An investigation of the relationship between systematic risk and return at the Namibian stock exchange
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Date
2019
Authors
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Publisher
University of Namibia
Abstract
This paper presents an empirical analysis on the relationship risk and return. This study is helpful to analyse the asymmetric nature of data including the seasonal effect and non-linear properties in risk and return relationship scenario. In this study, monthly data was used regarding stock prices and the NSX local index, Market capitalisation ratios and beta was calculated. The data span of all variables covers the time period from January 2013 to December 2017. Our results show that the transmission return to risk is partially complete in the long run. The result revealed that there is a long-run relationship between risk and return. The results also show that about 18.2% of the disequilibrium in return is corrected within the next period.
We employed VECM model in the study as we found a cointegrating relationship between the variables. VECM offers a possibility to apply Vector Autoregressive Model (VAR) to integrated multivariate time series. The study tested for serial correlation and conditional heteroscedasticity. The results confirm the absence of conditional heteroscedasticity and serial correlation. Moreover, the model was not normally distributed. Therefore, the econometric model employed in the study is not so vigorous, at least, from a technical perspective.
Description
A research thesis submitted in partial fulfillment of the requirements for the Degree of Master of Science (Economics)
Keywords
Market cap, Beta, Risk assessment