Abstract:

This paper estimates the responsiveness of sectoral subindex returns to changes in the domestic market portfolio, and compares predictions of nonsystematic risk using GARCH and EGARCH specifications of the error variance. Our results show that returns for the portfolios of Commercial Banks and Conglomerates respond more than proportionately to changes in the market portfolio, and that nonsystematic volatility appears to have been greater during periods of macroeconomic instability and political unrest.

Language: English

Document Type: Research article