Sectoral Beta Forecasts of Securities in a Thin Capital Market: A Case of Malaysia

Faculty of Economics & Administration
University of Malaya
Lembah Pantai
59100 Kuala Lumpur Malaysia


Abstract

This study examined the beta forecasts of securities in the overall Malaysian securities market and the industrial, finance, property and plantation sectors. Beta coefficients 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 coefficients of the 146 securities computed by each method for any 2-year period were used to forecast the beta coefficients in the subsequent 2-year period with the forecast accuracy measured by the mean square error. The best method of forecasting 2-year beta coefficients 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 1986-1987, 1990-1991 and 1992-1993, wheras the Dimson-Flowler Rorke method was the best for the period 1988-1989.

Keywords

Citation

Kim Lian, K. (1997). Sectoral Beta Forecasts of Securities in a Thin Capital Market: A Case of Malaysia. Jurnal Pengurusan, 16, 13–32.

@article{kimlian1997sectoral,
  title={Sectoral Beta Forecasts of Securities in a Thin Capital Market: A Case of Malaysia},
  author={Kim Lian, Kok},
  journal={Jurnal Pengurusan},
 

volume={16},
  number={},
  pages={13—32},
  year={1997},
  doi={},
  publisher={Penerbit UKM},
}

Export Bibliography:

No. of views: 128

   

Article received:  
Accepted for publication:  
Available online: 

Issue logo

16 (1997) 13 – 32

Download PDF

Share via:

Receive updates when new articles are published