The Components Of Systematic Risk And Their Determinants In The Malaysian Equity Market

Hooy , Chee Wooi and D. Brooks, Robert (2015) The Components Of Systematic Risk And Their Determinants In The Malaysian Equity Market. Asian Academy of Management Journal of Accounting and Finance, 11 (2). pp. 1-26. ISSN 1823-4992

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Abstract

We examine the country components of world systematic risk in the context of Bursa Malaysia. World systematic risk is divided into the US, developed markets, regional markets, major trading partners, and the rest of the world. We tested market and 9 firmcharacteristic-sorted portfolios, based on size, value and liquidity. Using monthly data for the 1988–2010 period, our analyses show that the US and regional factors are the most important sources of systematic risk. Tracing the time-varying betas of the US and regional factors, we find that they are driven by economic risk and financial risk, respectively

Item Type:	Article
Subjects:	H Social Sciences > HD Industries. Land use. Labor > HD28-70 Management. Industrial Management
Divisions:	Penerbit Universiti Sains Malaysia (USM Press) > Asian Academy of Management Journal of Accounting and Finance
Depositing User:	Mr Firdaus Mohamad
Date Deposited:	11 Apr 2018 04:49
Last Modified:	11 Apr 2018 04:49
URI:	http://eprints.usm.my/id/eprint/40038

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