Market Risk in Demutualised Self-Listed Stock Exchanges: An International Analysis of Selected Time-Varying Betas

Preprint OPEN
Andrew Worthington; Helen Higgs;
(2005)
  • Subject: Time-varying betas; moving average; bivariate GARCH; demutualization and self-listing, exchanges

This paper examines market risk in four demutualised and self-listed stock exchanges: the Australian Stock Exchange, the Deutsche Börse, the London Stock Exchange and the Singapore Stock Exchange. Daily company and MSCI index returns provide the respective asset and mar... View more
Share - Bookmark