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High frequency characterization of Indian banking stocks

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Sayed, MA and Dungey, M and Yao, W (2015) High frequency characterization of Indian banking stocks. Discussion Paper. University of Tasmania. (Submitted)

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Abstract

Using high-frequency stock returns in the Indian banking sector we find that the beta
on jump movements substantially exceeds that on the continuous component, and that the
majority of the information content for returns lies with the jump beta. We contribute to
the debate on strategies to decrease systemic risk, showing that increased bank capital and
reduced leverage reduce both jump and continuous beta - with slightly stronger effects
for capital on continuous beta and stronger effects for leverage on jump beta. However,
changes in these firm characteristics need to be large to create an economically meaningful
change in beta.

Item Type: Report (Discussion Paper)
Keywords: CAPM; jump; high frequency; India
Publisher: University of Tasmania
Date Deposited: 14 Jan 2016 23:20
Last Modified: 15 Jan 2016 00:36
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