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)
|
PDF
Pre-print
Language: English |
|
|
Download (562kB)
Preview
|
Preview |
|
This file may not be suitable for users of assistive technology.
Request an accessible format
|
|
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) |
| Iqbal, Abdullah: |  https://orcid.org/0000-0002-3013-1007 |
- Link to SensusAccess
- Export to:
- RefWorks
- EPrints3 XML
- BibTeX
- CSV
- Depositors only (login required):
Download Statistics
Download Statistics
