Panel A: Regression Results for Asian Countries in the pre-crisis period | |||||
Risk Measures | α | β | Tα | Tβ | adj R2 |
STANDARD DEVIATION | 0.011214 | −0.18674 | 3.754142 | −8.588952 | 0.620462 |
SEMI DEVIATION | 0.014318 | −0.37306 | 2.177309 | −3.792264 | 0.52203 |
BETA | 0.003527 | −0.01042 | 0.387055 | −1.796976 | 0.326228 |
DOWNSIDE BETA | −0.00942 | −0.00176 | −1.39034 | −0.577129 | 0.005239 |
Panel B: Regression Results for Asian Countries in the post-crisis period | |||||
Risk Measures | α | β | Tα | Tβ | adj R2 |
STANDARD DEVIATION | −0.01459 | 0.211873 | −2.97844 | 4.544677 | 0.445835 |
SEMI DEVIATION | −0.00832 | 0.305856 | −1.30098 | 2.926435 | 0.253045 |
BETA | 0.012623 | −0.00544 | 2.085807 | −0.862092 | 0.070011 |
DOWNSIDE BETA | 0.009109 | −0.00185 | 1.733238 | −0.335391 | 0.009437 |
Panel C: Regression Results for All Countries in the pre-crisis period | |||||
Risk Measures | α | β | Tα | Tβ | adj R2 |
STANDARD DEVIATION | 0.019909 | −0.19077 | 4.118235 | −3.514938 | 0.268187 |
SEMI DEVIATION | 0.019858 | −0.29658 | 2.816259 | −2.401454 | 0.20349 |
BETA | 0.012685 | −0.00862 | 1.712115 | −1.357332 | 0.089825 |
DOWNSIDE BETA | −0.00554 | 0.005533 | −0.67448 | 1.16733 | 0.050227 |
Panel D: Regression Results for All Countries in the post-crisis period | |||||
Risk Measures | α | β | Tα | Tβ | adj R2 |
STANDARD DEVIATION | −0.01065 | 0.147381 | −4.79393 | 5.688466 | 0.347052 |
SEMI DEVIATION | −0.00973 | 0.24624 | −4.24449 | 6.113023 | 0.230518 |
BETA | 0.001137 | 0.006395 | 0.88681 | 3.111262 | 0.142147 |
DOWNSIDE BETA | 0.001007 | 0.002079 | 0.285007 | 0.64411 | 0.021579 |