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Exploring time variation of stock betas in Pakistan

Iqbal, Abdullah, Kanwer, Aneel (2007) Exploring time variation of stock betas in Pakistan. In: 9th ISINI Conference, 22-26 Aug 2007, Bacau, Romania. (Unpublished) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)

Abstract

This paper provides an assessment on the systematic risk in the equity capital markets of Pakistan. We investigate the possibility of time varying betas in Pakistan using three estimation techniques: (a) a Constant Conditional Correlation GARCH Approach, (b) a Dynamic Conditional Correlation GARCH Approach, and (c) a Principal Component Analysis approach. A sample of returns on the top 38 firms listed at the Karachi Stock Exchange (KSE) over the period 1998-2005 is used as a platform to evaluate the performance of these three approaches. An in-sample forecast evaluation of various approaches is employed which shows the superiority of the GARCH approach.

Item Type: Conference or workshop item (Paper)
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Abdullah Iqbal
Date Deposited: 28 Nov 2017 09:58 UTC
Last Modified: 29 May 2019 19:55 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/64802 (The current URI for this page, for reference purposes)
Iqbal, Abdullah: https://orcid.org/0000-0002-3013-1007
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