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).
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.
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).
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.
Newlove Asamoah, G. and Quartey‐Papafio, A. (2011), "Beta risk estimation of companies listed on the Ghana stock exchange", Journal of Risk Finance, Vol. 12 No. 3, pp. 195-207. https://doi.org/10.1108/15265941111136941Download as .RIS
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