An Empirical Study on Time-Varying Systematic Risk and Structure Change
Date Issued
2009
Date
2009
Author(s)
Hsieh, Ming-Lin
Abstract
There exist evidences that show systematic risk is unstable and time varying. This paper applies Bivariate GARCH Model to estimate time-varying systematic risk (time-varying beta) using daily data in eight industries and sixteen individual stocks of Taiwan from Jan. 1, 2007 to Dec. 31, 2008. In addition, returns are compared with systematic risks in the case of different events. Results show that returns changes are totally different and most of the systematic risk switched from the event occurred. Finally, this paper examines some time specific structural changes of the returns and the systematic risk or not. The presupposed is that the fell of Taiwan stock market(Jul. 27, 2007), presidential inauguration(May. 19, 2008) and bankruptcy of Lehman Brothers(Sep 16, 2008) .The result demonstrates that returns have different outcome and most of the systematic risk almost changed.
Subjects
Bivariate GARCH Model
Structural Changes
Systematic Risk
Type
thesis
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