{"title":"Income elasticity of demand and stock market beta","authors":"Madhusmita Bhadra, Doyeon Kim","doi":"10.1111/infi.12432","DOIUrl":null,"url":null,"abstract":"<p>Systematic risk, or beta, measures stock price variability in the overall stock market. A considerable body of literature focuses on estimating beta. To the best of our knowledge, there is, however, a lack of definitive research on the impact of income elasticity of demand on stock market beta. This study is the first to examine this relationship using 659 publicly traded firms from 47 industries in South Korea from 2001 to 2020. To estimate the value of the stock market beta, we employ an econometric model with a fixed effects-two stage least squares approach and use industry concentration as an instrumental variable to deal with the endogeneity problem in the estimation. The overall objective of this study is to investigate the influence of income elasticity of demand on stock market beta.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":null,"pages":null},"PeriodicalIF":1.3000,"publicationDate":"2023-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Finance","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/infi.12432","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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Abstract
Systematic risk, or beta, measures stock price variability in the overall stock market. A considerable body of literature focuses on estimating beta. To the best of our knowledge, there is, however, a lack of definitive research on the impact of income elasticity of demand on stock market beta. This study is the first to examine this relationship using 659 publicly traded firms from 47 industries in South Korea from 2001 to 2020. To estimate the value of the stock market beta, we employ an econometric model with a fixed effects-two stage least squares approach and use industry concentration as an instrumental variable to deal with the endogeneity problem in the estimation. The overall objective of this study is to investigate the influence of income elasticity of demand on stock market beta.
期刊介绍：
International Finance is a highly selective ISI-accredited journal featuring literate and policy-relevant analysis in macroeconomics and finance. Specific areas of focus include: · Exchange rates · Monetary policy · Political economy · Financial markets · Corporate finance The journal''s readership extends well beyond academia into national treasuries and corporate treasuries, central banks and investment banks, and major international organizations. International Finance publishes lucid, policy-relevant writing in macroeconomics and finance backed by rigorous theory and empirical analysis. In addition to the core double-refereed articles, the journal publishes non-refereed themed book reviews by invited authors and commentary pieces by major policy figures. The editor delivers the vast majority of first-round decisions within three months.
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