Beta Asymmetry in the Global Stock Markets Following the Subprime Mortgage Crisis |
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Authors: | Yung-Shi Liau |
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Institution: | Nanhua University, Chiayi, Taiwan |
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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. |
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Keywords: | asymmetric beta DCC-GJR-GARCH model subprime mortgage crisis |
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