Choudhry, Taufiq; Lu, Lin; Peng, Ke - In: Japan and the World Economy 22 (2010) 4, pp. 228-234
This paper empirically investigates the effects of the Asian financial crisis of 1997-98, and the period immediately afterwards, on the time-varying beta of four industrial sectors (chemical, finance, retail and industry) of Indonesia, Singapore, South Korea, and Taiwan. We apply daily data from...