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Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan

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  • Naqi Shah, Sadia
  • Qayyum, Abdul

Abstract

This study analyse risk return relationship of the electricity companies of Pakistan by using the log return series of these electricity companies. Financial time series data have the property of autoregressive heteroscedasticity so move towards the GARCH family test. As the study want to analyse the risk return relationship so, GARCH-M Model of Engel et al (1987) is used, who empirically found relationship between risk and return. Results show that risk return in case of Pakistan electricity companies is not a specific relation (negative or positive) rather they show paradox of risk return.

Suggested Citation

  • Naqi Shah, Sadia & Qayyum, Abdul, 2016. "Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan," MPRA Paper 68783, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:68783
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    More about this item

    Keywords

    GARCH test; Risk return relation; Paradox; GARCH-M; Pakistan;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G1 - Financial Economics - - General Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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