This study examines the time-varying nature of industry betas in India and the United States to explore whether their observed behaviours are independent of the extent of development of the financial market. Such betas relate to the movements, particularly volatility and stresses, in the relevant markets. During 1999–2017, we found significant transmission of volatility from the domestic market to the time-varying betas in both countries. The emerging market betas are further found to increase under the domestic market stress. The developed market betas, however, were able to avoid market stresses or fall under stresses, thereby reducing the investment risk.

本研究考察了印度和美国行业贝塔系数随时间变化的性质，以探讨其观察到的行为是否与金融市场的发展程度无关。此类贝塔系数与相关市场的变动，尤其是波动性和压力有关。在 1999 年至 2017 年期间，我们发现波动性从国内市场显着转移到两国随时间变化的贝塔系数。在国内市场压力下，新兴市场贝塔系数进一步增加。而发达市场贝塔则能够规避市场压力或陷入压力，从而降低投资风险。