Front Matter Page
Asia and Pacific Department
Contents
I. Introduction
II. Model and Estimation Framework
A. Approach I: Focusing on Cross-Sectional Variation
B. Approach II: A Deeper Investigation of Time Series Fluctuations
III. Results
IV. Conclusion
References
Figures
1. Equity Returns: Selected Systemic Economies and Asia
2. Asian Financial Betas and Global Financial Shocks
3. Financial Betas across Asian Economies
4. Contributions to Differences in Betas between 2008–2011 and 2002–2007
5. Contributions to Differences in Betas between 1997–2001 and 2002–2007
6. The Decomposition of Financial Betas across Asia over Time
Tables
1. Pure and CAPM
2. Non-Zero Expected Risk Premium
3. Heterogeneous Expected Premium (Fixed Effects)
4. Determinants of Asian Financial Betas
5. Nonlinear Effects of Reserves
Appendix Table: Estimated Factor Loadings (Betas) Over the Full Sample