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Sectoral beta forecasts of securities in a thin capital market: a case of Malaysia

This study examined the beta forecasts of securities in the overall Malaysian securities market and the industrial, finance, property and plantation sectors. Beta coeficients of 146 securities spread across the various sectors were computed for each 2-year period over the period 1984-1993 by the or...

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Main Author: Kok, Kim Lian
Format: Article
Language:English
Published: Penerbit Universiti Kebangsaan Malaysia 1997
Online Access:http://journalarticle.ukm.my/7974/1/813-1552-1-SM.pdf
http://journalarticle.ukm.my/7974/
http://ejournals.ukm.my/pengurusan/issue/view/
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spelling my-ukm.journal.79742016-12-14T06:45:48Z http://journalarticle.ukm.my/7974/ Sectoral beta forecasts of securities in a thin capital market: a case of Malaysia Kok, Kim Lian This study examined the beta forecasts of securities in the overall Malaysian securities market and the industrial, finance, property and plantation sectors. Beta coeficients of 146 securities spread across the various sectors were computed for each 2-year period over the period 1984-1993 by the ordinary least squares method, Blumes's method, Vasicek' method and Dimson- Flowler-Rorke method. The beta coeficients of the I46 securities computed by each method for any 2-year period were used to forecast the beta coeficients in the subsequent 2-year period with the forecast accuracy measured by the mean square error. The best method of forecasting 2-year beta coeficients of securities over the period 1984-1993 was Vasicek's method. It was the best not only for the overall market but also for the industrial, Finance and property sectors. The Dimson-Fowler-Rorke method was the best for the thinly traded palntation sector. An analysis for each 2- year period also showed that Vasicek's method was the best for the three periods 1986-1 987, 1990-1 991 and 1992-1 993, wheras the Dimson-Flowler- Rorke method was the best for the period 1988-1989. Penerbit Universiti Kebangsaan Malaysia 1997 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/7974/1/813-1552-1-SM.pdf Kok, Kim Lian (1997) Sectoral beta forecasts of securities in a thin capital market: a case of Malaysia. Jurnal Pengurusan, 16 . pp. 13-32. ISSN 0127-2713 http://ejournals.ukm.my/pengurusan/issue/view/
institution Universiti Kebangsaan Malaysia
building Perpustakaan Tun Sri Lanang Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Kebangsaan Malaysia
content_source UKM Journal Article Repository
url_provider http://journalarticle.ukm.my/
language English
description This study examined the beta forecasts of securities in the overall Malaysian securities market and the industrial, finance, property and plantation sectors. Beta coeficients of 146 securities spread across the various sectors were computed for each 2-year period over the period 1984-1993 by the ordinary least squares method, Blumes's method, Vasicek' method and Dimson- Flowler-Rorke method. The beta coeficients of the I46 securities computed by each method for any 2-year period were used to forecast the beta coeficients in the subsequent 2-year period with the forecast accuracy measured by the mean square error. The best method of forecasting 2-year beta coeficients of securities over the period 1984-1993 was Vasicek's method. It was the best not only for the overall market but also for the industrial, Finance and property sectors. The Dimson-Fowler-Rorke method was the best for the thinly traded palntation sector. An analysis for each 2- year period also showed that Vasicek's method was the best for the three periods 1986-1 987, 1990-1 991 and 1992-1 993, wheras the Dimson-Flowler- Rorke method was the best for the period 1988-1989.
format Article
author Kok, Kim Lian
spellingShingle Kok, Kim Lian
Sectoral beta forecasts of securities in a thin capital market: a case of Malaysia
author_facet Kok, Kim Lian
author_sort Kok, Kim Lian
title Sectoral beta forecasts of securities in a thin capital market: a case of Malaysia
title_short Sectoral beta forecasts of securities in a thin capital market: a case of Malaysia
title_full Sectoral beta forecasts of securities in a thin capital market: a case of Malaysia
title_fullStr Sectoral beta forecasts of securities in a thin capital market: a case of Malaysia
title_full_unstemmed Sectoral beta forecasts of securities in a thin capital market: a case of Malaysia
title_sort sectoral beta forecasts of securities in a thin capital market: a case of malaysia
publisher Penerbit Universiti Kebangsaan Malaysia
publishDate 1997
url http://journalarticle.ukm.my/7974/1/813-1552-1-SM.pdf
http://journalarticle.ukm.my/7974/
http://ejournals.ukm.my/pengurusan/issue/view/
_version_ 1643737314223980544
score 13.211869

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