The Nature and Extent of Beta Instability In the Kuala Lumpur Stock Market

Abstract

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.