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Testing for asymmetry in betas of cumulative returns: Impact of the financial crisis and crude oil price

Author

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  • Kokoszka Piotr

    (Department of Statistics, Colorado State University, Fort Collins, USA)

  • Miao Hong

    (Department of Finance and Real Estate, Colorado State University, Fort Collins, USA)

  • Zheng Ben

    (Department of Statistics, Colorado State University, Fort Collins, USA)

Abstract

We introduce a functional factor model to investigate the dependence of cumulative return curves of individual assets on the market and other factors. We propose a new statistical test to determine whether the dependence in two sample periods are equal. The statistical properties of the test are established by asymptotic theory and simulations. We apply this test to study the impact of the recent financial crisis and trends in oil price on individual stock and sector ETFs. Our analysis reveals the significance of the daily oil futures curves and their different impact on individual stocks and sector ETFs. It also shows that the functional approach has an information content different from that obtained from scalar factor models for point-to-point returns.

Suggested Citation

  • Kokoszka Piotr & Miao Hong & Zheng Ben, 2017. "Testing for asymmetry in betas of cumulative returns: Impact of the financial crisis and crude oil price," Statistics & Risk Modeling, De Gruyter, vol. 34(1-2), pages 33-53, June.
    • Handle: RePEc:bpj:strimo:v:34:y:2017:i:1-2:p:33-53:n:5
    DOI: 10.1515/strm-2016-0010
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    References listed on IDEAS

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    Cited by:

    1. Kokoszka Piotr & Miao Hong & Stoev Stilian & Zheng Ben, 2019. "Risk Analysis of Cumulative Intraday Return Curves," Journal of Time Series Econometrics, De Gruyter, vol. 11(2), pages 1-31, July.

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