Event Title

The Industrial Relationship in Time-Varying Beta Coefficients in US Industries

Location

CSU 202

Start Date

16-4-2013 2:20 PM

End Date

16-4-2013 3:20 PM

Student's Major

Economics

Student's College

Social and Behavioral Sciences

Mentor's Name

Kwang-Woo (Ken) Park

Mentor's Department

Economics

Mentor's College

Social and Behavioral Sciences

Description

This paper examines financial linkage of systematic risks for fourthy-night US industry portfolio returns to the US general economy. Time-varying beta coefficients of Capital Asset Pricing Model (CAPM) are estimated and Granger-causality tests are carried out for identifying the significance of the industrial lead and lags to the general economic cycles measured by US industrial production index. The empirical finding shows that the strength and the causality of international financial linkage vary depending on the types of industry and the shocks in the systematic risk. Some US industries including financing industries, iron and metal industries, service, textile, real estate, shipbuilding and railroad equipment, construction materials and wearing industries are relatively vulnerable to the US general market cycles.

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Apr 16th, 2:20 PM Apr 16th, 3:20 PM

The Industrial Relationship in Time-Varying Beta Coefficients in US Industries

CSU 202

This paper examines financial linkage of systematic risks for fourthy-night US industry portfolio returns to the US general economy. Time-varying beta coefficients of Capital Asset Pricing Model (CAPM) are estimated and Granger-causality tests are carried out for identifying the significance of the industrial lead and lags to the general economic cycles measured by US industrial production index. The empirical finding shows that the strength and the causality of international financial linkage vary depending on the types of industry and the shocks in the systematic risk. Some US industries including financing industries, iron and metal industries, service, textile, real estate, shipbuilding and railroad equipment, construction materials and wearing industries are relatively vulnerable to the US general market cycles.

Recommended Citation

Jung, Jongha. "The Industrial Relationship in Time-Varying Beta Coefficients in US Industries." Undergraduate Research Symposium, Mankato, MN, April 16, 2013.
http://cornerstone.lib.mnsu.edu/urs/2013/oral-session-13/2