Premium Essay

I Am Lagend

In: Business and Management

Submitted By Lodhi7848
Words 5671
Pages 23
International Research Journal of Finance and Economics
ISSN 1450-2887 Issue 85 (2012)
© EuroJournals Publishing, Inc. 2012 http://www.internationalresearchjournaloffinanceandeconomics.com Sensitivity of Sector Risk-Return Relationships in the Saudi
Arabian Stock Market
Bruce Q. Budd
College of Business, Alfaisal University, Riyadh, Kingdom of Saudi Arabia
E-mail: bbudd@alfaisal.edu
Declan McCrohan
College of Business, Alfaisal University, Riyadh, Kingdom of Saudi Arabia
E-mail: dmccrohan@alfaisal.edu
Abstract
Since 2001 the development of the Saudi Arabian capital market has dramatically improved its technical infrastructure. The very nature of these new emerging markets necessitates the need for establishing a benchmark for future equity analysis. It is against this backdrop that this paper investigates the sensitivity of sector risk-return relationships in the Saudi Arabian Stock Market. Using the Capital Asset Pricing Model (CAPM), the beta and alpha coefficients are calculated and later refined with a rolling regression technique.
Results suggest that beta is time variant. Using a static beta measurement without consideration to its relative daily instability, distorted sector-market relationship signals and lead to spurious results. This suggests one should not rely on the traditional beta measurement as a sole guiding investment tool. The contribution of this paper provides a more refined technique, a rolling beta, to accurately capture daily valuation swings caused by market-moving events over time. Subsequently alpha values were calculated using the
CAPM and more accurate risk-return valuations were forecasted of future expected outcomes. More robust forecast results emerged identifying four key phases of varying stock market activity (systematic risk) and sector market valuations previously unrecognized when using a static beta...

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