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.
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.
https://cornerstone.lib.mnsu.edu/urs/2013/oral-session-13/2
