Template-Type: ReDIF-Article 1.0
Author-Name: Hooy Chee-Wooi
Author-Workplace-Name: School of Management, Universiti Sains Malaysia, 11800 Pulau Pinang, Malaysia
Author-Name: Robert D. Brooks
Author-Workplace-Name: Department of Econometrics and Business Statistics, Monash University, 900, Dandehong Road, Caulfield East VIC 3145, Australia
Author-Email: cwhooy@usm.my
Title: The Components of Systematic Risk and Their Determinants in The Malaysian Equity Market
Abstract: We examine the country components of world systematic risk in the context of Bursa Malaysia. World systematic risk is divided into the US, developed markets, regional markets, major trading partners, and the rest of the world. We tested market and 9 firmcharacteristic- sorted portfolios, based on size, value and liquidity. Using monthly data for the 1988–2010 period, our analyses show that the US and regional factors are the most important sources of systematic risk. Tracing the time-varying betas of the US and regional factors, we find that they are driven by economic risk and financial risk, respectively.
Classification-JEL:
Keywords: systematic risk, time-varying beta, country risk, Malaysia, equity
Pages: 151-176
Volume: 11
Issue: 2
Year: 2015
File-URL:http://web.usm.my/journal/aamjaf/vol%2011-2-2015/aamjaf110215_07.pdf
File-Format: Application/pdf
Handle: RePEc:usm:journl:aamjaf01102_151-176