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Time-Varying Beta of Scandinavian Industries: The Crisis Experience

Kirdyaeva, Valeriya and Prysyazhnyuk, Yuliya (2010)
Department of Business Administration
Abstract
Given the influence of the crisis on worldwide financial markets, the aim of this work is to empirically study the effects of the current financial crisis on the time-varying beta of industries in the Scandinavian region. The paper will consider such countries as Norway, Denmark, Finland and Sweden. Gathering data for 14 Scandinavian industries during the 10 year period. Then, quantitative tools such as GARCH BEKK and OLS regression are applied to estimate the crisis influence on the time-varying beta. The theoretical framework involves limited research done in the area of time-variation of beta. Limited number of studies on crisis influence on beta is also consulted. Also, general background on crisis and industry cyclicality is provided... (More)
Given the influence of the crisis on worldwide financial markets, the aim of this work is to empirically study the effects of the current financial crisis on the time-varying beta of industries in the Scandinavian region. The paper will consider such countries as Norway, Denmark, Finland and Sweden. Gathering data for 14 Scandinavian industries during the 10 year period. Then, quantitative tools such as GARCH BEKK and OLS regression are applied to estimate the crisis influence on the time-varying beta. The theoretical framework involves limited research done in the area of time-variation of beta. Limited number of studies on crisis influence on beta is also consulted. Also, general background on crisis and industry cyclicality is provided for analysis. The mean beta results and significance of regression coefficients present an evidence of the crisis effect on beta. The mean beta has changed in most cases as well as the coefficients for variables with dummy have been significant in many cases (but relatively weak). The mean values for beta during crisis have increased, while there has been a decline two industries, such as Health care and IT. Evaluation of the crisis impact on the time-varying beta has valuable outcomes for financial actors and governments. Depending on the results, investors can change their investment policies and apply effective hedging tools. Also, the study can be used in financial operations of companies and governments which desire to have some control over the crisis effects and its consequences. (Less)
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author
Kirdyaeva, Valeriya and Prysyazhnyuk, Yuliya
supervisor
organization
year
type
H1 - Master's Degree (One Year)
subject
keywords
Time-varying beta, GARCH BEKK model, current financial crisis, volatility, Scandinavian industries, cyclical industries, Management of enterprises, Företagsledning, management
language
Swedish
id
2169637
date added to LUP
2010-06-07 00:00:00
date last changed
2012-04-02 18:18:44
@misc{2169637,
  abstract     = {Given the influence of the crisis on worldwide financial markets, the aim of this work is to empirically study the effects of the current financial crisis on the time-varying beta of industries in the Scandinavian region. The paper will consider such countries as Norway, Denmark, Finland and Sweden. Gathering data for 14 Scandinavian industries during the 10 year period. Then, quantitative tools such as GARCH BEKK and OLS regression are applied to estimate the crisis influence on the time-varying beta. The theoretical framework involves limited research done in the area of time-variation of beta. Limited number of studies on crisis influence on beta is also consulted. Also, general background on crisis and industry cyclicality is provided for analysis. The mean beta results and significance of regression coefficients present an evidence of the crisis effect on beta. The mean beta has changed in most cases as well as the coefficients for variables with dummy have been significant in many cases (but relatively weak). The mean values for beta during crisis have increased, while there has been a decline two industries, such as Health care and IT. Evaluation of the crisis impact on the time-varying beta has valuable outcomes for financial actors and governments. Depending on the results, investors can change their investment policies and apply effective hedging tools. Also, the study can be used in financial operations of companies and governments which desire to have some control over the crisis effects and its consequences.},
  author       = {Kirdyaeva, Valeriya and Prysyazhnyuk, Yuliya},
  keyword      = {Time-varying beta,GARCH BEKK model,current financial crisis,volatility,Scandinavian industries,cyclical industries,Management of enterprises,Företagsledning, management},
  language     = {swe},
  note         = {Student Paper},
  title        = {Time-Varying Beta of Scandinavian Industries: The Crisis Experience},
  year         = {2010},
}