Open AccessTime-Varying Beta And The Subprime Financial Crisis: Evidence From U.S. Industrial Sectors
Author(s) -
Habib Hasnaoui,
Ibrahim Fatnassi
Publication year - 2014
Publication title -
journal of applied business research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.149
H-Index - 22
eISSN - 2157-8834
pISSN - 0892-7626
DOI - 10.19030/jabr.v30i5.8799
Subject(s) - subprime crisis , capital asset pricing model , financial crisis , beta (programming language) , bivariate analysis , portfolio , economics , autoregressive conditional heteroskedasticity , financial sector , monetary economics , secondary sector of the economy , financial economics , business , financial system , finance , macroeconomics , economy , volatility (finance) , statistics , mathematics , computer science , programming language
In the current study, we investigate the effect of the subprime financial crisis on the time-varying beta of 10 U.S. industrial sectors. We use daily data, during the period 2002 through 2014, and the bivariate BEKK-GARCH model to the conditional capital asset pricing model (CAPM) to create the time-varying betas for the 10 sectors. After controlling for local and global volatilities, the data enable us to confirm the different magnitudes of influence of the subprime crisis on the 10 industrial sectors. The results are important for investors and portfolio managers, and may have policy implications.