effect of the subprime financial crisis on the time-varying beta of 10 U.S. industrial sectors. We use daily data, during the period 2002 through 2014, and the bivariate BEKK-GARCH model to the conditional capital asset pricing model (CAPM) to create the time-varying betas for the 10 sectors. After controlling for local and global volatilities, the data enable us to confirm the different magnitudes of influence of the subprime crisis on the 10 industrial sectors. The results are important for investors and portfolio managers, and may have policy implications.
ISSN:0892-7626
2157-8834
DOI:10.19030/jabr.v30i5.8799