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Forward-Looking Beta Estimates:Evidence from an Emerging Market

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  • Onour, Ibrahim

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.

Suggested Citation

  • Onour, Ibrahim, 2008. "Forward-Looking Beta Estimates:Evidence from an Emerging Market," MPRA Paper 14992, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:14992
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    File URL: https://mpra.ub.uni-muenchen.de/14992/1/MPRA_paper_14992.pdf
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    References listed on IDEAS

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    Cited by:

    1. Onour , Ibrahim A., 2021. "Modeling and assessing systematic risk in stock markets in major oil exporting countries," Economic Consultant, Roman I. Ostapenko, vol. 35(3), pages 18-29.

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    More about this item

    Keywords

    CAPM; GARCH ; Volatility; Asymmetry;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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