Risk Comparison of Karachi Stock Exchange with Next Eleven Countries: A Country Beta Approach

Abbas, A., Baig, S. A., Zia-ur-Rehman, M., & Abrar, M. (2014). Risk Comparison of Karachi Stock Exchange with Next Eleven Countries: A Country Beta Approach. International Journal of Accounting and Financial Reporting, 4(1), 202.

19 Pages Posted: 15 Jan 2020

See all articles by Aqeel Abbas

Aqeel Abbas

National Textile University - Faculty of Management Sciences

Dr. Muhammad Zia ur Rehman

National Textile University, Faisalabad; International Islamic University, Islamabad

Muhammad Abrar

National Textile University

Sajjad Baig

National Textile University

Date Written: May 31, 2014

Abstract

This study is based on the Country risk of different stock exchanges of the world. Here Country risk is derived from the Country Beta Approach, as this approach is described by the Erb, Harvey and Viskanta (1996). Specifically, this study is based on the risk comparison of KSE 100 with next eleven countries (South Korea, Iran, Mexico, Philippine, Indonesia, Turkey, Egypt, Nigeria, Pakistan, Vietnam and Bangladesh), which are defined by the Goldman Sachs (2005). For this purpose, the stock exchange's data of these countries is compared with the global index. Actually, the global index is consisted on the 44 countries of the world. Here only one factor is discussed, which is a country risk (country beta). Actually the riskiness is measured in this study on the basis of beta, higher the beta means higher the risk; lower the beta means low the risk. The result shows that the performance of KSE is much better than the next eleven economies but Nigerian stock exchange has less risk than the KSE 100.

Keywords: Country Beta Approach, KSE 100, Next Eleven Countries (Gold Man Sachs)

JEL Classification: B17

Suggested Citation

Abbas, Aqeel and Zia ur Rehman, Muhammad and Abrar, Muhammad and Baig, Sajjad, Risk Comparison of Karachi Stock Exchange with Next Eleven Countries: A Country Beta Approach (May 31, 2014). Abbas, A., Baig, S. A., Zia-ur-Rehman, M., & Abrar, M. (2014). Risk Comparison of Karachi Stock Exchange with Next Eleven Countries: A Country Beta Approach. International Journal of Accounting and Financial Reporting, 4(1), 202., Available at SSRN: https://ssrn.com/abstract=3509531

Aqeel Abbas

National Textile University - Faculty of Management Sciences ( email )

Pakistan

Muhammad Zia ur Rehman

National Textile University, Faisalabad ( email )

Sheikhupura Road, Faisalabad
Faisalabad, Punjab 38000
Pakistan

International Islamic University, Islamabad ( email )

Islamabad, 44000
Pakistan

Muhammad Abrar

National Textile University ( email )

National Textile University
Faisalabad, Punjab 38000
Pakistan

Sajjad Baig (Contact Author)

National Textile University ( email )

National Textile University
Faisalabad, Punjab 38000
Pakistan

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