Dynamic models of beta measurement in the Malaysian banking sector / N. H. Yaakop Yahaya Al-Haj and M. Nurol ain

Dynamic models of beta measurement in the Malaysian banking sector / N. H. Yaakop Yahaya Al-Haj and M. Nurol ain

This paper concentrates on the estimation of beta in the Malaysian banking sector using three different dynamic econometric techniques, specifically Kalman Filter, GARCH(1, 1) and Schwert and Seguin (1990). These techniques consider the behavior of the banks' betas in respect to the country...

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Format: Article
Language:English
Published: Faculty of Business and Management ; UiTM Press 2006
Online Access:http://ir.uitm.edu.my/id/eprint/16758/
http://ir.uitm.edu.my/id/eprint/16758/
http://ir.uitm.edu.my/id/eprint/16758/1/AJ_NORASHFAH%20HANIM%20JIBE%2006.pdf
id uitm-16758
recordtype eprints
spelling uitm-167582017-05-08T04:04:08Z http://ir.uitm.edu.my/id/eprint/16758/ Dynamic models of beta measurement in the Malaysian banking sector / N. H. Yaakop Yahaya Al-Haj and M. Nurol ain This paper concentrates on the estimation of beta in the Malaysian banking sector using three different dynamic econometric techniques, specifically Kalman Filter, GARCH(1, 1) and Schwert and Seguin (1990). These techniques consider the behavior of the banks' betas in respect to the country's composite index (Kuala Lumpur Composite Index), as the proxy to the market portfolio. Potentially, these techniques provide better estimates due to the time varying nature of beta. Evidence is provided to support of which is the better technique to explain best the behavior of Malaysian banks' betas behavior. Another potential implication to note is to consider period and size oriented study in respect of beta estimations since stationarity of betas has important implications for the measures of capital asset pricing and performance, efficient market hypothesis and, more importantly in the forecasting of stock returns. Faculty of Business and Management ; UiTM Press 2006 Article PeerReviewed text en http://ir.uitm.edu.my/id/eprint/16758/1/AJ_NORASHFAH%20HANIM%20JIBE%2006.pdf UNSPECIFIED (2006) Dynamic models of beta measurement in the Malaysian banking sector / N. H. Yaakop Yahaya Al-Haj and M. Nurol ain. Journal of International Business, Economics and Entrepreneurship (JIBE), 12 (1). pp. 69-85. ISSN 0128-7494 https://jibe.uitm.edu.my/
repository_type Digital Repository
institution_category Local University
institution Universiti Teknologi MARA
building UiTM Institutional Repository
collection Online Access
language English
description This paper concentrates on the estimation of beta in the Malaysian banking sector using three different dynamic econometric techniques, specifically Kalman Filter, GARCH(1, 1) and Schwert and Seguin (1990). These techniques consider the behavior of the banks' betas in respect to the country's composite index (Kuala Lumpur Composite Index), as the proxy to the market portfolio. Potentially, these techniques provide better estimates due to the time varying nature of beta. Evidence is provided to support of which is the better technique to explain best the behavior of Malaysian banks' betas behavior. Another potential implication to note is to consider period and size oriented study in respect of beta estimations since stationarity of betas has important implications for the measures of capital asset pricing and performance, efficient market hypothesis and, more importantly in the forecasting of stock returns.
format Article
title Dynamic models of beta measurement in the Malaysian banking sector / N. H. Yaakop Yahaya Al-Haj and M. Nurol ain
spellingShingle Dynamic models of beta measurement in the Malaysian banking sector / N. H. Yaakop Yahaya Al-Haj and M. Nurol ain
title_short Dynamic models of beta measurement in the Malaysian banking sector / N. H. Yaakop Yahaya Al-Haj and M. Nurol ain
title_full Dynamic models of beta measurement in the Malaysian banking sector / N. H. Yaakop Yahaya Al-Haj and M. Nurol ain
title_fullStr Dynamic models of beta measurement in the Malaysian banking sector / N. H. Yaakop Yahaya Al-Haj and M. Nurol ain
title_full_unstemmed Dynamic models of beta measurement in the Malaysian banking sector / N. H. Yaakop Yahaya Al-Haj and M. Nurol ain
title_sort dynamic models of beta measurement in the malaysian banking sector / n. h. yaakop yahaya al-haj and m. nurol ain
publisher Faculty of Business and Management ; UiTM Press
publishDate 2006
url http://ir.uitm.edu.my/id/eprint/16758/
http://ir.uitm.edu.my/id/eprint/16758/
http://ir.uitm.edu.my/id/eprint/16758/1/AJ_NORASHFAH%20HANIM%20JIBE%2006.pdf
first_indexed 2023-09-18T22:56:47Z
last_indexed 2023-09-18T22:56:47Z
_version_ 1777417907580436480

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