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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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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: (The current URI for this page, for reference purposes)
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