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. Published in: Research Journal Social Science , Vol. 5, No. 2 (2016): pp. 117-138.

Abstract

This study analysis risk return relationship of the electricity companies of Pakistan by using the return series of these electricity companies. Financial time series data have the property of autoregressive heteroscedasticity so move towards the ARCH 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-M, Risk Return Relation, Paradox, GARCH-M
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics; G - Financial Economics > G2 - Financial Institutions and Services

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