Factors Effecting Systematic Risk in Isolation vs. Pooled Estimation: Empirical Evidence from Banking, Insurance, and Non-Financial Sectors of Pakistan

2016 ◽  
Author(s):  
Muhammad Sharif ◽  
Kashif Hamid ◽  
Muhammad Usman Khurram ◽  
Muhammad Zulfiqar
Keyword(s):  
Empirical Evidence ◽  
Systematic Risk

scholarly journals Does Equity Derivatives Trading Affect the Systematic Risk of the Underlying Stocks in an Emerging Market: Evidence from Pakistan’s Futures Market

2013 ◽  
Vol 18 (1) ◽  
pp. 63-80 ◽  
Author(s):  
Safi Ullah Khan ◽  
Zaheer Abbas
Keyword(s):  
Empirical Evidence ◽  
Emerging Market ◽  
Systematic Risk ◽  
Estimation Procedure ◽  
Futures Market ◽  
Control Group ◽  
Index Futures ◽  
Market Effects ◽  
Underlying Stocks ◽  
Single Stock Futures

This paper examines the behavior of beta coefficients (systematic risk) for underlying stocks around the introduction of single-stock futures (SSFs) contracts in the Pakistani market, by employing models that account for nonsynchronous and thin trading and varying market conditions as “bull” and “bear” markets. Unlike the results of earlier studies on US markets, the empirical evidence tends to support a decline in systematic risk for the majority of underlying stocks in the post-futures listings period. Nevertheless, similar to SSFs stocks, we also find empirical evidence of a decrease in systematic risk for many of the control group stocks. This indicates that changes in beta estimates for SSFs-listed stocks might not be induced by the introduction of SSFs contract trading, but could be attributed to other market-wide or industry changes that have affected the overall market. Several plausible reasons, such as lack of program trading activities normally associated with index futures, market microstructure differences between developed markets and a developing market such as Pakistan, and the capturing of the “bear” and “bull” market effects on stock betas in our estimation procedure could explain these different results for Pakistan’s market.

scholarly journals Support for the SME Supporting Factor: Multi-Country Empirical Evidence on Systematic Risk Factor for SME Loans

2016 ◽  
Author(s):  
Michel Dietsch ◽  
Klaus Düllmann ◽  
Henri Fraisse ◽  
Philipp Koziol ◽  
Christine Ott
Keyword(s):  
Risk Factor ◽  
Empirical Evidence ◽  
Systematic Risk

scholarly journals Explaining shifts in systematic risk after merger: Some empirical evidence

1988 ◽  
Vol 19 (4) ◽  
pp. 141-146
Author(s):  
G. D.I. Barr ◽  
R. C. Van den Honert
Keyword(s):  
Empirical Evidence ◽  
Capital Market ◽  
Nonlinear Effect ◽  
Systematic Risk ◽  
The Other ◽  
Market Theory ◽  
Acquiring Firms ◽  
The One ◽  
Capital Market Theory

In this paper we discuss the change in the beta of an acquiring firm after merger, and examine the unexplained difference between the beta predicted by capital market theory and the beta actually calculated. The analysis is done within two different frameworks, equity beta on the one hand and asset beta (which removes leverage effects from equity beta) on the other. It is found that by using an asset beta approach proportionately more of the beta shifts can be explained by characteristics of the target and acquiring firms than when using the equity beta approach. It is hypothesized that the asset beta approach, which removes the confounding nonlinear effect of debt, constitutes a superior framework to examine shifts in beta.In hierdie artikel bespreek ons die verandering in die sistematiese risiko (beta) van 'n oornemende maatskappy na samesmelting en ons ondersoek die onverklaarde verskil tussen die beta wat deur kapitaalmarkteorie voorspel word en die beta wat werklik bereken word. Die analise word aan die hand van twee verskillende raamwerke gedoen: enersyds volgens aandeelbetas en andersyds volgens batebetas (wat die effek van skuld van die aandeelbeta verwyder). Daar is bevind dat as die batebenadering gebruik word, word eweredig meer van die betaverandering deur die eienskappe van die oorgenome en oornemende maatskappye verduidelik as wanneer die aandeelbetabenadering gebruik word. Daar word veronderstel dat die batebenadering, wat die verwarrende nie-linecre effek van skuld verwyder, 'n meer voortreflike raamwerk is om die veranderings in beta te ondersoek.

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