High-frequency Characterisation of Indian Banking Stocks
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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 | |
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Journal Article
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Main Library | /Vol 17, No 2S/ 5559444JA3 (Browse shelf(Opens below)) | Available | 5559444JA3 | |||||
Journals and Periodicals
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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 |
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.
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