Time-Varying Modeling of Systematic Risk: using High-Frequency Characterization of Tehran Stock Exchange
Journal Title: International Journal of Finance and Managerial Accounting - Year 2017, Vol 2, Issue 8
Abstract
We decompose time-varying beta for stock into beta for continuous systematic risk and beta for discontinuous systematic risk. Brownian motion is assumed as nature of price movements in our modeling. Our empirical research is based on high-frequency data for stocks from Tehran Stock Exchange. Our market portfolio experiences 136 days out of 243 trading days with jumps which is a considerable ratio. Using 1200 monthly (5200 weekly) estimations, 100 stocks for 12 months (52 weeks), 2400 (10400) betas are calculated. No general trend or constancy has been seen in continuous or discrete betas, and no general correlation between them. Existence and importance of both continuous and discrete betas are demonstrated by related tests. Comparing continuous and discrete beta, show that, in addition to greater significance of discrete beta, the estimated jump beta is higher than the continuous beta almost 87% of the time; and on average jump betas are 180% higher than continuous betas. Both greater significance and greater values are resulted for discrete risk premium.
Authors and Affiliations
Ali Askarinejad Amiri, Mohammad E. FadaeiNejad
Keywords
Related Articles
- EP ID EP535107
- DOI -
- Views 98
- Downloads 0
Studying the Adjustment Amount of Ranking the Performance of Mutual Funds Based on Omega Ratio and Real Return
One of the main functionalities of capital market is to enhance liquidity in the market. Mutual funds are modern financial institutions which are designed with the aim of absorbing funds from investors and devote them to...
Investigating the Effect of Financial Distress on Tax Avoidance during the Global Financial Crisis in Companies Listed on Tehran Stock Exchange
Due to the integration and interrelatedness of the global economy in recent decades, the onset of financial crisis from the U.S. economy and its diffusion to the other global economies has led to the most important event...
Time-Varying Modeling of Systematic Risk: using High-Frequency Characterization of Tehran Stock Exchange
We decompose time-varying beta for stock into beta for continuous systematic risk and beta for discontinuous systematic risk. Brownian motion is assumed as nature of price movements in our modeling. Our empirical researc...
Iranian GAAP and IFRS: The history and current status of IAS/IFRS convergence process in Iran
This study attempts to compare and highlight the major differences between International Accounting Standards (IAS) and International Financial Reporting Standards (IFRS) with National Accounting Standards (NAS) in one o...
Income from Asset sales, Earnings Change, and Leverage
Due to the fact that assets are recorded at their historical value and they may include unrealized gains (losses), managers may manipulate earnings through the sale of these assets and provide financial information which...