Abell, J. D., & Krueger, T. M. (1989). Macroeconomic influences on beta. Journal
of Economics and Business, 41(2), 185-193.
Adhikari, N. (2015). Determinants of Systemic Risk for Companies Listed on
Nepal Stock Exchange. Global Journal of Management And Business Research, 15(5).
Aït-Sahalia, Y., & Jacod, J. (2009). Testing for jumps in a discretely observed
process. The Annals of Statistics, 184-222.
Aït-Sahalia, Y., & Jacod, J. (2012). Analyzing the spectrum of asset returns: Jump
and volatility components in high frequency data. Journal of Economic Literature,
50(4), 1007-1050.
Alexeev, V., Dungey, M., & Yao, W. (2017). Time-varying continuous and jump
betas: The role of firm characteristics and periods of stress. Journal of Empirical
Finance, 40, 1-19.
Amiri, A. A., & FadaeiNejad, M. E. (2017). Time-varying modelling of systematic
risk: using high-frequency characterization of Tehran stock exchange. Working Paper.
International Journal of Finance and Managerial Accounting.
Andersen, T. G., Bollerslev, T., & Diebold, F. X. (2007). Roughing it up: Including
jump components in the measurement, modeling, and forecasting of return volatility.
The Review of Economics and Statistics, 89(4), 701-720.
Andersen, T. G., Bollerslev, T., Diebold, F. X., & Wu, G. (2006). Realized beta:
Persistence and predictability Econometric Analysis of Financial and Economic Time
Series (pp. 1-39): Emerald Group Publishing Limited.
Andersen, T. G., Bollerslev, T., Diebold, F. X., & Wu, J. G. (2005). A framework
for exploring the macroeconomic determinants of systematic risk. Retrieved from
Aruna, D. C., & Warokka, A. (2013). Systematic risk and accounting determinants:
a new perspective from an emerging market. Journal for Global Business
Advancement, 6(1), 24-37.
Barndorff-Nielsen, O. E., & Shephard, N. (2006). Econometrics of testing for
jumps in financial economics using bipower variation. Journal of financial
Econometrics, 4(1), 1-30.
Barndorff‐Nielsen, O. E., & Shephard, N. (2004). Econometric analysis of realized
covariation: High frequency based covariance, regression, and correlation in financial
economics. Econometrica, 72(3), 885-925.
Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities.
Journal of political Economy, 81(3), 637-654.
Bollerslev, T., Law, T. H., & Tauchen, G. (2008). Risk, jumps, and diversification.
Journal of Econometrics, 144(1), 234-256.
78 Iranian Journal of Finance
Callahan, C. M., & Mohr, R. M. (1989). The Determinants of Systematic Risk: A
Synthesis. Financial Review, 24(2), 157-181.
Chiarella, C., Dieci, R., & He, X.-Z. (2013). Time-varying beta: a boundedly
rational equilibrium approach. Journal of Evolutionary Economics, 23(3), 609-639.
di Biase, P., & Elisabetta, D. A. (2012). The determinants of systematic risk in the
Italian banking system: A cross-sectional time series analysis. International Journal of
Economics and Finance, 4(11), 152.
Dungey, M., McKenzie, M., & Smith, L. V. (2009). Empirical evidence on jumps
in the term structure of the US Treasury market. Journal of Empirical Finance, 16(3),
430-445.
Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns.
The Journal of Finance, 47(2), 427-465.
Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical
tests. Journal of political Economy, 81(3), 607-636.
Hanousek, J., & Novotný, J. (2012). Price jumps in Visegrad-country stock
markets: An empirical analysis. Emerging Markets Review, 13(2), 184-201.
Henkel, S. J., Martin, J. S., & Nardari, F. (2011). Time-varying short-horizon
predictability. Journal of financial economics, 99(3), 560-580.
Houmes, R. E., MacArthur, J. B., & Stranahan, H. (2012). The operating leverage
impact on systematic risk within a context of choice: an analysis of the US trucking
industry. Managerial Finance, 38(12), 1184-1202.
Huang, X., & Tauchen, G. (2005). The relative contribution of jumps to total price
variance. Journal of financial Econometrics, 3(4), 456-499.
Iqbal, M. J., & Shah, S. Z. A. (2012). Determinants of systematic risk. The Journal
of Commerce, 4(1), 47-56.
Kumar, V., Aleemi, A. R., & Ali, A. (2015). The Determinants of Systematic Risk:
Empirical Evidence From Pakistan's Banking Sector. Global Management Journal for
Academic & Corporate Studies, 5(1), 146.
Lee, S. S., & Mykland, P. A. (2008). Jumps in financial markets: A new
nonparametric test and jump dynamics. Review of Financial Studies, 21(6), 2535-
2563.
Liao, Y., Anderson, H. M., & Vahid, F. (2010). Do Jumps Matter?: Forecasting
Multivariate Realized Volatility Allowing for Common Jumps: Australian National
University,[College of Business & Economics].
Lintner, J. (1965). The Valuation of Risk Assets and the Selection of Risky
Investments in Stock Portfolios and Capital Budgets. The Review of Economics and
Statistics, 47(1), 13-37.
Determinants of systematic risk in the Iranian Financial sector 79
Mancini, C. (2009). Non‐parametric Threshold Estimation for Models with
Stochastic Diffusion Coefficient and Jumps. Scandinavian Journal of Statistics, 36(2),
270-296.
Merton, R. C. (1976). Option pricing when underlying stock returns are
discontinuous. Journal of financial economics, 3(1-2), 125-144.
Nawaz, R., Ahmed, W., Imran, S. S., Arshad, M., Rani, T., & Khan, A. (2017).
Financial Variables and Systematic Risk. Chinese Business Review, 16(1), 36-46.
Noureldin, D., Shephard, N., & Sheppard, K. (2012). Multivariate high‐frequency‐
based volatility (HEAVY) models. Journal of Applied Econometrics, 27(6), 907-933.
Patton, A. J., & Verardo, M. (2012). Does beta move with news? Firm-specific
information flows and learning about profitability. Review of Financial Studies, 25(9),
2789-2839.
Reeves, J. J., & Wu, H. (2013). Constant versus Time‐Varying Beta Models:
Further Forecast Evaluation. Journal of Forecasting, 32(3), 256-266.
Sadorsky, P. (2012). Modeling renewable energy company risk. Energy Policy, 40,
39-48.
Sayed, M., Dungey, M., & Yao, W. (2015). High frequency characterization of
Indian banking stocks.
Shan, W. C., & Alles, L. (2000). The Sensitivity of Australian Industry Betas to
Macroeconomic Factors.
Sharpe, W. F. (1964). CAPITAL ASSET PRICES: A THEORY OF MARKET
EQUILIBRIUM UNDER CONDITIONS OF RISK*. The Journal of Finance, 19(3),
425-442.
Todorov, V., & Bollerslev, T. (2010). Jumps and betas: A new framework for
disentangling and estimating systematic risks. 157(2), 220-235.
Zhou, H., & Zhu, J. Q. (2012). An empirical examination of jump risk in asset
pricing and volatility forecasting in China's equity and bond markets. Pacific-Basin
Finance Journal, 20(5), 857-880.
)
