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High frequency characterization of Indian banking stocks

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posted on 2023-06-22, 04:17 authored by ma sayed sayedma sayed sayed, Dungey, M, Yao, W
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.

History

Series

Discussion Paper Series 2015‐04

Pagination

30

Publisher

University of Tasmania

Rights statement

Copyright 2015 University of Tasmania

Notes

JEL Classification: C58, G21, G28

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  • Open

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    Tasmanian School of Business and Economics

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