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Multiscale Systematic Risk: Empirical Evidence from Pakistan

Author

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  • Syed Jawad Hussain Shahzad

    (COMSATS Institute of Information Technology, Islamabad Pakistan. and University of Malaysia Terengganu, Malaysia.)

Abstract

Purpose: This study utilizes the wavelet approach namely Maximal Overlap Discrete Wavelet Transform (MODWT) to examine the multiscale risk-return relationship for Pakistan stock market. Methodology: The method enables scale-by-scale analysis of CAPM validity and heterogeneous market expectations. Findings: Our sample consists of 117 firms listed at Karachi stock exchange for the period January 1, 2006 to December 31, 2013. The empirical findings show that the riskreturn relationship is linear at higher (16-128 days) scales and average daily market risk premium is 23.8%. Recommendations: The study, consistent with literature, concludes that systematic risk is a multiscale phenomenon.

Suggested Citation

  • Syed Jawad Hussain Shahzad, 2015. "Multiscale Systematic Risk: Empirical Evidence from Pakistan," International Journal of Economics and Empirical Research (IJEER), The Economics and Social Development Organization (TESDO), vol. 3(12), pages 605-615, December.
    • Handle: RePEc:ijr:journl:v:3:y:2015:i:12:p:605-615
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    References listed on IDEAS

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    More about this item

    Keywords

    CAPM; Multiscale systematic risk; Pakistan;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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