The Effect of the 1997 Financial Crisis on the Stability and Predictability on Beta of the Malaysian Stock Exchange, 1992-2005
This paper is a study on the stability and predictive quality of beta before and after the financial crisis of August 1997. Single securities and portfolios randomly formed from samples of the Main and Second Board were investigated. The mean and risk class bands of both boards had shifted lower ind...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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INTI Publishing House Sdn. Bhd.
2006
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| Online Access: | http://eprints.intimal.edu.my/360/ http://eprints.intimal.edu.my/360/1/2006_5.pdf |
| _version_ | 1848766458196131840 |
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| author | Chen, Yin Foo Lai, Chong Yee Song, Kuok Thong |
| author_facet | Chen, Yin Foo Lai, Chong Yee Song, Kuok Thong |
| author_sort | Chen, Yin Foo |
| building | INTI Institutional Repository |
| collection | Online Access |
| description | This paper is a study on the stability and predictive quality of beta before and after the financial crisis of August 1997. Single securities and portfolios randomly formed from samples of the Main and Second Board were investigated. The mean and risk class bands of both boards had shifted lower indicating greater emphasis was placed on firm specific risk after the crisis. Substantial stability was found for pre and post crisis betas for the period immediately after the crisis but divergence was evident when comparing over a longer period. Product moment and Spearman rank correlation coefficient indicated generally weak correlations for pie and post crisis betas meaning that pre crisis values were poor predictors of post crisis betas. Possible extensions of this paper could include varying the length of the estimation period, forming industry-based portfolios and investing the extent of the presence of the dual bull-bear betas. |
| first_indexed | 2025-11-14T11:51:28Z |
| format | Article |
| id | intimal-360 |
| institution | INTI International University |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T11:51:28Z |
| publishDate | 2006 |
| publisher | INTI Publishing House Sdn. Bhd. |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | intimal-3602016-06-22T06:33:35Z http://eprints.intimal.edu.my/360/ The Effect of the 1997 Financial Crisis on the Stability and Predictability on Beta of the Malaysian Stock Exchange, 1992-2005 Chen, Yin Foo Lai, Chong Yee Song, Kuok Thong HJ Public Finance This paper is a study on the stability and predictive quality of beta before and after the financial crisis of August 1997. Single securities and portfolios randomly formed from samples of the Main and Second Board were investigated. The mean and risk class bands of both boards had shifted lower indicating greater emphasis was placed on firm specific risk after the crisis. Substantial stability was found for pre and post crisis betas for the period immediately after the crisis but divergence was evident when comparing over a longer period. Product moment and Spearman rank correlation coefficient indicated generally weak correlations for pie and post crisis betas meaning that pre crisis values were poor predictors of post crisis betas. Possible extensions of this paper could include varying the length of the estimation period, forming industry-based portfolios and investing the extent of the presence of the dual bull-bear betas. INTI Publishing House Sdn. Bhd. 2006 Article PeerReviewed text en http://eprints.intimal.edu.my/360/1/2006_5.pdf Chen, Yin Foo and Lai, Chong Yee and Song, Kuok Thong (2006) The Effect of the 1997 Financial Crisis on the Stability and Predictability on Beta of the Malaysian Stock Exchange, 1992-2005. INTI Journal, 2 (1). pp. 560-570. ISSN 1675-0284 |
| spellingShingle | HJ Public Finance Chen, Yin Foo Lai, Chong Yee Song, Kuok Thong The Effect of the 1997 Financial Crisis on the Stability and Predictability on Beta of the Malaysian Stock Exchange, 1992-2005 |
| title | The Effect of the 1997 Financial Crisis on the Stability and Predictability on Beta of the Malaysian Stock Exchange, 1992-2005 |
| title_full | The Effect of the 1997 Financial Crisis on the Stability and Predictability on Beta of the Malaysian Stock Exchange, 1992-2005 |
| title_fullStr | The Effect of the 1997 Financial Crisis on the Stability and Predictability on Beta of the Malaysian Stock Exchange, 1992-2005 |
| title_full_unstemmed | The Effect of the 1997 Financial Crisis on the Stability and Predictability on Beta of the Malaysian Stock Exchange, 1992-2005 |
| title_short | The Effect of the 1997 Financial Crisis on the Stability and Predictability on Beta of the Malaysian Stock Exchange, 1992-2005 |
| title_sort | effect of the 1997 financial crisis on the stability and predictability on beta of the malaysian stock exchange, 1992-2005 |
| topic | HJ Public Finance |
| url | http://eprints.intimal.edu.my/360/ http://eprints.intimal.edu.my/360/1/2006_5.pdf |