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High frequency characterisation of Indian banking stocks

Sayeed, MA, Dungey, M ORCID: 0000-0003-0074-2314 and Yao, W 2018 , 'High frequency characterisation of Indian banking stocks' , Journal of Emerging Market Finance, vol. 17, no. 2S , 1S-26S , doi: 10.1177/0972652718777081.

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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 onthe continuous component, and that the majority of the informationcontent for returns lies with the jump beta. We contribute to the debateon strategies to decrease systemic risk, showing that increased bankcapital and reduced leverage reduce both jump and continuous betawith slightly stronger effects for capital on continuous beta and strongereffects for leverage on jump beta. However, changes in these firm characteristicsneed to be large to create an economically meaningful changein beta.

Item Type: Article
Authors/Creators:Sayeed, MA and Dungey, M and Yao, W
Keywords: jumps, India, stocks
Journal or Publication Title: Journal of Emerging Market Finance
Publisher: Sage Publications India Pvt. Ltd.
ISSN: 0972-6527
DOI / ID Number: 10.1177/0972652718777081
Copyright Information:

© 2018 Institute for Financial Management and Research

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