High-frequency Characterisation of Indian Banking Stocks
Material type:
TextDescription: 213S–238SSubject(s):
In:
GANGOPADHYAY, SHUBHASIS JOURNAL OF EMERGING MARKET FINANCESummary: Using high-frequency stock returns in the Indian banking sector, we find that the beta on jump movements substantially exceeds that on the continuous component, and that the majority of the information content for returns lies with the jump beta. We contribute to the debate on strategies to decrease systemic risk, showing that increased bank capital and reduced leverage reduce both jump and continuous beta with slightly stronger effects for capital on continuous beta and stronger effects for leverage on jump beta. However, changes in these firm characteristics need to be large to create an economically meaningful change in beta.
| Item type | Current library | Call number | Vol info | Status | Notes | Date due | Barcode | Item holds | |
|---|---|---|---|---|---|---|---|---|---|
Journal Article
|
Main Library | /Vol 17, No 2S/ 5559444JA3 (Browse shelf(Opens below)) | Available | 5559444JA3 | |||||
Journals and Periodicals
|
Main Library On Display | JOURNAL/FIN/Vol 17, No 2S/5559444 (Browse shelf(Opens below)) | Vol 17, No 2S (09/10/2018) | Not for loan | August, 2018 | 5559444 |
Browsing Main Library shelves Close shelf browser (Hides shelf browser)
| No cover image available | No cover image available | No cover image available | No cover image available | No cover image available | No cover image available | No cover image available | ||
| /Vol 17, No 1/ 5558682JA2 Stakeholders’ Perspective on Electronic Initiatives in Corporate Governance | /Vol 17, No 2/ 5558980JA3 Assessment of Total Quality of Healthcare in Rural Primary Health Centers. | /Vol 17, No 2/ 5559204JA3 70-20-10 and the Dominance of Informal Learning: A Fact in Search of Evidence | /Vol 17, No 2S/ 5559444JA3 High-frequency Characterisation of Indian Banking Stocks | /Vol 17, No 3/ 5559190JA4 High Performance Work Practices: The Trending Approaches in India | /Vol 18, No 2/ 5558624JA9 Risk Management and Intellectual Property Protection in Outsourcing | /Vol 18, No 3/ 55510830JA4 Assessing the Determinants of FDI in Emerging Markets: Do Natural Resources and Institutions Matter? |
Using high-frequency stock returns in the Indian banking sector, we find that the beta on jump movements substantially exceeds that on the continuous component, and that the majority of the information content for returns lies with the jump beta. We contribute to the debate on strategies to decrease systemic risk, showing that increased bank capital and reduced leverage reduce both jump and continuous beta with slightly stronger effects for capital on continuous beta and stronger effects for leverage on jump beta. However, changes in these firm characteristics need to be large to create an economically meaningful change in beta.
There are no comments on this title.