The long memory of time‐varying beta: examination of three emerging Asian stock markets

Reviews previous research on the nature of beta and investigates the stochastic structure of time‐varying beta in Hong Kong, Malaysia and Singapore using the bi‐variate GARCH‐in‐mean model and fractional tests. Develops mathematical models and applies them to 1989‐1998 daily data from all three stock markets. Presents the results, which suggest, in contrast to other findings, that all three time‐varying betas are slowly mean‐reverting (long memory).