n African Finance Journal - An examination of the time variation in systematic risk on the Stock Exchange of Mauritius

Volume 8, Issue 2
  • ISSN : 1605-9786



This study estimates the systematic for the listed companies on the Stock Exchange of Mauritius using the capital asset pricing model and the market model. We then correct for thin trading. Finally, the Schwert and Seguin (1990) model is used to estimate the time variation in beta. The results indicate that the betas corrected for thin trading are quite different from the traditional beta estimates. It is therefore crucial to take thin trading into account when estimating systematic risk for markets characterized by thin trading. Moreover, when the time-variation in beta is taken into account, the empirical regularity that the spread between the systematic risk of small and large firms is higher as market volatility increases is confirmed by the data.

Loading full text...

Full text loading...


Article metrics loading...


This is a required field
Please enter a valid email address
Approval was a Success
Invalid data
An Error Occurred
Approval was partially successful, following selected items could not be processed due to error