The Nature and Extent of Beta Instability In the Kuala Lumpur Stock Market
DOI:
https://doi.org/10.66674/x88cv680Abstract
In this study we investigate the stability of individual stock betas in the Kuala Lumpur stock market over the period 1986 to 1993. However, this sample straddles a change of listing between the Singapore and Kuala Lumpur markets which occurred at the beginning of 1990. Accordingly, we examine the four year sub-periods either ide of the change of listing. A comparison of our results across these different subperiods indicates an incidence of beta instability for individual stocks at about 20 per cent or less. Hence, a the general level this analysis suggests an bsence of a change of listing effect on beta stability. This is broadly consistent with the results obtained by Brooks, Faff and Aff (1996) in their sud of the Singaporean stock market. However for higher tisk Malaysian stocks there is a tendency for these stocks to have increased beta instability post 1990.
Downloads
Downloads
Published
Issue
Section
License
Copyright (c) 1996 Robert D. Brooks, Robert W. Faff, Mohamed Ariff (Author)
This work is licensed under a Creative Commons Attribution 4.0 International License.
Authors retain copyright and grant Capital Markets Review the right of first publication. Articles are published under the Creative Commons Attribution 4.0 International (CC BY 4.0) licence: https://creativecommons.org/licenses/by/4.0/. This licence permits sharing and adaptation for any purpose, including commercial use, provided appropriate credit is given, a link to the licence is supplied and any changes are indicated. Third-party material excluded from the article's licence must be clearly identified, and authors are responsible for obtaining any required permission.
