Beta stationarity and estimation period: Evidence from Pakistan's equity market

Authors

Sana Tauseef, Institute of Business Administration, Karachi, Pakistan

Abstract

This study examines the stability of individual stock beta coefficients over time and its link with the length of estimation periods. Using data for 325 stocks from Pakistan for the period 1999 to 2012, I show that beta coefficients are not stable on average but become more stable as the estimation period increases. This suggests that longer estimation periods should be used for predicting future beta coefficients. JEL Classification: G12, G23

Keywords

Beta, stocks, Karachi Stock Exchange

DOI

https://doi.org/10.54784/1990-6587.1073

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

Recommended Citation

Tauseef, S. (2016). Beta stationarity and estimation period: Evidence from Pakistan's equity market. Business Review, 11(1), 1-9. Retrieved from https://doi.org/10.54784/1990-6587.1073