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

Aqeel Abbas, Sajjad Ahmad Baig, Muhammad Zia-ur-Rehman, Muhammad Abrar

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.


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DOI: http://dx.doi.org/10.5296/ijafr.v4i1.5716

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