Journal of Risk

Time-varying beta and the global financial crisis: evidence from Chinese and Indian firms

Jihed Majdoub, Ines Ben Bouhouch and Salim Ben Sassi

This paper empirically investigates the effects of the global financial crisis of 2008 on the time-varying beta of twenty firms from China and India. Morgan Stanley Capital International (MSCI) index daily data and the stock price returns of firms from 2005 to 2013 are selected to make a subsample period. Our analysis is carried out on the equity market integration between local and international MSCI stock indexes and firms for each market of our selected countries. The results show that Indian stock markets do not exhibit the same dynamic correlation relationship as Chinese stock markets in local and world betas. From the perspective of portfolio diversification, this constitutes a reason for investors to diversify their portfolios at the international level in order to minimize risk.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here