印度工业的时变货币贝塔动态：一种马尔可夫转换方法

IF 1.7 Q3 MANAGEMENT

IIMB Management Review Pub Date : 2023-03-01 DOI:10.1016/j.iimb.2023.04.004

Soumya Saha , Gagari Chakrabarti , Sankarshan Basu

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引用次数: 0

摘要

我们研究了印度各行业随时间变化的货币贝塔的动态。通过马尔可夫制度转换模型，我们试图检查货币贝塔是否也依赖于制度，类似于其他金融变量。研究发现，不同行业的货币贝塔系数在符号和大小上存在差异。在不同的危机时期，不同行业的货币贝塔值表现出不同的波动性。结果还显示了强有力的证据表明货币beta的制度转换行为。对于那些希望在印度等新兴经济体的正常和动荡的市场情况下对冲和分散货币贝塔的对冲者和投资组合经理来说，这一发现很重要。

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Dynamics of time-varying currency beta on Indian industries: A Markov switching approach

We examine the dynamics of time-varying currency beta across Indian industries. Through the Markov regime switching model we try to check whether currency beta is also regime-dependent, similar to other financial variables. The paper finds that currency betas are different in sign and magnitude for different industries. During different crisis periods, the nature of currency beta revealed different volatility for different industries. Results also exhibit strong evidence of regime switch behaviour of currency beta. The findings are important to hedgers and portfolio managers who want to hedge and diversify currency beta during normal and turbulent market situations in an emerging economy like India.

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来源期刊

IIMB Management Review MANAGEMENT-

CiteScore

3.20

自引率

5.90%

发文量

审稿时长

68 days

期刊介绍： IIMB Management Review (IMR) is a quarterly journal brought out by the Indian Institute of Management Bangalore. Addressed to management practitioners, researchers and academics, IMR aims to engage rigorously with practices, concepts and ideas in the field of management, with an emphasis on providing managerial insights, in a reader friendly format. To this end IMR invites manuscripts that provide novel managerial insights in any of the core business functions. The manuscript should be rigorous, that is, the findings should be supported by either empirical data or a well-justified theoretical model, and well written. While these two requirements are necessary for acceptance, they do not guarantee acceptance. The sole criterion for publication is contribution to the extant management literature.Although all manuscripts are welcome, our special emphasis is on papers that focus on emerging economies throughout the world. Such papers may either improve our understanding of markets in such economies through novel analyses or build models by taking into account the special characteristics of such economies to provide guidance to managers.