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Time-varying betas in an emerging stock market: The case of Brazil
Journal article   Peer reviewed

Time-varying betas in an emerging stock market: The case of Brazil

Terrance Grieb and Mario Reyes
American business review, Vol.19(1), pp.118-124
01/01/2001

Abstract

Econometrics Estimates International finance Large cap investments Rates of return Securities markets Small cap investments Statistical analysis Stock exchanges Stock prices Studies Volatility
In this study, the single factor model of Schwert and Seguin (1990) is applied to a sample of Brazilian investables, that is, Brazilian stocks that are classified as partly or totally investable by foreign investors. The results indicate that the systematic risk of Brazilian investable stocks tends to increase as aggregate market volatility increases.

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