Exploring Time Variation of Stock Betas in Pakistan

Kanwer, Aneel and Iqbal, Abdullah (2008) Exploring Time Variation of Stock Betas in Pakistan. In: Issues in Global Business and Management Research: Proceedings of the 2008 International Online Conference on Business and Management (IOCBM 2008). Universal Publishers, Boca Raton, Florida, USA, pp. 49-71. ISBN 978-1-59942-944-1. (KAR id:64803)

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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:	Book section
Uncontrolled keywords:	time varying beta; mutli-variate GARCH; conditional correlation; Pakistan
Subjects:	H Social Sciences > HG Finance
Divisions:	Divisions > Kent Business School - Division > Department of Accounting and Finance
Depositing User:	Abdullah Iqbal
Date Deposited:	28 Nov 2017 10:17 UTC
Last Modified:	16 Nov 2021 10:24 UTC
Resource URI:	https://kar.kent.ac.uk/id/eprint/64803 (The current URI for this page, for reference purposes)

University of Kent Author Information

Iqbal, Abdullah.

Creator's ORCID:	https://orcid.org/0000-0002-3013-1007
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