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)