Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan

Naqi Shah, Sadia and Qayyum, Abdul (2016): Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan.

Abstract

This study analyse risk return relationship of the electricity companies of Pakistan by using the log return series of these electricity companies. Financial time series data have the property of autoregressive heteroscedasticity so move towards the GARCH family test. As the study want to analyse the risk return relationship so, GARCH-M Model of Engel et al (1987) is used, who empirically found relationship between risk and return. Results show that risk return in case of Pakistan electricity companies is not a specific relation (negative or positive) rather they show paradox of risk return.

• Item Type: MPRA Paper
• Language: English
• Keywords: GARCH test, Risk return relation, Paradox, GARCH-M, Pakistan
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics; G - Financial Economics > G1 - General Financial Markets; G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates

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