Leon, Hyginus; Nicholls, Shelton; Sergeant, Kelvin - In: Applied Financial Economics 10 (2000) 2, pp. 207-220
This paper estimates the responsiveness of sectoral subindex returns to changes in the domestic market portfolio, and compares predictions of nonsystematic risk using GARCH and EGARCH specifications of the error variance. Our results show that returns for the portfolios of Commercial Banks and...