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