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Forward-Looking Beta Estimates:Evidence from an Emerging Market

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Onour, Ibrahim

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Abstract

Results in this paper support evidence of time-varying beta coefficients for five sectors in Kuwait Stock Market. The paper indicates banks, food, and service sectors exhibit relatively wider range of variation compared to industry and real estate sectors. Results of time-varying betas invalidate the standard application of Capital Asset Pricing model that assumes constant beta. In terms of risk exposure, banks and industrial sectors reflect higher risk as their average betas exceed the market beta, which is a unit.

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File URL: http://mpra.ub.uni-muenchen.de/14992/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 14992.

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Date of creation: 10 Feb 2008
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Handle: RePEc:pra:mprapa:14992

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Related research
Keywords: CAPM; GARCH ; Volatility; Asymmetry;

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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  1. Andrew J. Patton, 2004. "On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 130-168. [Downloadable!] (restricted)
  2. Rabemananjara, R & Zakoian, J M, 1993. "Threshold Arch Models and Asymmetries in Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(1), pages 31-49, Jan.-Marc. [Downloadable!] (restricted)
  3. Robert W. Faff & David Hillier & Joseph Hillier, 2000. "Time Varying Beta Risk: An Analysis of Alternative Modelling Techniques," Journal of Business Finance & Accounting, Blackwell Publishing, vol. 27(5&6), pages 523-554. [Downloadable!] (restricted)
  4. McKenzie, Michael D. & Brooks, Robert D. & Faff, Robert W. & Ho, Yew Kee, 2000. "Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(1), pages 85-106. [Downloadable!] (restricted)
  5. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
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  6. Brooks, Robert D. & Faff, Robert W. & Ariff, Mohamed, 1998. "An investigation into the extent of beta instability in the Singapore stock market," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 87-101, May. [Downloadable!] (restricted)
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This page was last updated on 2009-11-29.

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