Time-varying beta and volatility in the Kuala Lumpur stock exchange
The paper analyzes the relationship between beta risk and aggregate market volatility for 12 sized-based portfolios for the case of Malaysia using daily data from January 1988 to December 2000. The analysis is conducted for the entire sample as well as various sub-samples corresponding to (1) the up...
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[Yogyakarta] : Universitas Gadjah Mada
2004
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