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

Sadia Naqi Shah and Abdul Qayyum

MPRA Paper from University Library of Munich, Germany

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.

Keywords: GARCH test; Risk return relation; Paradox; GARCH-M; Pakistan (search for similar items in EconPapers)
JEL-codes: C58 G1 G12 (search for similar items in EconPapers)
Date: 2016-01
New Economics Papers: this item is included in nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/68783/1/MPRA_paper_68783.pdf original version (application/pdf)

Related works:
Working Paper: Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:68783

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().