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

Preprint OPEN
Andrew Worthington; Helen Higgs;
  • 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
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