The Components Of Systematic Risk And Their Determinants In The Malaysian Equity Market
We examine the country components of world systematic risk in the context of Bursa Malaysia. World systematic risk is divided into the US, developed markets, regional markets, major trading partners, and the rest of the world. We tested market and 9 firmcharacteristic-sorted portfolios, based on s...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Asian Academy of Management (AAM)
2015
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| Subjects: | |
| Online Access: | http://eprints.usm.my/40038/1/aamjaf110215_07.pdf |
| _version_ | 1825834165232205824 |
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| author | Hooy , Chee Wooi D. Brooks, Robert |
| author_facet | Hooy , Chee Wooi D. Brooks, Robert |
| author_sort | Hooy , Chee Wooi |
| collection | USM |
| description | We examine the country components of world systematic risk in the context of Bursa
Malaysia. World systematic risk is divided into the US, developed markets, regional
markets, major trading partners, and the rest of the world. We tested market and 9 firmcharacteristic-sorted portfolios, based on size, value and liquidity. Using monthly data
for the 1988–2010 period, our analyses show that the US and regional factors are the
most important sources of systematic risk. Tracing the time-varying betas of the US and
regional factors, we find that they are driven by economic risk and financial risk,
respectively |
| first_indexed | 2024-03-06T15:18:39Z |
| format | Article |
| id | usm.eprints-40038 |
| institution | Universiti Sains Malaysia |
| language | English |
| last_indexed | 2024-03-06T15:18:39Z |
| publishDate | 2015 |
| publisher | Asian Academy of Management (AAM) |
| record_format | dspace |
| spelling | usm.eprints-400382018-04-11T04:49:38Z http://eprints.usm.my/40038/ The Components Of Systematic Risk And Their Determinants In The Malaysian Equity Market Hooy , Chee Wooi D. Brooks, Robert HD28-70 Management. Industrial Management We examine the country components of world systematic risk in the context of Bursa Malaysia. World systematic risk is divided into the US, developed markets, regional markets, major trading partners, and the rest of the world. We tested market and 9 firmcharacteristic-sorted portfolios, based on size, value and liquidity. Using monthly data for the 1988–2010 period, our analyses show that the US and regional factors are the most important sources of systematic risk. Tracing the time-varying betas of the US and regional factors, we find that they are driven by economic risk and financial risk, respectively Asian Academy of Management (AAM) 2015 Article PeerReviewed application/pdf en http://eprints.usm.my/40038/1/aamjaf110215_07.pdf Hooy , Chee Wooi and D. Brooks, Robert (2015) The Components Of Systematic Risk And Their Determinants In The Malaysian Equity Market. Asian Academy of Management Journal of Accounting and Finance, 11 (2). pp. 1-26. ISSN 1823-4992 http://web.usm.my/journal/aamjaf/11-2-7-2015.html |
| spellingShingle | HD28-70 Management. Industrial Management Hooy , Chee Wooi D. Brooks, Robert The Components Of Systematic Risk And Their Determinants In The Malaysian Equity Market |
| title | The Components Of Systematic Risk And
Their Determinants In The Malaysian Equity
Market |
| title_full | The Components Of Systematic Risk And
Their Determinants In The Malaysian Equity
Market |
| title_fullStr | The Components Of Systematic Risk And
Their Determinants In The Malaysian Equity
Market |
| title_full_unstemmed | The Components Of Systematic Risk And
Their Determinants In The Malaysian Equity
Market |
| title_short | The Components Of Systematic Risk And
Their Determinants In The Malaysian Equity
Market |
| title_sort | components of systematic risk and their determinants in the malaysian equity market |
| topic | HD28-70 Management. Industrial Management |
| url | http://eprints.usm.my/40038/1/aamjaf110215_07.pdf |
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