IDEAS home Printed from https://ideas.repec.org/a/eme/jrfpps/15265941111136941.html
   My bibliography  Save this article

Beta risk estimation of companies listed on the Ghana stock exchange

Author

Listed:
  • Gordon Newlove Asamoah
  • Anthony Quartey‐Papafio

Abstract

Purpose - The purpose of this paper is to estimate the Beta Risk Coefficient of 32 listed companies (shares), which are included in the Ghana Stock Exchange (GSE All Share Index). Design/methodology/approach - This research investigated some of the issues that can affect beta estimates (the measurement of returns, the choice of market index used, the length of estimation period, the sampling interval, the issue of normality, autocorrelation, the effect of thin trading, seasonality and stability) by using 32 listed companies. The methodology used was the Market model and some of the beta estimation techniques used included Scholes‐Williams' beta, Dimson's beta, and Fowler‐Rorke's beta. Findings - The empirical results generally confirm the evidence by various researchers in the literature reviewed. However, the tests for the effect of thin trading and the effect of seasonality reject the null hypothesis (Ho: βMonday=βTuesday=βWednesday=βThursday=βFriday). Originality/value - The study has about 95 per cent originality since the authors went into the field to gather all the data needed and did all the analysis.

Suggested Citation

  • Gordon Newlove Asamoah & Anthony Quartey‐Papafio, 2011. "Beta risk estimation of companies listed on the Ghana stock exchange," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 12(3), pages 195-207, May.
    • Handle: RePEc:eme:jrfpps:15265941111136941
    DOI: 10.1108/15265941111136941
    as

    Download full text from publisher

    File URL: https://www.emerald.com/insight/content/doi/10.1108/15265941111136941/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://www.emerald.com/insight/content/doi/10.1108/15265941111136941/full/pdf?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1108/15265941111136941?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:jrfpps:15265941111136941. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.