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SUBMITTED BY: Muhammad Umar (060021) ZAIGHUM TANVEER (060035)

A Thesis Submitted In Partial Fulfillment of the Requirements for the Degree of BBA (HONS) Department of Business Administration Faculty of Administrative Sciences Air University 2010

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Final Project Approval Sheet Topic of Research: An empirical Study of Firm Financial Position on its Risk and Return. Names of Student: Muhammad Umar Reg No: 060021 Names of Student: Zaighum Tanveer Reg No: 060035 Program: BBA-S-06-A-47

Approved by:

Project Supervisor

Internal Examiner

Internal Examiner

Dean

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Acknowledgment

This thesis has been the result of research conducted during spring of 2009 within the division of the Department of Management Sciences at Air University, Islamabad. All the praise is for Allah, the most merciful and beneficent, who blessed us with the knowledge, gave us the courage and allowed us to accomplish this research. We gratefully acknowledge Mr.Farooq Rasheed for his supervision, advice and crucial contribution which made him a backbone to this thesis. His involvement with his originality has triggered and nourished our intellectual maturity that we will benefit from, for a long time to come. It is also our immense pleasure to express sincere gratitude to Dr.I U Shad and Mr.Saeed Chodhary whose inspiring guidance, remarkable suggestion, keen interest and constructive criticism helped us to complete this research efficiently. We found this research interesting, challenging and most of all rewarding. We hope the report is informative to anyone who refers to it. Thanking all the reader(s).

Muhammad Umar Zaighum Tanveer

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4 . able guidance and dedication.Dedication We dedicate this research to our parents and teachers. understand and express. who taught us to think. we would not be able to pass through the tiring process of this research. We earnestly feel that without their inspiration.

Test of sources of variation and the Test of descriptive statistics.ABSTARCT This study examines the return based performance of the companies of financial sector of Pakistan in stock market from 1st July 2005 to 30th June 2009. The results of all the tests have shown that stocks of small capitalization category have more fluctuation in returns as compared to stocks of large capitalization category confirming that small cap stocks are more risky as compared to large cap stocks. This is done by the construction of a manager universe benchmark and volatility of each stock from its benchmark is analyzed. The analysis is done using non parametric method. The risky ness of each stock of financial sector is measured to analyze whether small cap stocks of financial sector of Pakistan are more volatile or not as compare to large cap stocks. which is much more efficient than parametric method when distributions are not normal. The analysis is done by the construction of one portfolio consisting of 10 stocks of companies relating to financial sector of different sector of Karachi Stock Exchange. policy recommendations for investments are also provided to the investors regarding their investments decisions in financial stocks based on their ability and willingness to take risk. The ANOVA Test is based on the comparison of mean returns and the risk associated with these returns. For this analysis of variation. various tools are used including ANOVA Test under MET. 5 . In the end.

.11 LITERATURE REVIEW • Hypothesis ………………………………………………………………20 CHAPTER THREE…………………………………………………………….38 CHAPTER FIVE …………………………………………………………………...32 Correlation ………………………………………………………………....21 DATA & METHODOLOGY • Research Procedure………………………………………………………21 CHAPTER FOUR ……………………………………………………………….26 Fixed Effect ………………………………………………………………27 Random Effect ………………………………………………………….2 Purpose of Study……………………………………………………….9 Significance of Study …………………………………………………..64 CONCLUSION AND RECOMMENDATION • • Conclusion …..1 Stock Market Review………………………………………………….……………………………………………………………64 Recommendation …………………………………………………………..65 6 .29 Test for Equality of Means ………………………………………………..10 CHAPTER TWO ………………………………………………………………....Table of Contents ABSTRACT…………………………………………………………………… CHAPTER ONE ………………………………………………………………1 INTRODUCTION • • • • Background …………………………………………………………….26 RESULTS • • • • • Common Effect …………………………………………………………..

1. Despite the heated debate the CAPM still receives wide attention especially from the practitioners. At the same time for good or bad we have at least learned that there might be multiple other factors in determining the asset prices.1 Background: Modern finance theory started from Markowitz’s (1952) portfolio theory. Current evidence has shown that other factors have a consistent and significance effect on common stock prices and return. Thus it is not surprising that there ha seen immense growth in the papers investigating “size effect” and other empirical regularities in average stock prices. Based on this theory. The association between size and average stock price is about as important as the association between risk and average returns. which predicts how individual investor allocates their assets by balancing the risk and return tradeoffs.REFERENCES ……………………………………………………………………67 CHAPTER I INTRODUCTION The purpose of this study is to investigate the relationship between firms financial position and its risk and return and how risk affect return in portfolio choices. However in recent years one of the most influential papers by Fama and French (1992) questioned the cross-sectional predictability of the CAPM. Lintner (1965) and Black (1965) developed the so called capital Asset Pricing Model (CAPM). Early empirical studies generally failed to reject the model. 7 . For the first time their theory clearly prescribes that it are the individual stock’s co-movements with the overall market variables that determine stocks expected returns (thus the stock prices) postulating a simple linear relationship between a stock’s expected price/ return and its risk? The CAPM has been under intensive scrutiny since birth. Sharpe’s (1963).

which means that. as an owner of a stock. . It represents a claim on the company's assets and earnings. The apparent persistence of this effect is such that it has been accorded the status of an anomaly. A stock exchange. no matter what the maximum one can loose is the value of his investment.2 Stock market review A stock (also known as equity or a share) is a portion of the ownership of a corporation. and insider trading problems. market manipulation.The size effect one of the most enigmatic finding in finance first reported by Banz (1981). showing that investor were interested more in short gains and ignored long term investment objectives based on future profitability of a firm. Despite this the Karachi Stock Exchange of the Pakistani capital market is the biggest and most liquid stock exchange and was declared the best performing stock exchange of the world for the year 2002. one is not personally liable if the company is not able to pay its debt. A market is mechanism by which buyers and sellers interact to determine the price and quantity of goods or services. Stock exchanges also provide 8 . 1. dubious accounting practice. Like many emerging markets the Pakistani capital market also suffers from unsatisfactory corporate governance. Such a unique investment environment provides a natural laboratory to study the securities price issue and its relationship to firms’ size and to know whether there is a size effect using Pakistani stock data. Important features of the stock is its limited liability. securities exchange is a corporation or mutual organization which provides "trading" facilities for stock brokers and traders. The turnover ratio of stocks at KSE has been very high. seems to provide strong evidence that the shares of firms with small equity market values have on average higher stock prices than firm with large equity market values. Most investor has traded speculatively with very short holding period. Owning stocks means that. A share in a corporation gives the owner of the stock a stake in the company and its profits. to trade stocks and other securities.

the Van der Beurze had Antwerp. Supply and demand in stock markets is driven by various factors which. the family Van der Beurze had a building in Antwerp where those gatherings occurred. but trade is less and less linked to such a physical place. In 12th century France the courratiers de change were concerned with managing and regulating the debts of agricultural communities on behalf of the banks. The size of the world stock market is estimated at about $36. A stock exchange is often the most important component of a stock market. To be able to trade a security on a certain stock exchange. The securities traded on a stock exchange include: shares issued by companies. The world derivatives market has been estimated at about $480 trillion face or nominal value. an informal meeting. affect the price of stocks. Muslim and Jewish merchants had already set up every form of trade association and had knowledge of many methods of credit and payment. A common misbelieve is that in late 13th century Bruges commodity traders gathered inside the house of a man called Van der Beurze. as in all free markets. unit trusts and other pooled investment products and bonds. as their primary place for trading. institutionalizing what had been. The idea quickly 9 . stock exchanges are part of a global market for securities. 12 times the size of the entire world economy. Because these men also traded with debts. There is usually no compulsion to issue stock via the stock exchange itself. until then. Trade on an exchange is by members only. disproving the belief that these were originally invented later by Italians. but actually. as modern markets are electronic networks. nor must stock be subsequently traded on the exchange. The initial offering of stocks and bonds to investors is by definition done in the primary market and subsequent trading is done in the secondary market.6 trillion US at the beginning of October 2008. Such trading is said to be off exchange or over-the-counter. Increasingly. and in 1309 they became the "Brugse Beurse". This is the usual way that bonds are traded. as most of the merchants of that period. they could be called the first brokers. it has to be listed there. Usually there is a central location at least for recordkeeping.facilities for the issue and redemption of securities as well as other financial instruments and capital events including the payment of income and dividends. Historian Fernand Braudel suggests that in Cairo in the 11th century. which gives them advantages of speed and cost of transactions.

Verona. 1. Bankers in Pisa. 858.90 billion (US $ 23. it is Pakistan's largest and oldest stock exchange. unit trusts and other speculative instruments. In the middle of the 13th century.2.1. the Dutch East India Company issued the first shares on the Amsterdam Stock Exchange. option trading.750.48 billion (US $ 9. with many Pakistani as well as overseas listings. 2008.or losses. Founded in 1947.1 Karachi Stock Exchange The Karachi Stock Exchange or KSE is a stock exchange located in Karachi. debt-equity swaps. This was only possible because these were independent city states not ruled by a duke but a council of influential citizens. It was the first company to issue stocks and bonds. with the world's biggest markets being in the United States.698. much as we know them. The Dutch later started joint stock companies. Karachi Stock Exchange is the biggest and most liquid exchange and has been declared as the “Best Performing Stock Market of the World for the year 2002”. which let shareholders invest in business ventures and get a share of their profits .83 billion) having listed capital of Rs. In 1351 the Venetian government outlawed spreading rumors intended to lower the price of government funds. Canada.01 on December 31.50 billion). Genoa and Florence also began trading in government securities during the 14th century.527. France and Japan.spread around Flanders and neighboring counties and "Beurzen" soon opened in Ghent and Amsterdam. Pakistan. 2008. Germany. The Amsterdam Stock Exchange (or Amsterdam Beurs) is also said to have been the first stock exchange to introduce continuous trade in the early 17th century. merchant banking. As on December 31. The Dutch "pioneered short selling. UK. India. There are now stock markets in virtually every developed and most developing economies. China (Hongkong). The KSE 100 Index closed at 5865. 653 companies were listed with the market capitalization of Rs. 10 . In 1602. Venetian bankers began to trade in government securities.

KSE began with a 50 shares index. Corporate Members are 187 out of which 9 are public listed companies. Preference shares 14 and debt securities (TFC's) 25. As the market grew a representative index was needed. The KSE-100 is a capital weighted index and consists of 100 companies representing about 86 percent of market capitalization of the Exchange. 11 . Deliveries through central depository company. ix. ii. vi. USA Today. Average daily turnover 146. termed Karachi Stock Exchange as one of the best performing bourses in the world. Market capitalization Rs.750.72 million). vii. Fully automated trading system with T+2 settlement cycle.83 million).11 million). iii. x. iv. Similarly the US newspaper. National Clearing and Settlement System in place.499. 858. 477. Membership strength at 200. Active Members are 163.1. Today KSE has emerged as the key institution of the capital formation in Pakistan with:i.35 million (US$ 180. Listed capital Rs.90 million (US$ 23. 1991 the KSE-100 was introduced and remains to this date the most generally accepted measure of the Exchange.698.527.55 million shares with average daily trade value Rs.KSE has been well into the 4th year of being one of the Best Performing Markets of the world as declared by the international magazine “Business Week”. The exchange has pre-market sessions from 09:15am to 09:30am and normal trading sessions from 09:30am to 03:30pm. v. On November 1. 228. Listed companies 653. It is the second oldest stock exchange in South Asia. viii. securities listed on the exchange 692: ordinary share 653.14.55 million (US$ 9.

Therefore. and can influence or be an indicator of social mood. An economy where the stock market is on the rise is considered to be an up coming economy. Rising share prices. in general. the stock market is often considered the primary indicator of a country's economic strength and development. central banks tend to keep an eye on the control and behavior of the stock market and. tend to be associated with increased business investment and vice versa. for instance. This allows businesses to be publicly traded. on the smooth operation of financial system functions. In particular. History has shown that the price of shares and other assets is an important part of the dynamics of economic activity. Exchanges also act as the clearinghouse for each transaction. Share prices also affect the wealth of households and their consumption. or raise additional capital for expansion by selling shares of ownership of the company in a public market. This eliminates the risk to an individual buyer or seller that the counterparty could default on the transaction. 1995 the KSE all share index was constructed and introduced on September 18. The liquidity that an exchange provides affords investors the ability to quickly and easily sell securities. In fact. On August 29. The primary objective of the KSE 30 Index is to have a bench mark by which the stock price performance can be compared to over a period of time. This is an attractive feature of investing in stocks. compared to other less liquid investments such as real estate. the KSE-30 Index is designed to provide investors with a sense of how large company's scrip's of the Pakistan's equity market are performing The stock market is one of the most important sources for companies to raise money. KSE has also introduced KSE-30 Index which is calculated using "Free Float Market Capitalization Methodology".In 1995 the need was felt for an all share index to reconfirm the KSE-100 and also to provide the basis of index trading in future. 12 . 1995. meaning that they collect and deliver the shares. and guarantee payment to the seller of a security.

which could have been consumed. resulting in stronger economic growth and higher productivity levels and firms. increase distribution channels. increase its market share. are mobilized and redirected to promote business activity with benefits for several economic sectors such as commerce and industry. However. it leads to a more rational allocation of resources because funds. companies generally tend to improve on their management standards and efficiency in order to satisfy the demands of these shareholders and the more stringent rules for public corporations imposed by public 13 . through dividends and stock price increases that may result in capital gains. this may include the following: 1 Raising capital for businesses The Stock Exchange provides companies with the facility to raise capital for expansion through selling shares to the investing public. 5 Corporate governance By having a wide and varied scope of owners.The smooth functioning of all these activities facilitates economic growth in that lower costs and enterprise risks promote the production of goods and services as well as employment. or acquire other necessary business assets. Stock exchanges have multiple roles in the economy. both casual and professional stock investors. In this way the financial system contributes to increased prosperity. will share in the wealth of profitable businesses. 2 Mobilizing savings for investment When people draw their savings and invest in shares. 4 Redistribution of wealth Stocks exchanges do not exist to redistribute wealth. 3 Facilitating company growth Companies view acquisitions as an opportunity to expand product lines. hedge against volatility. or kept in idle deposits with banks.

However. share prices rise and fall depending. investing in shares is open to both the large and small stock investors because a person buys the number of shares they can afford. and the subprime mortgage crisis in 2007-08. it is alleged that public companies (companies that are owned by shareholders who are members of the general public and trade shares on public exchanges) tend to have better management records than privately-held companies (those companies where shares are not publicly traded. or otherwise by a small group of investors). some well-documented cases are known where it is alleged that there has been considerable slippage in corporate governance on the part of some public companies. Share prices tend to rise or remain stable when companies and the economy in general show signs of stability and growth. 7 Government capital-raising for development projects Governments at various levels may decide to borrow money in order to finance infrastructure projects such as sewage and water treatment works or housing estates by selling another category of securities known as bonds.stock exchanges and the government. 8 Barometer of the economy At the stock exchange. An economic recession. Therefore the movement of share prices and in general of the stock indexes can be an indicator of the general trend in the economy. These bonds can be raised through the Stock Exchange whereby members of the public buy them. thus loaning money to the government. is classical examples of corporate mismanagement. 14 . or financial crisis could eventually lead to a stock market crash. largely. on market forces. depression.com (2000) 6 Creating investment opportunities for small investors As opposed to other businesses that require huge capital outlay. Consequently. Therefore the Stock Exchange provides the opportunity for small investors to own shares of the same companies as large investors. Companies like Pets. often owned by the company founders and/or their families and heirs. The dot-com bubble in the early 2000s.

g. However. rate of return (ROR). in financial sector it is the probability of actual return being less than expected return. the level of uncertainty present is called risk. or net income/loss. In finance. but also have greater potential consequences. or the cost basis of the investment. Risk is probability of unfavorable condition. Many forms of investment may not be readily salable on the open market (e. the type of 'investment' risk will vary. There will be uncertainty in every business.3 Purpose of Study Risk concerns the expected value of one or more results of one or more future events. capital. The money invested may be referred to as the asset. The main purpose of the study is to investigate that is there any relationship between firms financial position and its risk and return and how risk affects return in portfolioc choices. Assets that are easily sold are termed liquid: therefore this type of risk is termed liquidity risk. which may accrue either from incurring a cost ("downside risk") or by failing to attain some benefit ("upside risk"). High risk investments have greater potential rewards. principal. is the ratio of money gained or lost (whether realized or unrealized) on an investment relative to the amount of money invested. Technically. 15 . The amount of money gained or lost may be referred to as interest. rate of profit or sometimes just return. profit/loss. general usage tends focus only on potential harm that may arise from a future event. the value of those results may be positive or negative. commercial property) or the market has a small capacity and may therefore take time to sell. Depending on the nature of the investment. ROI is usually expressed as a percentage rather than a fraction. Financial risk is normally any risk associated with any form of financing. also known as return on investment (ROI). This risk is therefore often referred to as capital risk. gain/loss.1. A common concern with any investment is that the initial amount invested may be lost (also known as "the capital").

The apparent persistence of this effect is such that it has been accorded the status of anomaly. One of the most enigmatic empirical finding in the finance is the size effect first reported by Banz which seems to provide strong evidence that the shares of the firm with small equity market values have on average higher stock prices and returns than firms with large equity market values.1. The rest of the thesis is organized as follows In Chapter II Literature Review In Chapter III Data Methodology In Chapter IV Results In Chapter V Conclusion and Recommendations 16 .4 Significance of study Size effect on stock prices represents an unusual coincidence of interest among the broad group of financial economist.

hence the adage high “high risk. Thus it is impossible to make economic profit by trading on the basis of such information. A more establish theory known as the efficient market hypothesis also conflict with the Banz’s (1981). Specially. a study perform by Letzemberger and Ramaswomy (1979) shows a significant positive relationship between dividend yield and prices on common stocks. Banz’s several approaches to testing this size effect. a positive relationship has been found between stock prices and earning yields. CAPM assumes that expected return from an asset is a function of its price variance. This is implied because people are assumed to be rational. cash flows yield and book to market ratio and size. This figure is usually reported as beta and is synonymous with risk. In general. First they assumed investor’s portfolio will maintain a constant proportion between risky and risk free asset.CHAPTER II LITERATURE REVIEW Imperial research over past years has provided evidence of the cross sectional relationship between stock prices and certain fundamental variables being studied extensively. Banz’s study indicates other wise. This relationship is thought to be linear and positive. voluminous are the studied that document the size and prices effects and studies that try to descent angle the two effects. The second assumption is that all investors can lend or borrow money at the risk free rate. The existence of the size effects some specific implication for both the CAPM and the efficient market hypothesis. An indication of abnormally high profit well attract investors and increase the demand for that security. In turn the price for that security will increase eliminating access profits. high returns”. Lintner (1965) and moss in (1966) when they developed CAPM. However. A capital market is said to be efficient if it fully correctly reflects all relevant information in determining security prices. Since the size of the company is public information buying stocks on the basis of firm size should not lead to higher prices. Basu (1977) finds that price earning ratios and risk adjusted returns are related . Several assumptions were made by Sharp. One in particular seems to eliminate most econometric problems and yield 17 . (1964).

The risk of a stock of levered firm increases and the sock price decreases. and thus average returns for stocks with low current value should be positive because risk is underestimated. Keim (1983) and Brown. Basu (1983) re-examines Reinganum’s results using a different sample period and a different procedure for creating portfolios of stocks ranked on both size and E/P ratios. adjusting for bias in risk estimates does not discount the size effect. understate the risk of levered stocks whose prices has fallen. not a sign of market inefficiency. Still. Since the magnitude of the ‘size effect’ is apparently sensitive to the technique used to calculate current value (price) both Roll and Blume & Stamaugh question the empirical importance of this phenomenon. First the companies are split into five portfolios depending on size. He found that prices of stocks of firms with low market values are riskier than larger firms stocks. Historical estimates that assume risk is constant over time. About half of the annual size effect occurs in January and about 25% during the first five 18 . Roll (1982) and Blume &Stambaugh (1983) examine the effects of the different portfolio strategies implicit in alternative estimators of prices to portfolios of firms stocks depending on the market equity. Basu contradicts Reinganum and finds that both the size and the E/P effect are indications of deficiencies in the CAPM. Keim notes that the average price of a portfolio of small firms stocks is large in January and much smaller for rest of the year. several papers have attempted to explain the results of Banz & Reinganum. Christie & Hertzel (1981) argue that the size effect could be due to non stationary in risk measures. Banz’s significant and negative parameters for size. Keidon & Marsh (1983) provide new evidence to the ‘time series’ behavior of the size effect. A number of papers have analyzes the statistical tests in the papers of Benz &Reinganum (1981). thus indicating that firms with large market values have smaller results than small firms with comparable beta figures. In sum.the most reliable results. In particular Roll (1981) suggests that the stocks of small firms are traded less frequently than the stocks of large firm so the estimates of risks from stock prices will be biased downward.

Other papers that examine the relation between firm size. using data from different sample periods. Schleifer. Brown Keim. Several papers examine the “January size effect’ using international data. The LSV story also supported by cai (1997) and cahangy. and Vishny (1994) suggest that the high prices associated with high market equity stocks are generated by investors who incorrectly extrapolate the past earning growth rates of firms. and Vishny also suggest that high market equity stocks are more glamorous then low market equity stocks and may thus attract naïve investors who push up prices and raise the expected returns of these securities. Keim finds that ‘size effect’ exhibits seasonality. tax-loss selling and seasonality in stock prices include Gultekin & Gultekin (1982) who examine prices of Toronto and Montreal stock exchanges and find higher average prices in January especially for small stocks. this phenomenon seems to exist both before and after 1972. 19 . Kleidon &Marsh examine the behaviors of the ‘size effects’ over time. They suggest that investors are overly optimistic about firms. when Canada imposed the capital gains tax. which have done well in the past and overly pessimistic about those that have done poorly. The size effect has also been identified empirically for the UK by Levis (1985&1989) and Fong (1993). But because these straggles explode the sub optimal behaviors of the typical investors. In other words NSV find evidence that values stregies higher prices not because fundamentally riskier.days of trading of January. Kleidon & Marsh analyze the prices of Australian stocks. thus speculate about the type of explanations that are consistent with a ‘time varying size effect’. Brown. Fama and French(1992) argued that size play a dominant role in explaining cross sectional differences in expected prices and returns from firms and they proposed an alternative model that includes apart from market factor. However. and moich (2003) for the UK. Mcleavey and Rhee (1995) for Japan and by Gregory. Lakonishok. since the typical fiscal year end for tax purposes in June 30 in Australia. harris. a factor related to size and a factor related to B/M(Book value/Market value) Lakonishok. Schleifer. Thus they concur that the tax effect does not fully explain the size effect.

Daniel and Titmen. Khilji (1993) and Hussain and Uppal (1998) investigated the distributional characteristics of stock return in the Karachi Stock Exchange. Vassalou shows that much of the ability of size and equity to explain asset is due to news related to future gross domestic product growth. It is the characteristic rather then the covariance structure (risk) of returns that appear to explain the cross sectional variation in stock prices and return. (1997) find evidence that the return premium on small capitalization and high book-to-market stocks does not arise because of the co-movements of these stocks with pervasive factors.Knez and Ready (1997) used the Robest Fama and Macbeth (1973) procedure in order to postulate the influential to help to uncover why size and market worth appear to be useful for explaining cross sectional variation and prices and returns. Ahmad and Zaman (2000) using sectoral monthly data from July 1992 to March 1997 found that some of the CAPM implications are valid in the Karachi Stock Market. Lew and Bassalou (2000) provides that firm size and market equity are related to future economic growth . concluding that the return behaviour cannot be adequately modeled by a normal distribution. On the other hand. For developing capital markets in general and Pakistani markets in particular empirical evidence on equilibrium models are few. Hussain (2000) found no evidence of the day of the week anomaly and concluded that for the period January 1989 to December 1993 the absence of this predictability pattern implied efficiency of the market. Ahmad and Rosser (1995) used an ARCHin-Mean specification to study risk return relationship using sectoral indices. Attaullah (2001) tested APT in the Karachi Stock Exchange using 70 randomly 20 . finally they argued that further investigation are these result could lead to end and understanding of economic forces underplaying the size effect and may also yield important inside into how firms growth. They found evidence in favor of positive expected return for investors but speculative bubbles were also indicated. furthermore. Khilji (1994) found that the majority of return series are characterized by non-linear dependence. They find that the risk premium of size that was estimated by Fama and French completely disappear when the one percent most extreme observations are tempt each month.

mostly containing business cycle information. exchange rate. although inefficiencies are also present in unconditional and conditional settings. Javid and Ahmed (2008) an attempt to empirically investigate the size and return (price) relationship of individual stocks traded at Karachi Stock Exchange (KSE). trade balance and world oil prices were sources of systematic risk. The empirical findings do not support the standard CAPM model as a model to explain assets pricing in Pakistani equity market. where lagged macroeconomic variables. Guedes. The analysis is based on daily as well as monthly data of 49 companies and KSE 100 index is used as market factor covering the period from July 1993 to December 2004. are more supported by the KSE data. This allows for the return distribution to vary over time. the main equity market in Pakistan. attempt to clarify results 21 . In a nutshell. foreign exchange rate. The critical condition of CAPM—that there is a positive trade-off between risk and return—is rejected and residual risk plays some role in pricing risky assets. With a relatively greater sample this study employs two different factor analysis techniques and stability analysis is also performed. Moreover macroeconomic variables used are also greater in number and regional market indices are also included. Thompson (1996). with time variation in market risk and risk premium. call money rate. Out of 11 macroeconomic factors he found unexpected inflation. In this the authors have. and growth in oil prices. The empirical results of the conditional CAPM. growth in real consumption. The present study provides more recent evidence from monthly data from January 1997 to December 2003. According to Clarkson. The information set includes the first lag of the following business cycle variables: market return. He used Iterative Non Linear Seemingly Unrelated Regressions technique. this paper reexamines how risk return relationships are affected by investor uncertainty about the exact parameters of the joint rate of return distribution. term structure.selected stocks employing monthly data from April 1993 to December 1998. the results confirm the hypothesis that risk premium is time-varying type in Pakistani stock market and it strengthens the notion that rational asset pricing is working. The natural starting point of this study is to test the adequacy of the standard Capital Asset Pricing Model (CAPM) of Sharpe (1964) and Lintner (1965). inflation rate. are used for conditioning information. growth in industrial production.

Small cap stocks are risky because the economic changes or economic reversals have a great impact on smaller companies which usually do not have enough resources to survive during difficult time. He found that large cap stocks show significant comovement with across countries while on the other hand. According to the analysis of Little (2008). Finally. It means that the chance of failure of small cap companies is more than large cap companies. they address the issue of diversification. they have discussed the observablity of estimation risk and describe research experimental designs that should encompass the existence of estimation risk and reveal it in the data. Solnik (1974) and Stehle (1977) conducted a test on large cap stocks from U. The return of small cap stocks is higher than that of large cap stocks because of higher risk associated with these stocks due to higher fluctuations in the price. On the other hand. they suggested how exploiting contemporaneous return observations on high and low information securities to aid in the measurement of return parameters for low information securities. Small cap stocks are more nimble and react quickly to any market and technological changes. there are various benefits associated with the investment in small cap stocks. focusing on an APT. They found that the degree of variation is 22 . small cap stocks show small average correlation relative to both small cap and large cap stocks across countries. First. factor model framework. Huang (2004) analyzed cross country return correlations and conducted asset pricing test on three different size based portfolios over the stocks of nine different countries for the period of 1980 to 2004.S and other developed countries and found that large cap stocks carry fewer variations in their price as compared to other stocks. The asset pricing test showed that large cap stocks are priced globally while the global pricing is rejected for small cap stocks. Second. Fedorov and Sarkissian (2000) analyzed the variation of small cap stocks and large cap stocks of Russian equity market. Early studies relating the small cap and large cap stocks support the initial hypothesis.relating to three central issues.

For the more recent period. P/E alone did a better job than the FED model. 23 . including Asness (2003). Various researches on small cap stocks show that the cross-sectional distribution of the equity risk premium is related to variance risk [Harvey and Siddique.17% per month in excess of the risk-adjusted return on a large cap portfolio (composed of large firms) from 1927 to 1996. Koivu et al (2005). According to Huang (2004). Hjalmarsson (2004).S. For shorter periods. Salomons (2004) and Thomas (2005). Gwilym et al (2006). Gagliardini. the predictive power was better but still at very low levels. Guidolin and Nicodano (2005) investigated the effect of variance risk on the portfolio choices of investors. Asness found that for long-term predictions of absolute stock returns. small cap premium has been examined for more than twenty years. The size of the U. Durré and Giot (2005). Jansen and Wang (2004). so these stocks have more investor recognition and face less direct or indirect investment barriers as compared to small cap stocks. Pastor (2000) reported that a small cap portfolio (consisting of small firms) paid 0. Barone-Adesi. the FED model did a better job explaining actual market behavior than in the earlier period. Asness who studied the period from 1926 to 2002 found no long term (10 and 20 years) predictive power of absolute real stock returns using the FED model. While large cap stocks are exposed to more risk as compared to small cap stocks which only face local risk. Maio (2005). considering the assets of European and North American small equity portfolios. There has been a number of recent studies of the FED model. Like Campbell and Shiller (1998. Estrada(2006). and Urga (2004)]. but is stronger for stocks that have overseas listings. According to Guidolin and Nicodano . large cap stocks of many countries are more likely to be cross-listed in foreign equity markets. which may significantly reduce their appeal in the portfolio. 2000.weaker for portfolios of less diversified industries and for smaller-sized portfolios. Malkiel (2003). small cap stocks are well known to show asymmetric risk across bull and bear markets. They found that small cap stocks imply above-average levels of variance risk. 2001) before him.

Yet the methodology gives no explicit role to measures of risk and return. (Risk.According to Chang and Thomas (1989). Returns also influence the choice of diversification strategies which. they have studies many firms on the base sample of 80 firms. in turn. return. However. relationships between risk. Following an assessment of previous research on strategic risk. (1995). different diversification strategies can result in similar risk/return performance. The study identifies diversified firms that have managed to simultaneously reduced risks and increase returns. A curvilinear risk-return relationship is also observed which is consistent with previous theoretical suggestions. related diversification offers no guarantee of a favorable risk/return performance. a favorable risk/return performance is extremely hard to achieve with unrelated diversification. (Many low performers are related diversifiers. do not get rewarded with higher profits. The results suggest that although on the average related diversified firms outperform unrelated diversified firms. this paper examines the risk/return performance of related and unrelated diversified firms at the level of accounting data.) In fact. this study examines the impact of diversification strategy on risk and return in diversified firms. The results indicate that these firms differ from other firms on some managerially useful dimensions. expected utility theory is widely acknowledged to be a rational approach to making decisions involving risk. From these families we deduce utility-compatible measures of risk. the author states that. In this paper we identify those families of utility functions that are compatible with a risk-return interpretation. Investments) 24 . Regression analysis shows that differences in risk-return performance among diversified firms are more closely associated with structural factors associated with markets and businesses than with the particular diversification strategy chosen. According to Bettis and Mahajan (1985). The differences suggest clues to guide other diversified firms to improve their risk/return performance. Return. Implications for the strategic management of risk are then drawn. Utility. and diversification strategy are hypothesized. Analysis of Bell.

According Fong and Vasicek. Denmark. the realized return may be less than the target value. Canada. Furthermore. Although risk minimization is the traditional objective of immunization. France. Japan. however. The empirical studies have shown the importance of the FED Model by emphasizing the how much this model is considered important by the investors due to mostly one reason that is the simplicity of the model. The relative change in the end-ofhorizon value of an immunized portfolio resulting from such an arbitrary rate change will be proportional to the value of its immunization risk. Italy. the market uses the FED model mostly as a relative valuation tool rather than as an absolute valuation model. the target value of an immunized portfolio at the horizon date defines the portfolio's target rate of return. Thus an investor may choose from immunized portfolios of equal duration a portfolio with a high level of immunization risk in order to maximize his expected return. 2007) Empirical studies have being done on a large collection of countries including Australia. the use of the original FED model has been more as an illustrative tool of market sentiment rather than a positivistic prediction model. “Among practitioners. Immunization risk equals the weighted variance of times to payment around the horizon date. The standard deviation of an immunized portfolio's rate of return over the investment horizon will be proportional to the value of its immunization risk. If interest rates change by parallel shifts for all maturities. Austria. the immunization risk measure may also be used to optimize the risk-return tradeoff. Belgium.” (Michael Clemens. One may minimize the extent to which a portfolio's realized return differs from its target return by minimizing the portfolio's immunization risk (while keeping the portfolio's duration equal to the remaining horizon length). 2004). immunization risk will be low if portfolio payments cluster around the end of the horizon and high if payments are widely dispersed in time. Netherlands. To the extent that non-parallel rate changes occur. Switzerland. 25 . the portfolio's realized rate of return will not be below the target value. Germany. hence depends on portfolio composition. United Kingdom and the United States ( Durr´e and Giot. For example. (2000).

2.1 Hypothesis We intend to test the hypothesis that does risk affect return in portfolio choices that differ with various characteristic like size, type and volume of trade. DV Risk IV Return

26

CHAPTER III

DATA & METHODOLOGY The data for the analysis is collected from Karachi stock exchange. As the stocks of financial sector are analyzed dynamically and risk is measured by classifying the stocks of financial sector into small cap and large cap stocks, so the stocks of the companies of financial sector listed on Karachi stock exchange are selected on the basis of their market capitalization. For the analysis of variation, non parametric method is used. According to Siegel (2004), non parametric methods are the statistical procedures for hypothesis testing that do not require a normal distribution. Furthermore, non parametric method is more efficient than parametric methods when distributions are not normal [Siegel (2004)]. In the first step, the stocks are divided into two portfolios. The portfolio consists of 10 stocks and data has been collected for the last 5 years that are 2005, 2006,2007,2008,2009. It is determined from analysis that market capitalization of these selected stocks did not remain same during last five years, that is why the assumptions on the market capitalization value of these stocks is made on the basis of market capitalization value on 6th march 2009. The data price data of 20 stocks is collected from 1 July 2005 to 30 June 2009.

3.1 RESEARCH PROCEDURE The first step after data calculation was calculation of 10 listed stocks. In order to evaluate the risk of small cap stocks and large cap stocks of financial sector of Pakistan stock market, different tools are used. The analysis is started using basic risk measuring tools including mean, median, Maximum and minimum value of stock prices, standard deviation, skew ness coefficient. The results of stock price variations of each company’s stock are compared with the other stocks in order to measure the risky ness of each stock of selected stocks. Afterwards ANOVA test under MET is applied on the data. The results of ANOVA Test are also tested with Durban Watson Statistics. The index is calculated using market-value weighted index method. In this method, index is calculated using market capitalization value of each stock. The market

27

capitalization value is obtained by multiplying the number of shares outstanding with current market price. In this method, a base year is selected and on this base year, a base value is selected. The index for a particular date is calculated by using the following formula [Reilly and Brown (2007)].

According to Walpole (2000), Mean is the average value of series and is obtained by adding up series and dividing it by the number of observations. Median is the middle value or is the average of two middle values of the series. The median is a strong measure of the center of the distribution that is less sensitive to outliers than the mean. The difference between the mean value of each stock and stock-40 index shows the riskiness of that particular stock. Furthermore, the difference between mean value and median value of stocks of each stock and stock-40 index also shows the risk as well as the return of each stock [Walpole (2000)]. 3.1.1 Equality Test Afterwards the hypothesis test by classification is done on the data for which mean equality test is used. This test allows to analyze the equality of the means, medians, and variances across sub samples (or subgroups) of a single series. The tests assume that the sub samples are independent. 3.1.2 Mean Equality Test This test is based on a single-factor, between-subjects, analysis of variance (ANOVA). The purpose of this test is that if the subgroups have the same mean, then the variability between the sample means (between groups) should be the same as the variability within any subgroup (within group). Denote groups (2004)]: the i-th observation in subgroup as , where for

. The between and within sums of squares are defined as [Siegel

28

29 . the Welch (1951) version of the test statistic is used. with equal means and variances in each subgroup. the modified F- In the above equation is a normalized weight and is the weighted grand mean. When the subgroup variances are heterogeneous. In the above equation. According to Siegel (2004). The F-statistic has an Fnumerator degrees of freedom and denominator degrees of freedom under the null hypothesis of independent and identical normal distribution. The F-statistic for the equality of means according to the assumption that the subgroup means are identical is computed as: In the above equation distribution with is the total number of observations. Using the Cochran (1937) weight function. The purpose is to create a modified F-statistic that accounts for the unequal variances.In the above equation is the sample mean within group and is the overall sample mean. statistic can be formed as is the sample variance in subgroup . The numerator of the adjusted statistic is the weighted between-group mean squares and the denominator is the weighted within-group mean squares[Cochran (1937)].

Pooled regression works similar to regular regression. but instead are measures of overall cross-product demand.3 Pool Regression Typically time-series regression models need a sufficient history of data to yield robust results (you need at least 2 years of data to get sensible results).data that has observations over time for several different units or ‘cross-sections’.1. but yield an ‘overall’ measure of demand. This technique can also be used with product groups instead of stores provided the products are similar. except an extra intercept or ‘dummy’ is added for each store.Under the null hypothesis of equal means but possibly unequal variances. It is important to remember that Pooled Regression Coefficients do not measure demand effect separately for each store. where has an 3. This approach can be used when the groups to be pooled are relatively similar or homogenous. For example concatenating Monthly Net Income data for different companies with Quarterly GDP information allows an analyst to model the relationship between Net Income and GDP even with limited Quarters of data per company. since concatenating across companies increases observations. If you have less than 2 years of data. approximate F-distribution with degrees-of-freedom. but you have this for multiple groups. Level differences can be removed by 'mean-centering' (similar to Within-Effects Model) the data across the groups (subtracting the mean or average of 30 . like stores or similar products. In this case it is important to remember that the model doesn’t really measure demand effects of the variables for a specific product. yielding greater degrees of freedom. Pooled Regression is usually carried out on Time-Series Cross-Sectional data. then you can still build a "pooled" model by combining time-series observations across several groups.

each group from observations for the group). The model can be directly run using Ordinary Least Squares on the concatenated groups.4 Correlation In statistics. 31 . correlation and dependence are any of a broad class of statistical relationships between two or more random variables or observed data values. or mechanistic relationships. If the model yields large standard errors (small T-Stats). Correlations can also suggest possible causal. and the correlation between the demand for a product and its price. 3. Correlations are useful because they can indicate a predictive relationship that can be exploited in practice.1. Familiar examples of dependent phenomena include the correlation between the physical statures of parents and their offspring. however statistical dependence is not sufficient to demonstrate the presence of such a relationship. For example. an electrical utility may produce less power on a mild day based on the correlation between electricity demand and weather. this could be a warning flag that the groups are not all that homogenous and a more advanced approach like Random Effects Model may be more appropriate.

699824 Prob. 0. we found that the coefficient of Risk. From the table 4.1 Common Effect Table 4. So we can say that β is significant. is positive but the statistically it is significant.1.000202 0.967631 1.031327 Std. Error 0. of regression Coefficient -0. which tells or explains us how much variations.001278 0.1 COMMON EFFECT Dependent Variable: RET? Method: Pooled Least Squares Sample(adjusted): 1 22 Included observations: 22 after adjusting endpoints Number of cross-sections used: 50 Total panel (unbalanced) observations: 988 Variable C RISK? R-squared Adjusted R-squared S. in Dependent Variable are explained in the effect in variation in 32 . At 10% significance level Ho is rejected.Chapter IV Results 4. R-Squared = Coefficient of determination .000915 0.013693 0.0002 Sum squared resid Durbin-Watson stat 0.012693 0.717658 Explanation: HO: Beta is equal to zero H1: Beta is not equal to zero.8745 0.E.000247 t-Statistic -0.158017 3. Thus the test has been rejected.

It explains percentage of variation in dependent variable of the model because of independent variable.71.008872 -0.007303 -0. 0 33 .025954 -0.026105 -0.007418 -0.013862 -0.006522 t-Statistic 4. above 1. In our case Durbin Watson statistics. It explains % of variation in dependent variable of the model because of independent variable.034892 -0.013909 -0.00864 -0.02274 -0. Durbin Watson = Durbin Watson test the presence of the problem of auto correlating in the error terms.2 Fixed Effect Table 4.Independent Variable.00984 -0. In our case the explained variable are 13%. Error 0.5. which implies that there are very minor chances of error of auto correlation. which is a not a good sign. is 1.002271 0.2 Fixed Effect Dependent Variable: RET? Method: Pooled Least Squares Sample(adjusted): 1 22 Included observations: 22 after adjusting endpoints Number of cross-sections used: 50 Total panel (unbalanced) observations: 988 Variable RISK? _7_HABIB--C _9_JSCL--C _7_PAKREFNRY--C _9_PSO--C _5_HABIB--C _7_PSO--C _9_PAKREFNRY--C _8_PSO--C _6_PSO--C _8_PAKREFNRY--C _9_ATLAS--C _6_PAKREFNRY--C _5_ATLAS--C _5_PSO--C _6_ATKCEMET--C Coefficient Std.00682 -0. 4.009595 -0.000462 -0.91158 Prob.019143 -0.

012596 0.002117 0.000427 0. of regression Durbin-Watson stat -0.001814 -0.003673 -0.004909 0.005941 -0.074544 0.003628 -0.001714 -0.000922 0.031128 1.010652 0.004966 -0.005636 -0.009563 0.002825 -0.001623 -0.005234 0.E.007353 0.002431 -0.009207 0.3 Random Effect Table 4.002187 0.001141 0.818021 4.003829 -0.006532 0.006093 -0.02516 0._8_ALFALAH--C _9_ALFALAH--C _8_INDUS--C _5_FAUJI--C _9_HABIB--C _6_HABIB--C _7_INDUS--C _6_ATLAS--C _7_OGDC--C _5_OGDC--C _7_ATLAS--C _5_PAKREFNRY--C _9_OGDC--C _7_ATKCEMET--C _9_FAUJI--C _7_JSCL--C _8_OGDC--C _6_JSCL--C _7_FAUJI--C _5_ATKCEMET--C _8_FAUJI--C _8_ATKCEMET--C _6_ALFALAH--C _9_ATKCEMET--C _5_JSCL--C _8_HABIB--C _6_OGDC--C _6_FAUJI--C _5_ALFALAH--C _7_ALFALAH--C _9_INDUS--C _8_ATLAS--C _6_INDUS--C _5_INDUS--C _8_JSCL--C Fixed Effects R-squared Adjusted R-squared S.001114 0.005972 -0.001668 0.001436 -0.003001 -0.002751 0.004232 -0.002519 0.001821 -0.3 34 .005019 -0.

Variable C RISK? _7_PAKREFNRY--C _7_HABIB--C _9_PSO--C _9_JSCL--C _9_PAKREFNRY--C _9_ALFALAH--C _5_ATLAS--C _8_PAKREFNRY--C _9_ATLAS--C _5_FAUJI--C _7_PSO--C _8_ALFALAH--C _6_ATKCEMET--C _8_INDUS--C _5_PSO--C _6_PAKREFNRY--C _6_ATLAS--C _5_OGDC--C _7_INDUS--C _8_PSO--C _7_ATLAS--C _5_HABIB--C _6_PSO--C _9_FAUJI--C _8_OGDC--C _5_PAKREFNRY--C _6_HABIB--C _9_OGDC--C _9_HABIB--C _7_FAUJI--C _6_JSCL--C _7_OGDC--C _7_ATKCEMET--C tProb.000345 -0.00135 -0.000973 -0.000205 -0.002428 -0.000636 -0.82E-05 7.83E-05 9.57E-05 7.00026 -0.000725 -0.000519 -0.00019 0.32E-05 -3.99E-05 0.000637 -0.000414 -0.000309 -0. 0.002384 -0.000235 9 0.17E-05 7.001251 -0.7747 0.001427 -0.000194 -0.000662 -0.00015 -4.28626 3.000315 -0.000707 -0.000267 -0.000389 0.75021 3 35 .000262 -0.Random Effect Dependent Variable: RET? Method: GLS (Variance Components) Sample: 1 22 Included observations: 22 Number of cross-sections used: 50 Total panel (unbalanced) observations: 988 Std.000179 -0.000535 -0.000594 -0.001134 -0.00059 -0.73E-05 9.0002 Coefficient Error Statistic 0.

(4.4 Explanation: HO: µ1.000253 0.003432 0.027113 0. Ho is accepted. Ho is rejected. µ2.001318 statistic 0.740366 Risk alfalah Probability 0 4. this means that return of Bank AlFalah.000753 Sample: 1 30 0.000578 Test for Equality of Means Between 0.72775 0. 2007. of regression Durbin-Watson stat Return alfalah Probability 0.000578 0.001885 0. µ4.026126 0.4787 0.000966 Anova F(4. 36 ._8_FAUJI--C _5_ATKCEMET--C _8_ATKCEMET--C _7_JSCL--C _9_ATKCEMET--C Test for Equality of Means Between _5_JSCL--C Series _6_OGDC--C Sample: 1 30 _6_FAUJI--C Included observations: 30 _5_ALFALAH--C Method df _8_HABIB--C Value Anova F.001509 0.000874 Method df Value 0.000773 Included observations: 30 0.4 Tests for Equality of Means Table 4.000346 0. In the case of Risk. µ5 H1: µ1≠µ≠2µ≠3µ≠4µ≠5 In the case of Return.001734 0.031113 1.880093 _7_ALFALAH--C _9_INDUS--C statistic _6_INDUS--C _5_INDUS--C _8_ATLAS--C _8_JSCL--C Random Effects R-squared Adjusted R-squared S. 2008.000501 0. 2009. 2006. therefore. therefore.E. probability is 0%.001086 0. found to be equal in year 2005-6-7-8-2009. and this means that Bank AlFalah is not found to be equal in Year 2005. 103) 0. µ3. probability is 48%.00073 Series 0. 103) 21.

µ4. Ho is accepted. µ3. µ3. Ho is accepted and this means that Attock Cement is found to be equal in Year 2005.61763 Probability 0 Explanation: HO: µ1. therefore.Table 4. µ2. 2007. 100) statistic Risk Atk cement Value 0. 84) 1. 2008.9158 Test for Equality of Means Between Series Sample: 1 30 Included observations: 30 Method df ANOVA F(4.6 Test for Equality of Means Between Series Sample: 1 30 Included observations: 30 Method df Value ANOVA F.1184 Method ANOVA Fstatistic df (4. found to be equal in year 2005-6-7-8-2009. µ2. 84) Value 19. µ4. this means that return of Attock Cement.238812 Probability 0. µ5 H1: µ1≠µ≠2µ≠3µ≠4µ≠5 37 .(4.9158 Explanation: HO: µ1. 2006. 100) statistic Return Atk Cement Value 0.8976 statistic ret atlas Batrey Test for Equality of Means Between Series Sample: 1 30 Included observations: 30 Risk Atlas Batry Probability 0. probability is 92%. Table 4.5 Test for Equality of Means Between Series Sample: 1 30 Included observations: 30 Method df ANOVA F(4. In the case of Risk.238812 Probability 0. probability is 92%. 2009. µ5 H1: µ1≠µ≠2µ≠3µ≠4µ≠5 In the case of Return. therefore.

probability is 0%. In the case of Risk.246575 Probability 0. Ho is rejected.5507 Test for Equality of Means Between Series Sample: 1 30 Included observations: 30 Method df ANOVA F(4. Table 4. 102) Return Habib Value 0. 2006. probability is 0%. and this means that Atlas Battery is not found to be equal in Year 2005. Ho is accepted. therefore. this means that return of Atlas Battery. found to be equal in year 2005-6-7-8-2009. therefore.7 Test for Equality of Means Between Series Sample: 1 30 Included observations: 30 Method do ANOVA Fstatistic Explanation: HO: µ1. 2008.In the case of Return. µ2. 2009. µ3. 103) Risk Fauji Value 0. therefore. probability is 92%. 102) Risk Habib Value 26. found to be equal in year 2005-6-7-8-2009.9111 Value 18. µ4. 103) Return Fauji Test for Equality of Means Between Series Sample: 1 30 Included observations: 30 Method do ANOVA Fstatistic (4. 2007. 2009. Ho is rejected. probability is 12%. µ5 H1: µ1≠µ≠2µ≠3µ≠4µ≠5 In the case of Return.06381 Probability 0 38 .4811 Probability 0 (4. Ho is accepted. 2007. and this means that Fauji Fertilizer is not found to be equal in Year 2005. 2006. therefore. this means that return of Fauji Fertilizer. In the case of Risk. 2008.764547 Probability 0. Table 4.8 Test for Equality of Means Between Series Sample: 1 30 Included observations: 30 Method Df ANOVA F(4.

2006.431743 Probability 0. 42) Value 0. 2008. probability is 79%. Ho is accepted. therefore. µ5 H1: µ1≠µ≠2µ≠3µ≠4µ≠5 In the case of Return. µ3. this means that return of Indus Dying. µ2. therefore. µ4. 2009. probability is 0%.9 Test for Equality of Means Between Series Sample: 1 30 Included observations: 30 Method ANOVA Fstatistic Explanation: HO: µ1. 42) Value 0.957245 Probability 0. this means that return of Habib Securities.4409 Risk Indus 39 .7849 ret Indus Test for Equality of Means Between Series Sample: 1 30 Included observations: 30 Method ANOVA Fstatistic df (4. µ4. df (4.statistic statistic Explanation: HO: µ1. therefore. found to be equal in year 2005-6-7-8-2009. µ3. µ2. found to be equal in year 2005-6-7-8-2009. probability is 55%. Table 4. Ho is accepted. µ5 H1: µ1≠µ≠2µ≠3µ≠4µ≠5 In the case of Return. In the case of Risk. 2007. and this means that Habib Securities is not found to be equal in Year 2005. Ho is rejected.

and this means that Indus Dying is not found to be equal in Year 2005. this means that return of J.C. Table 4. 2006. 100) statistic Risk Jscl Value 2.L. probability is 0%. µ4. therefore.C. 2009. Ho is rejected. 2008. 2007. 2007.S. 100) statistic Return Jscl Test for Equality of Means Between Series Sample: 1 30 Included observations: 30 Method df ANOVA F(4.338873 Return OGDCL Test for Equality of Means Between Series Sample: 1 30 Included observations: 30 Probability Method ANOVA F0. µ3.In the case of Risk. 2008. probability is 23%. 100) Value 41. therefore.0226 Value 50. Ho is rejected.983227 Probability 0.8512 statistic df (4.80957 Probability 0 Risk OGDCl 40 .L is not found to be equal in Year 2005. found to be equal in year 2005-6-7-8-2009.10 Test for Equality of Means Between Series Sample: 1 30 Included observations: 30 Method Df ANOVA F. Table 4.11 Test for Equality of Means Between Series Sample: 1 30 Included observations: 30 Method ANOVA F-statistic Df (4. 2009. probability is 0%. therefore. µ5 H1: µ1≠µ≠2µ≠3µ≠4µ≠5 In the case of Return. 100) Value 0. µ2.S.(4. In the case of Risk.39303 Probability 0 Explanation: HO: µ1. and this means that J. Ho is accepted. 2006.

Table 4. 2007. Ho is accepted. therefore. 101) statistic Value 0. this means that return of O.D. In the case of Risk. this means that return of Pak Refinery. Ho is accepted.736857 Probability 0. probability is 0%.G. 2006. and this means that Pak Refinery is not found to be equal in Year 2005.C.D.12 Test for Equality of Means Between Series Return PkRfnry Sample: 1 30 Included observations: 30 Method df ANOVA F(4. µ4. therefore. found to be equal in year 2005-6-7-8-2009. 2009. and this means that O. Ho is rejected. 2006. therefore. found to be equal in year 2005-6-7-8-2009.70222 Probability 0 Explanation HO: µ1. µ5 H1: µ1≠µ≠2µ≠3µ≠4µ≠5 In the case of Return.569 Test for Equality of Means Between Series Sample: 1 30 Included observations: 30 Method df ANOVA F(4.13 Test for Equality of Means Between Return PSO Test for Equality of Means Between Risk PSO 41 . probability is 0%. µ3. In the case of Risk. µ2. Table 4. 2008. 2008. probability is 57%.G. Ho is rejected. µ3. 101) statistic Risk PkRfnry Value 20. 2007. therefore. 2009.C is not found to be equal in Year 2005. µ2. µ4. µ5 H1: µ1≠µ≠2µ≠3µ≠4µ≠5 In the case of Return. probability is 85%.Explanation: HO: µ1.

2009. The table shows that return in year 2005 of Atlas Battery is find to be -31% correlated with the return of Bank AlFalah in year 2005. 103) statistic Explanation: Value 0. 2006. The table shows that return in year 2005 of Atlas Battery is find to be -26% correlated with the return of Attock Cement in year 2005. 2007.202956 Probability 0. therefore.14 Explanation: It shows that return in year 2005 of Attock Cement is find to be 56% correlated with the return of Bank AlFalah in year 2005. this means that return of PSO.9362 Series Sample: 1 30 Included observations: 30 Method df ANOVA F(4. probability is 0%. 2008. therefore. probability is 94%.5. 4. 42 .64375 Probability 0 In the case of Return. In the case of Risk.5 Correlation 4. 103) statistic Value 16. Ho is rejected. found to be equal in year 2005-6-7-8-2009. and this means that PSO is not found to be equal in Year 2005. Ho is accepted.1 Correlation (Return) Table 4.Series Sample: 1 30 Included observations: 30 Method df ANOVA F(4.

The table shows that return in year 2005 Of JSCL is find to be -37% correlated with the return of Fauji Fertilizer in year 2005. . The table shows that return in year 2005 of Habib Securities is find to be 27% correlated with the return of Atlas Battery in year 2005. The table shows that return in year 2005 Of Indus Dying is find to be 4% correlated with the return of Bank AlFalah in year 2005. The table shows that return in year 2005 Of JSCL is find to be 71% correlated with the return of Habib Securities in year 2005. The table shows that return in year 2005 Of JSCL is find to be -1% correlated with the return of Atlas Battery in year 2005. The table shows that return in year 2005 Of JSCL is find to be -11% correlated with the return of Bank AlFalah in year 2005. The table shows that return in year 2005 Of Indus Dying is find to be -18% correlated with the return of Atlas Battery in year 2005. The table shows that return in year 2005 Of JSCL is find to be 25% correlated with the return of Indus Dying in year 2005. The table shows that return in year 2005 Of JSCL is find to be -68% correlated with the return of Attock Cement in year 2005. . 43 . The table shows that return in year 2005 Of Indus Dying is find to be -22% correlated with the return of Attock Cement in year 2005. The table shows that return in year 2005 of Fauji Fertilizer is find to be 67% correlated with the return of Attock Cement in year 2005. . The table shows that return in year 2005 of Habib Securities is find to be -50% correlated with the return of Fauji Fertilizer in year 2005. The table shows that return in year 2005 Of Indus Dying is find to be 35% correlated with the return of Habib Securities in year 2005. The table shows that return in year 2005 Of Indus Dying is find to be 15% correlated with the return of Fauji Fertilizer in year 2005.The table shows that return in year 2005 of Fauji Fertilizer is find to be 83% correlated with the return of Bank AlFalah in year 2005. . The table shows that return in year 2005 of Habib Securities is find to be -26% correlated with the return of Bank AlFalah in year 2005. The table shows that return in year 2005 of Habib Securities is find to be -66% correlated with the return of Attock Cement in year 2005. The table shows that return in year 2005 of Fauji Fertilizer is find to be -55% correlated with the return of Atlas Battery in year 2005.

The table shows that return in year 2005 Of PSO is find to be -56% correlated with the return of Attock Cement in year 2005. The table shows that return in year 2005 Of Pak Refinery is find to be 20% correlated with the return of Attock Cement in year 2005. The table shows that return in year 2005 Of OGDC is find to be 75% correlated with the return of JSCL in year 2005. The table shows that return in year 2005 Of Pak Refinery is find to be -18% correlated with the return of Atlas Battery in year 2005 The table shows that return in year 2005 Of Pak Refinery is find to be 35% correlated with the return of Fauji Fertilizer in year 2005. The table shows that return in year 2005 Of PSO is find to be -39% correlated with the return of Fauji Fertilizer in year 2005. The table shows that return in year 2005 Of Pak Refinery is find to be 8% correlated with the return of OGDC in year 2005. The table shows that return in year 2005 Of Pak Refinery is find to be 34% correlated with the return of Bank AlFalah in year 2005.The table shows that return in year 2005 Of OGDC is find to be -16% correlated with the return of Bank AlFalah in year 2005. The 44 . The table shows that return in year 2005 Of OGDC is find to be -40% correlated with the return of Fauji Fertilizer in year 2005. The table shows that return in year 2005 Of OGDC is find to be 88% correlated with the return of Habib Securities in year 2005. The table shows that return in year 2005 Of OGDC is find to be 8% correlated with the return of Atlas Battery in year 2005. The table shows that return in year 2005 Of Pak Refinery is find to be -24% correlated with the return of JSCL in year 2005. The table shows that return in year 2005 Of OGDC is find to be -66% correlated with the return of Attock Cement in year 2005.The table shows that return in year 2005 Of PSO is find to be 11% correlated with the return of Atlas Battery in year 2005. . The table shows that return in year 2005 Of Pak Refinery is find to be -27% correlated with the return of Indus Dying in year 2005. The table shows that return in year 2005 Of Pak Refinery is find to be -3% correlated with the return of Habib Securities in year 2005. The table shows that return in year 2005 Of OGDC is find to be -39% correlated with the return of Indus Dying in year 2005. The table shows that return in year 2005 Of PSO is find to be -24% correlated with the return of Bank AlFalah in year 2005.

45 . The table shows that return in year 2006 of Atlas Battery is find to be -22% correlated with the return of Bank AlFalah in year 2006.table shows that return in year 2005 Of PSO is find to be 81% correlated with the return of Habib Securities in year 2005.The table shows that return in year 2005 Of Pak Refinery is find to be 35% correlated with the return of Bank AlFalah in year 2005.15 Explanation: It shows that return in year 2006 of Attock Cement is find to be 5% correlated with the return of Bank AlFalah in year 2006. The table shows that return in year 2006 of Fauji Fertilizer is find to be 25% correlated with the return of Attock Cement in year 2006. The table shows that return in year 2006 of Atlas Battery is find to be 8% correlated with the return of Attock Cement in year 2006. The table shows that return in year 2005 Of PSO is find to be 84% correlated with the return of OGDC in year 2005.The table shows that return in year 2005 Of PSO is find to be 37% correlated with the return of JSCL in year 2005. The table shows that return in year 2006 of Fauji Fertilizer is find to be 26% correlated with the return of Bank AlFalah in year 2006.The table shows that return in year 2005 Of PSO is find to be 31% correlated with the return of Indus Dying in year 2005. The table shows that return in year 2006 of Fauji Fertilizer is find to be 17% correlated with the return of Atlas Battery in year 2006. Table 4.

The table shows that return in year 2006 Of OGDC is find to be 13% correlated with the return of Atlas Battery in year 2006. The table shows that return in year 2006 Of JSCL is find to be 74% correlated with the return of Atlas Battery in year 2006. The table shows that return in year 2006 of Habib Securities is find to be 29% correlated with the return of Attock Cement in year 2006. The table shows that return in year 2006 Of JSCL is find to be 25% correlated with the return of Bank AlFalah in year 2006. The table shows that return in year 2006 Of OGDC is find to be 41% correlated with the return of Bank AlFalah in year 2006. The table shows that return in year 2006 Of Indus Dying is find to be 17% correlated with the return of Attock Cement in year 2006. . The table shows that return in year 2006 Of JSCL is find to be 42% correlated with the return of Attock Cement in year 2006. The table shows that return in year 2006 Of OGDC is find to be 8% correlated with the return of Attock Cement in year 2006. The table shows that return in year 2006 Of Indus Dying is find to be 68% correlated with the return of Habib Securities in year 2006.The table shows that return in year 2006 Of JSCL is find to be 46% correlated with the return of Indus Dying in year 2006. The table shows that return in year 2006 Of Indus Dying is find to be 66% correlated with the return of Fauji Fertilizer in year 2006.The table shows that return in year 2006 Of JSCL is find to be 25% correlated with the return of Fauji Fertilizer in year 2006. The table shows that return in year 2006 Of Indus Dying is find to be 5% correlated with the return of Atlas Battery in year 2006. The table shows that return in year 2006 Of OGDC is find to be 93% correlated with the return of Fauji Fertilizer in year 2006. The table shows that return in year 2006 Of Indus Dying is find to be 43% correlated with the return of Bank AlFalah in year 2006. The table shows that return in year 2006 of Habib Securities is find to be 29% correlated with the return of Atlas Battery in year 2006.The table shows that return in year 2006 Of JSCL is find to be 42% correlated with the return of Habib Securities in year 2006. The table shows that return in year 2006 of Habib Securities is find to be 98% correlated with the return of Fauji Fertilizer in year 2006.The table shows that return in year 2006 of Habib Securities is find to be 32% correlated with the return of Bank AlFalah in year 2006. 46 .

The table shows that return in year 2006 Of OGDC is find to be 56% correlated with the return of Indus Dying in year 2006. The table shows that return in year 2006 Of PSO is find to be 86% correlated with the return of OGDC in year 2006. The table shows that return in year 2006 Of PSO is find to be 84% correlated with the return of Habib Securities in year 2006. The table shows that return in year 2006 Of Pak Refinery is find to be 32% correlated with the return of Indus Dying in year 2006.The table shows that return in year 2006 Of PSO is find to be -2% correlated with the return of JSCL in year 2006.The table shows that return in year 2006 Of OGDC is find to be 94% correlated with the return of Habib Securities in year 2006. The table shows that return in year 2006 Of Pak Refinery is find to be 74% correlated with the return of OGDC in year 2006. The table shows that return in year 2006 Of PSO is find to be 12% correlated with the return of Bank AlFalah in year 2006. .The table shows that return in year 47 . The table shows that return in year 2006 Of Pak Refinery is find to be -9% correlated with the return of JSCL in year 2006. The table shows that return in year 2006 Of OGDC is find to be 23% correlated with the return of JSCL in year 2006. The table shows that return in year 2006 Of Pak Refinery is find to be 5% correlated with the return of Attock Cement in year 2006. The table shows that return in year 2006 Of Pak Refinery is find to be -26% correlated with the return of Bank AlFalah in year 2006. The table shows that return in year 2006 Of PSO is find to be 91% correlated with the return of Fauji Fertilizer in year 2006.The table shows that return in year 2006 Of PSO is find to be 46% correlated with the return of Indus Dying in year 2006. The table shows that return in year 2006 Of Pak Refinery is find to be 15% correlated with the return of Atlas Battery in year 2006 The table shows that return in year 2006 Of Pak Refinery is find to be 83% correlated with the return of Fauji Fertilizer in year 2006.The table shows that return in year 2006 Of PSO is find to be 14% correlated with the return of Atlas Battery in year 2006. The table shows that return in year 2006 Of Pak Refinery is find to be 75% correlated with the return of Habib Securities in year 2006. The table shows that return in year 2006 Of PSO is find to be -11% correlated with the return of Attock Cement in year 2006.

The table shows that return in year 2007 of Atlas Battery is find to be -22% correlated with the return of Bank AlFalah in year 2007. The table shows that return in year 2007 of Habib Securities is find to be 79% correlated with the return of Fauji Fertilizer in year 2007. The table shows that return in year 2007 of Habib Securities is find to be 50% correlated with the return of Bank AlFalah in year 2007. The table shows that return in year 2007 of Fauji Fertilizer is find to be 18% correlated with the return of Atlas Battery in year 2007. Table 4. The table shows that return in year 2007 of Fauji Fertilizer is find to be 31% correlated with the return of Attock Cement in year 2007. The table shows that return in year 2007 of Habib Securities is find to be 46% correlated with the return of Atlas Battery in year 2007.2006 Of PSO is find to be 89% correlated with the return of Pak Refinery in year 2006. The table shows that return in year 2007 of Atlas Battery is find to be -14% correlated with the return of Attock Cement in year 2007.16 Explanation: It shows that return in year 2007 of Attock Cement is find to be 13% correlated with the return of Bank AlFalah in year 2007. 48 . The table shows that return in year 2007 of Fauji Fertilizer is find to be 28% correlated with the return of Bank AlFalah in year 2007. The table shows that return in year 2007 of Habib Securities is find to be 8% correlated with the return of Attock Cement in year 2007.

The table shows that return in year 2007 Of Indus Dying is find to be 56% correlated with the return of Bank AlFalah in year 2007.The table shows that return in year 2007 Of JSCL is find to be -6% correlated with the return of Indus Dying in year 2007. The table shows that return in year 2007 Of OGDC is find to be 5% correlated with the return of Attock Cement in year 2007.The table shows that return in year 2007 Of JSCL is find to be 20% correlated with the return of Habib Securities in year 2007. The table shows that return in year 2007 Of Indus Dying is find to be -22% correlated with the return of Atlas Battery in year 2007. The table shows that return in year 2007 Of Indus Dying is find to be 67% correlated with the return of Habib Securities in year 2007. The table shows that return in year 2007 Of OGDC is find to be 16% correlated with the return of Atlas Battery in year 2007. The table shows that return in year 2007 Of JSCL is find to be -42% correlated with the return of Attock Cement in year 2007. The table shows that return in year 2007 Of OGDC is find to be 73% correlated with the return of Habib Securities in year 2007. 49 . The table shows that return in year 2007 Of OGDC is find to be 94% correlated with the return of Fauji Fertilizer in year 2007. The table shows that return in year 2007 Of Indus Dying is find to be 24% correlated with the return of Attock Cement in year 2007. The table shows that return in year 2007 Of OGDC is find to be 73% correlated with the return of Indus Dying in year 2007.The table shows that return in year 2007 Of JSCL is find to be 14% correlated with the return of Atlas Battery in year 2007. The table shows that return in year 2007 Of OGDC is find to be 53% correlated with the return of JSCL in year 2007. The table shows that return in year 2007 Of OGDC is find to be 13% correlated with the return of Bank AlFalah in year 2007. The table shows that return in year 2007 Of Indus Dying is find to be 71% correlated with the return of Fauji Fertilizer in year 2007. The table shows that return in year 2007 Of JSCL is find to be -39% correlated with the return of Bank AlFalah in year 2007.The table shows that return in year 2007 Of JSCL is find to be 40% correlated with the return of Fauji Fertilizer in year 2007.

The table shows that return in year 2007 Of PSO is find to be 3% correlated with the return of Atlas Battery in year 2007. . Table 4. The table shows that return in year 2007 Of Pak Refinery is find to be 2% correlated with the return of OGDC in year 2007.The table shows that return in year 2007 Of PSO is find to be 28% correlated with the return of Pak Refinery in year 2007. The table shows that return in year 2007 Of Pak Refinery is find to be -30% correlated with the return of Attock Cement in year 2007. The table shows that return in year 2007 Of Pak Refinery is find to be 60% correlated with the return of Atlas Battery in year 2007 The table shows that return in year 2007 Of Pak Refinery is find to be 30% correlated with the return of Fauji Fertilizer in year 2007. The table shows that return in year 2007 Of PSO is find to be 95% correlated with the return of OGDC in year 2007.17 50 . The table shows that return in year 2007 Of Pak Refinery is find to be 28% correlated with the return of Indus Dying in year 2007. The table shows that return in year 2007 Of Pak Refinery is find to be 80% correlated with the return of Habib Securities in year 2007. The table shows that return in year 2007 Of PSO is find to be 91% correlated with the return of Fauji Fertilizer in year 2007.The table shows that return in year 2007 Of PSO is find to be 65% correlated with the return of JSCL in year 2007.The table shows that return in year 2007 Of Pak Refinery is find to be 53% correlated with the return of Bank AlFalah in year 2007.The table shows that return in year 2007 Of PSO is find to be 67% correlated with the return of Indus Dying in year 2007. The table shows that return in year 2007 Of Pak Refinery is find to be 5% correlated with the return of JSCL in year 2007. The table shows that return in year 2007 Of PSO is find to be -5% correlated with the return of Attock Cement in year 2007. The table shows that return in year 2007 Of PSO is find to be 22% correlated with the return of Bank AlFalah in year 2007. The table shows that return in year 2007 Of PSO is find to be 68% correlated with the return of Habib Securities in year 2007.

The table shows that return in year 51 . The table shows that return in year 2008 of Habib Securities is find to be 36% correlated with the return of Fauji Fertilizer in year 2008. The table shows that return in year 2008 of Fauji Fertilizer is find to be -27% correlated with the return of Atlas Battery in year 2008. The table shows that return in year 2008 of Habib Securities is find to be 28% correlated with the return of Bank AlFalah in year 2008. The table shows that return in year 2008 of Habib Securities is find to be 30% correlated with the return of Atlas Battery in year 2008. The table shows that return in year 2008 Of Indus Dying is find to be -9% correlated with the return of Bank AlFalah in year 2008. The table shows that return in year 2008 of Atlas Battery is find to be 18% correlated with the return of Attock Cement in year 2008. The table shows that return in year 2008 of Fauji Fertilizer is find to be 34% correlated with the return of Bank AlFalah in year 2008. The table shows that return in year 2008 of Fauji Fertilizer is find to be 10% correlated with the return of Attock Cement in year 2008. The table shows that return in year 2008 of Atlas Battery is find to be 13% correlated with the return of Bank AlFalah in year 2008.Explanation: It shows that return in year 2008 of Attock Cement is find to be 36% correlated with the return of Bank AlFalah in year 2008. The table shows that return in year 2008 of Habib Securities is find to be 32% correlated with the return of Attock Cement in year 2008.

2008 Of Indus Dying is find to be 26% correlated with the return of Attock Cement in year 2008. The table shows that return in year 2008 Of Indus Dying is find to be 24% correlated with the return of Fauji Fertilizer in year 2008. The table shows that return in year 2008 Of OGDC is find to be 53% correlated with the return of Indus Dying in year 2008. The table shows that return in year 2008 Of Pak Refinery is find to be 5% correlated with the return of Attock Cement in year 2008.The table shows that return in year 2008 Of JSCL is find to be -43% correlated with the return of Indus Dying in year 2008. The table shows that return in year 2008 Of OGDC is find to be -6% correlated with the return of Bank AlFalah in year 2008. The table shows that return in year 2008 Of Pak Refinery is find to be -26% correlated with the return of Bank AlFalah in year 2008. The table shows that return in year 2008 Of OGDC is find to be 15% correlated with the return of Attock Cement in year 2008. The table shows that return in year 2008 Of Pak Refinery is find to be 15% 52 . The table shows that return in year 2008 Of OGDC is find to be -3% correlated with the return of JSCL in year 2008.The table shows that return in year 2008 Of JSCL is find to be 71% correlated with the return of Atlas Battery in year 2008. The table shows that return in year 2008 Of JSCL is find to be 21% correlated with the return of Bank AlFalah in year 2008. The table shows that return in year 2008 Of OGDC is find to be 31% correlated with the return of Fauji Fertilizer in year 2008. The table shows that return in year 2008 Of JSCL is find to be -27% correlated with the return of Attock Cement in year 2008.The table shows that return in year 2008 Of JSCL is find to be -25% correlated with the return of Habib Securities in year 2008. The table shows that return in year 2008 Of OGDC is find to be 11% correlated with the return of Atlas Battery in year 2008. The table shows that return in year 2008 Of Indus Dying is find to be -10% correlated with the return of Atlas Battery in year 2008. The table shows that return in year 2008 Of Indus Dying is find to be 7% correlated with the return of Habib Securities in year 2008. The table shows that return in year 2008 Of OGDC is find to be 49% correlated with the return of Habib Securities in year 2008.The table shows that return in year 2008 Of JSCL is find to be -1% correlated with the return of Fauji Fertilizer in year 2008.

The table shows that return in year 2008 Of Pak Refinery is find to be 75% correlated with the return of Habib Securities in year 2008.The table shows that return in year 2008 Of PSO is find to be 46% correlated with the return of Indus Dying in year 2008. The table shows that return in year 2008 Of PSO is find to be 84% correlated with the return of Habib Securities in year 2008. The table shows that return in year 2008 Of PSO is find to be -11% correlated with the return of Attock Cement in year 2008.correlated with the return of Atlas Battery in year 2008 The table shows that return in year 2008 Of Pak Refinery is find to be 83% correlated with the return of Fauji Fertilizer in year 2008. The table shows that return in year 2008 Of PSO is find to be 12% correlated with the return of Bank AlFalah in year 2008. The table shows that return in year 2008 Of Pak Refinery is find to be -9% correlated with the return of JSCL in year 2008. The table shows that return in year 2008 Of PSO is find to be 91% correlated with the return of Fauji Fertilizer in year 2008. Table 4. The table shows that return in year 2008 Of PSO is find to be 89% correlated with the return of Pak Refinery in year 2008. The table shows that return in year 2008 Of Pak Refinery is find to be 32% correlated with the return of Indus Dying in year 2008.18 Explanation: 53 . .The table shows that return in year 2008 Of PSO is find to be -2% correlated with the return of JSCL in year 2008.The table shows that return in year 2008 Of PSO is find to be 14% correlated with the return of Atlas Battery in year 2008. The table shows that return in year 2008 Of Pak Refinery is find to be 74% correlated with the return of OGDC in year 2008.

The table shows that return in year 2009 Of Indus Dying is find to be -57% correlated with the return of Habib Securities in year 2009. The table shows that return in year 2009 Of Indus Dying is find to be 40% correlated with the return of Attock Cement in year 2009. The table shows that return in year 2009 of Fauji Fertilizer is find to be 83% correlated with the return of Atlas Battery in year 2009. The table shows that return in year 2009 of Fauji Fertilizer is find to be -67% correlated with the return of Bank AlFalah in year 2009. The table shows that return in year 2009 of Fauji Fertilizer is find to be 93% correlated with the return of Attock Cement in year 2009. The table shows that return in year 2009 of Atlas Battery is find to be -97% correlated with the return of Bank AlFalah in year 2009. The table shows that return in year 2009 Of Indus Dying is find to be 7% correlated with the return of Bank AlFalah in year 2009. The table shows that return in year 2009 of Habib Securities is find to be -86% correlated with the return of Bank AlFalah in year 2009. The table shows that return in year 2009 of Atlas Battery is find to be 98% correlated with the return of Attock Cement in year 2009. The table shows that return in year 2009 Of JSCL is find to be -46% correlated with the return of Bank AlFalah in year 2009. The table shows that return in year 2009 of Habib Securities is find to be 70% correlated with the return of Atlas Battery in year 2009. The table shows that return in year 2009 Of Indus Dying is find to be 70% correlated with the return of Fauji Fertilizer in year 2009.It shows that return in year 2009 of Attock Cement is found to be -89% correlated with the return of Bank AlFalah in year 2009. The table shows that return in year 2009 of Habib Securities is find to be 53% correlated with the return of Attock Cement in year 2009. The table shows that return in year 2009 Of 54 . The table shows that return in year 2009 Of Indus Dying is find to be 19% correlated with the return of Atlas Battery in year 2009. The table shows that return in year 2009 of Habib Securities is find to be 19% correlated with the return of Fauji Fertilizer in year 2009.

The table shows that return in year 2009 Of OGDC is find to be 100% correlated with the return of Atlas Battery in year 2009. The table shows that return in year 2009 Of OGDC is find to be 26% correlated with the return of Indus Dying in year 2009. The table shows that return in year 2009 Of Pak Refinery is find to be -46% correlated with the return of Bank AlFalah in year 2009. The table shows that return in year 2009 Of OGDC is find to be 65% correlated with the return of Habib Securities in year 2009. The table shows that return in year 2009 Of Pak Refinery is find to be 82% correlated with the return of Attock Cement in year 2009. The table shows that return in year 2009 Of Pak Refinery is find to be 72% correlated with the return of OGDC in year 2009. The table shows that return in year 2009 Of OGDC is find to be 87% correlated with the return of Fauji Fertilizer in year 2009. The table shows that return in year 2009 Of OGDC is find to be 72% correlated with the return of JSCL in year 2009.JSCL is find to be 81% correlated with the return of Attock Cement in year 2009. The table shows that return in year 2009 Of Pak Refinery is find to be -6% correlated with the return of Habib Securities in year 2009. 55 .The table shows that return in year 2009 Of JSCL is find to be 67% correlated with the return of Atlas Battery in year 2009. The table shows that return in year 2009 Of Pak Refinery is find to be 85% correlated with the return of Indus Dying in year 2009. The table shows that return in year 2009 Of Pak Refinery is find to be 67% correlated with the return of Atlas Battery in year 2009 The table shows that return in year 2009 Of Pak Refinery is find to be 97% correlated with the return of Fauji Fertilizer in year 2009.The table shows that return in year 2009 Of JSCL is find to be 97% correlated with the return of Fauji Fertilizer in year 2009. The table shows that return in year 2009 Of OGDC is find to be -95% correlated with the return of Bank AlFalah in year 2009. The table shows that return in year 2009 Of OGDC is find to be 99% correlated with the return of Attock Cement in year 2009. The table shows that return in year 2009 Of Pak Refinery is find to be 100% correlated with the return of JSCL in year 2009.The table shows that return in year 2009 Of JSCL is find to be -7% correlated with the return of Habib Securities in year 2009.The table shows that return in year 2009 Of JSCL is find to be 86% correlated with the return of Indus Dying in year 2009.

The table shows that return in year 2009 Of PSO is find to be -99% correlated with the return of Bank AlFalah in year 2009.19 Explanation: It shows that RISK in year 2005 of Attock Cement is found to be 12% correlated with the RISK of Bank AlFalah in year 2005.5. 4.The table shows that return in year 2009 Of PSO is find to be 8% correlated with the return of Indus Dying in year 2009. The table shows that RISK in year 2005 of Atlas Battery is find to be 19% correlated with the RISK of Bank AlFalah in year 2005. The table shows that return in year 2009 Of PSO is find to be 98% correlated with the return of OGDC in year 2009.The table shows that return in year 2009 Of PSO is find to be 58% correlated with the return of JSCL in year 2009.The table shows that return in year 2009 Of PSO is find to be 59% correlated with the return of Pak Refinery in year 2009. The table shows that RISK in year 2005 56 .2 Correlation (Risk) Table 4.The table shows that return in year 2009 Of PSO is find to be 99% correlated with the return of Atlas Battery in year 2009. The table shows that return in year 2009 Of PSO is find to be 77% correlated with the return of Habib Securities in year 2009. The table shows that return in year 2009 Of PSO is find to be 95% correlated with the return of Attock Cement in year 2009. . The table shows that return in year 2009 Of PSO is find to be 77% correlated with the return of Fauji Fertilizer in year 2009.

The table shows that RISK in year 2005 of Fauji Fertilizer is find to be 23% correlated with the RISK of Atlas Battery in year 2005. The table shows that RISK in year 2005 Of Indus Dying is find to be -29% correlated with the RISK of Fauji Fertilizer in year 2005.The table shows that RISK in year 2005 Of JSCL is find to be 41% correlated with the RISK of Fauji Fertilizer in year 2005. The table shows that RISK in year 2005 of Fauji Fertilizer is find to be 17% correlated with the RISK of Bank AlFalah in year 2005. The table shows that RISK in year 2005 Of JSCL is find to be 39% correlated with the RISK of Bank AlFalah in year 2005. The table shows that RISK in year 2005 Of Indus Dying is find to be -45% correlated with the RISK of Attock Cement in year 2005. The table shows that RISK in year 2005 of Habib Securities is find to be 45% correlated with the RISK of Fauji Fertilizer in year 2005.The table shows that RISK in year 2005 Of JSCL is find to be 39% correlated with the 57 .of Atlas Battery is find to be 17% correlated with the RISK of Attock Cement in year 2005. The table shows that RISK in year 2005 of Habib Securities is find to be -5% correlated with the RISK of Atlas Battery in year 2005. The table shows that RISK in year 2005 of Habib Securities is find to be 28% correlated with the RISK of Attock Cement in year 2005. The table shows that RISK in year 2005 Of JSCL is find to be 7% correlated with the RISK of Attock Cement in year 2005. The table shows that RISK in year 2005 Of Indus Dying is find to be -33% correlated with the RISK of Bank AlFalah in year 2005. The table shows that RISK in year 2005 of Habib Securities is find to be 47% correlated with the RISK of Bank AlFalah in year 2005. The table shows that RISK in year 2005 Of Indus Dying is find to be -36% correlated with the RISK of Habib Securities in year 2005. The table shows that RISK in year 2005 of Fauji Fertilizer is find to be 80% correlated with the RISK of Attock Cement in year 2005. The table shows that RISK in year 2005 Of Indus Dying is find to be 43% correlated with the RISK of Atlas Battery in year 2005.The table shows that RISK in year 2005 Of JSCL is find to be -10% correlated with the RISK of Atlas Battery in year 2005.

RISK of Habib Securities in year 2005. The table shows that RISK in year 2005 Of Pak Refinery is find to be 17% correlated with the RISK of Attock Cement in year 2005. The table shows that RISK in year 2005 Of Pak Refinery is find to be 4% correlated with the RISK of Atlas Battery in year 2005 The table shows that RISK in year 2005 Of Pak Refinery is find to be 5% correlated with the RISK of Fauji Fertilizer in year 2005. The table shows that RISK in year 2005 Of OGDC is find to be 25% correlated with the RISK of JSCL in year 2005. The table shows that RISK in year 2005 Of PSO is find to be 46% correlated with the RISK of Attock Cement in year 2005. The table shows that RISK in year 2005 Of Pak Refinery is find to be 42% correlated with the RISK of Bank AlFalah in year 2005. The table shows that RISK in year 2005 Of OGDC is find to be 34% correlated with the RISK of Bank AlFalah in year 2005. The table shows that RISK in year 2005 Of OGDC is find to be 69% correlated with the RISK of Habib Securities in year 2005. The table shows that RISK in year 2005 Of Pak Refinery is find to be 18% correlated with the RISK of Indus Dying in year 2005. The table shows that RISK in year 2005 Of OGDC is find to be -74% correlated with the RISK of Indus Dying in year 2005. The table shows that RISK in year 2005 Of PSO is find to be 31% correlated with the RISK of Bank AlFalah in year 2005. The table shows that RISK in year 2005 Of Pak Refinery is find to be -7% correlated with the RISK of Habib Securities in year 2005. The table shows that RISK in year 2005 Of OGDC is find to be 25% correlated with the RISK of Attock Cement in year 2005. The table shows that RISK in year 2005 Of OGDC is find to be -50% correlated with the RISK of Atlas Battery in year 2005. The table shows that RISK in year 2005 Of Pak Refinery is find to be -37% correlated with the RISK of OGDC in year 2005. The table shows that RISK in year 2005 Of Pak Refinery is find to be -39% correlated with the RISK of JSCL in year 2005.The table shows that RISK in year 2005 Of JSCL is find to be -8% correlated with the RISK of Indus Dying in year 2005. The table shows that RISK in year 2005 Of OGDC is find to be 19% correlated with the RISK of Fauji Fertilizer in year 2005.The table shows that RISK in year 2005 Of PSO is find to be -25% correlated with the RISK 58 .

The table shows that RISK in year 2005 Of PSO is find to be 46% correlated with the RISK of Fauji Fertilizer in year 2005. The table shows that RISK in year 2006 of Fauji Fertilizer is find to be 32% correlated with the RISK of Atlas Battery in year 2006.The table shows that RISK in year 2005 Of PSO is find to be -47% correlated with the RISK of Pak Refinery in year 2005. The table shows that RISK in year 2006 of Atlas Battery is find to be 22% correlated with the RISK of Attock Cement in year 2006. The table shows that RISK in year 2006 of Fauji Fertilizer is find to be 43% correlated with the RISK of Attock Cement in year 2006. The table shows that RISK in year 2006 of Fauji Fertilizer is find to be -9% correlated with the RISK of Bank AlFalah in year 2006. The table shows that RISK in year 2005 Of PSO is find to be -64% correlated with the RISK of Indus Dying in year 2005. The table shows that RISK in year 2005 Of PSO is find to be 89% correlated with the RISK of OGDC in year 2005. The table shows that RISK in year 2006 of Atlas Battery is find to be 27% correlated with the RISK of Bank AlFalah in year 2006.The table shows that RISK in year 2005 Of PSO is find to be 25% correlated with the RISK of JSCL in year 2005.of Atlas Battery in year 2005. The table shows that RISK in 59 . Table 4.20 Explanation: It shows that RISK in year 2006 of Attock Cement is found to be -52% correlated with the RISK of Bank AlFalah in year 2006. The table shows that RISK in year 2006 of Habib Securities is find to be 25% correlated with the RISK of Bank AlFalah in year 2006.

The table shows that RISK in year 2006 Of Indus Dying is find to be 56% correlated with the RISK of Fauji Fertilizer in year 2006. The table shows that RISK in year 2006 Of Indus Dying is find to be 67% correlated with the RISK of Habib Securities in year 2006.The table shows that RISK in year 2006 Of JSCL is find to be 38% correlated with the RISK of Atlas Battery in year 2006. The table shows that RISK in year 2006 60 . The table shows that RISK in year 2006 Of OGDC is find to be 63% correlated with the RISK of Habib Securities in year 2006. The table shows that RISK in year 2006 of Habib Securities is find to be 66% correlated with the RISK of Fauji Fertilizer in year 2006.The table shows that RISK in year 2006 Of JSCL is find to be 38% correlated with the RISK of Fauji Fertilizer in year 2006. The table shows that RISK in year 2006 Of Indus Dying is find to be 59% correlated with the RISK of Attock Cement in year 2006. The table shows that RISK in year 2006 Of JSCL is find to be -2% correlated with the RISK of Bank AlFalah in year 2006.The table shows that RISK in year 2006 Of JSCL is find to be 44% correlated with the RISK of Indus Dying in year 2006. The table shows that RISK in year 2006 Of Indus Dying is find to be 31% correlated with the RISK of Atlas Battery in year 2006. The table shows that RISK in year 2006 Of Indus Dying is find to be -7% correlated with the RISK of Bank AlFalah in year 2006. The table shows that RISK in year 2006 Of OGDC is find to be 74% correlated with the RISK of Fauji Fertilizer in year 2006.The table shows that RISK in year 2006 Of JSCL is find to be 62% correlated with the RISK of Habib Securities in year 2006. The table shows that RISK in year 2006 of Habib Securities is find to be 24% correlated with the RISK of Atlas Battery in year 2006. The table shows that RISK in year 2006 Of JSCL is find to be 79% correlated with the RISK of Attock Cement in year 2006. The table shows that RISK in year 2006 Of OGDC is find to be 7% correlated with the RISK of Attock Cement in year 2006.year 2006 of Habib Securities is find to be 59% correlated with the RISK of Attock Cement in year 2006. The table shows that RISK in year 2006 Of OGDC is find to be -45% correlated with the RISK of Atlas Battery in year 2006. The table shows that RISK in year 2006 Of OGDC is find to be 37% correlated with the RISK of Bank AlFalah in year 2006.

The table shows that RISK in year 2006 Of PSO is find to be 34% correlated with the RISK of Indus Dying in year 2006. The table shows that RISK in year 2006 Of Pak Refinery is find to be 80% correlated with the RISK of Indus Dying in year 2006.The table shows that RISK in year 2006 Of PSO is find to be 30% correlated with the RISK of JSCL in year 2006. The table shows that RISK in year 2006 Of Pak Refinery is find to be 24% correlated with the RISK of JSCL in year 2006.Of OGDC is find to be -36% correlated with the RISK of Indus Dying in year 2006. The table shows that RISK in year 2006 Of PSO is find to be 19% correlated with the RISK of Attock Cement in year 2006. 61 . The table shows that RISK in year 2006 Of Pak Refinery is find to be 51% correlated with the RISK of OGDC in year 2006.The table shows that RISK in year 2006 Of PSO is find to be -58% correlated with the RISK of Atlas Battery in year 2006. The table shows that RISK in year 2006 Of Pak Refinery is find to be -7% correlated with the RISK of Atlas Battery in year 2006 The table shows that RISK in year 2006 Of Pak Refinery is find to be 71% correlated with the RISK of Fauji Fertilizer in year 2006. The table shows that RISK in year 2006 Of PSO is find to be 83% correlated with the RISK of Fauji Fertilizer in year 2006. The table shows that RISK in year 2006 Of PSO is find to be 45% correlated with the RISK of Habib Securities in year 2006. The table shows that RISK in year 2006 Of Pak Refinery is find to be 45% correlated with the RISK of Attock Cement in year 2006. The table shows that RISK in year 2006 Of Pak Refinery is find to be -10% correlated with the RISK of Bank AlFalah in year 2006. The table shows that RISK in year 2006 Of OGDC is find to be 19% correlated with the RISK of JSCL in year 2006.The table shows that RISK in year 2006 Of PSO is find to be 50% correlated with the RISK of Pak Refinery in year 2006. The table shows that RISK in year 2006 Of PSO is find to be 10% correlated with the RISK of Bank AlFalah in year 2006. The table shows that RISK in year 2006 Of Pak Refinery is find to be 68% correlated with the RISK of Habib Securities in year 2006. The table shows that RISK in year 2006 Of PSO is find to be 90% correlated with the RISK of OGDC in year 2006.

The table shows that RISK in year 2007 of Atlas Battery is find to be -41% correlated with the RISK of Attock Cement in year 2007. The table shows that RISK in year 2007 of Atlas Battery is find to be 76% correlated with the RISK of Bank AlFalah in year 2007. The table shows that RISK in year 2007 of Habib Securities is find to be 59% correlated with the RISK of Fauji Fertilizer in year 2007.21 Explanation: It shows that RISK in year 2007 of Attock Cement is found to be -19% correlated with the RISK of Bank AlFalah in year 2007. 62 .Table 4. The table shows that RISK in year 2007 of Fauji Fertilizer is find to be 34% correlated with the RISK of Bank AlFalah in year 2007. The table shows that RISK in year 2007 of Habib Securities is find to be 65% correlated with the RISK of Bank AlFalah in year 2007. The table shows that RISK in year 2007 of Habib Securities is find to be 14% correlated with the RISK of Atlas Battery in year 2007. The table shows that RISK in year 2007 of Fauji Fertilizer is find to be -20% correlated with the RISK of Atlas Battery in year 2007. The table shows that RISK in year 2007 of Fauji Fertilizer is find to be 4% correlated with the RISK of Attock Cement in year 2007. The table shows that RISK in year 2007 of Habib Securities is find to be 30% correlated with the RISK of Attock Cement in year 2007.

The table shows that RISK in year 2007 Of OGDC is find to be 51% correlated with the RISK of Habib Securities in year 2007. The table shows that RISK in year 2007 Of Indus Dying is find to be 36% correlated with the RISK of Fauji Fertilizer in year 2007. The table shows that RISK in year 2007 Of OGDC is find to be 56% correlated with the RISK of Bank AlFalah in year 2007. The table shows that RISK in year 2007 Of JSCL is find to be 18% correlated with the RISK of Bank AlFalah in year 2007. The table shows that RISK in year 2007 Of Indus Dying is find to be -69% correlated with the RISK of Atlas Battery in year 2007. The table shows that RISK in year 2007 Of Pak Refinery is find to be 84% correlated with the RISK of Bank AlFalah in year 2007. The table shows that RISK in year 2007 Of JSCL is find to be 21% correlated with the RISK of Attock Cement in year 2007.The table shows that RISK in year 2007 Of JSCL is find to be 51% correlated with the RISK of Atlas Battery in year 2007.The table shows that RISK in year 2007 Of JSCL is find to be -41% correlated with the RISK of Indus Dying in year 2007.The table shows that RISK in year 2007 Of JSCL is find to be 8% correlated with the RISK of Habib Securities in year 2007. The table shows that RISK in year 2007 Of OGDC is find to be -45% correlated with the RISK of Attock Cement in year 2007.The table shows that RISK in year 2007 Of Indus Dying is find to be -44% correlated with the RISK of Bank AlFalah in year 2007. The table shows that RISK in year 2007 Of Indus Dying is find to be -14% correlated with the RISK of Habib Securities in year 2007. The table shows that RISK in year 2007 Of Indus Dying is find to be 24% correlated with the RISK of Attock Cement in year 2007. The table shows that RISK in year 2007 Of OGDC is find to be 71% correlated with the RISK of Fauji Fertilizer in year 2007.The table shows that RISK in year 2007 Of JSCL is find to be -17% correlated with the RISK of Fauji Fertilizer in year 2007. The table shows that RISK in year 2007 Of OGDC is find to be -28% correlated with the RISK of Indus Dying in year 2007. The table shows that RISK in year 2007 Of OGDC is find to be 13% correlated with the RISK of JSCL in year 2007. The table shows that RISK in year 2007 Of OGDC is find to be 32% correlated with the RISK of Atlas Battery in year 2007. The table shows that RISK in year 2007 63 .

Table 4. The table shows that RISK in year 2007 Of Pak Refinery is find to be 55% correlated with the RISK of Atlas Battery in year 2007 The table shows that RISK in year 2007 Of Pak Refinery is find to be 55% correlated with the RISK of Fauji Fertilizer in year 2007. The table shows that RISK in year 2007 Of PSO is find to be 18% correlated with the RISK of Attock Cement in year 2007.The table shows that RISK in year 2007 Of PSO is find to be -7% correlated with the RISK of Indus Dying in year 2007. The table shows that RISK in year 2007 Of PSO is find to be 73% correlated with the RISK of OGDC in year 2007. The table shows that RISK in year 2007 Of Pak Refinery is find to be 44% correlated with the RISK of JSCL in year 2007. The table shows that RISK in year 2007 Of Pak Refinery is find to be 81% correlated with the RISK of Habib Securities in year 2007.The table shows that RISK in year 2007 Of PSO is find to be 24% correlated with the RISK of Atlas Battery in year 2007.Of Pak Refinery is find to be 9% correlated with the RISK of Attock Cement in year 2007.22 64 . The table shows that RISK in year 2007 Of PSO is find to be 64% correlated with the RISK of Bank AlFalah in year 2007.The table shows that RISK in year 2007 Of PSO is find to be 83% correlated with the RISK of Pak Refinery in year 2007. The table shows that RISK in year 2007 Of PSO is find to be 82% correlated with the RISK of Fauji Fertilizer in year 2007. The table shows that RISK in year 2007 Of Pak Refinery is find to be -21% correlated with the RISK of Indus Dying in year 2007. The table shows that RISK in year 2007 Of PSO is find to be 70% correlated with the RISK of Habib Securities in year 2007.The table shows that RISK in year 2007 Of PSO is find to be 30% correlated with the RISK of JSCL in year 2007. The table shows that RISK in year 2007 Of Pak Refinery is find to be 62% correlated with the RISK of OGDC in year 2007.

The table shows that RISK in year 2008 of Fauji Fertilizer is find to be 3% correlated with the RISK of Attock Cement in year 2008.Explanation: It shows that RISK in year 2008 of Attock Cement is found to be -9% correlated with the RISK of Bank AlFalah in year 2008. The table shows that RISK in year 2008 65 . The table shows that RISK in year 2008 of Atlas Battery is find to be -20% correlated with the RISK of Attock Cement in year 2008. The table shows that RISK in year 2008 of Habib Securities is find to be 16% correlated with the RISK of Atlas Battery in year 2008. The table shows that RISK in year 2008 of Fauji Fertilizer is find to be -30% correlated with the RISK of Bank AlFalah in year 2008. The table shows that RISK in year 2008 of Fauji Fertilizer is find to be 11% correlated with the RISK of Atlas Battery in year 2008. The table shows that RISK in year 2008 of Atlas Battery is find to be 29% correlated with the RISK of Bank AlFalah in year 2008. The table shows that RISK in year 2008 of Habib Securities is find to be 26% correlated with the RISK of Bank AlFalah in year 2008. The table shows that RISK in year 2008 of Habib Securities is find to be -12% correlated with the RISK of Fauji Fertilizer in year 2008. The table shows that RISK in year 2008 of Habib Securities is find to be 53% correlated with the RISK of Attock Cement in year 2008. The table shows that RISK in year 2008 Of Indus Dying is find to be 12% correlated with the RISK of Bank AlFalah in year 2008.

The table shows that RISK in year 2008 Of Pak Refinery is find to be 66 . The table shows that RISK in year 2008 Of Indus Dying is find to be 10% correlated with the RISK of Fauji Fertilizer in year 2008. The table shows that RISK in year 2008 Of Indus Dying is find to be 21% correlated with the RISK of Habib Securities in year 2008. The table shows that RISK in year 2008 Of Pak Refinery is find to be -29% correlated with the RISK of Attock Cement in year 2008. The table shows that RISK in year 2008 Of OGDC is find to be -26% correlated with the RISK of Bank AlFalah in year 2008. The table shows that RISK in year 2008 Of JSCL is find to be -23% correlated with the RISK of Bank AlFalah in year 2008. The table shows that RISK in year 2008 Of OGDC is find to be 11% correlated with the RISK of JSCL in year 2008. The table shows that RISK in year 2008 Of OGDC is find to be 28% correlated with the RISK of Attock Cement in year 2008.Of Indus Dying is find to be 43% correlated with the RISK of Attock Cement in year 2008. The table shows that RISK in year 2008 Of OGDC is find to be 55% correlated with the RISK of Habib Securities in year 2008.The table shows that RISK in year 2008 Of JSCL is find to be -28% correlated with the RISK of Indus Dying in year 2008.The table shows that RISK in year 2008 Of JSCL is find to be 31% correlated with the RISK of Atlas Battery in year 2008. The table shows that RISK in year 2008 Of Indus Dying is find to be -32% correlated with the RISK of Atlas Battery in year 2008.The table shows that RISK in year 2008 Of JSCL is find to be 28% correlated with the RISK of Fauji Fertilizer in year 2008. The table shows that RISK in year 2008 Of OGDC is find to be --7% correlated with the RISK of Indus Dying in year 2008. The table shows that RISK in year 2008 Of JSCL is find to be -1% correlated with the RISK of Attock Cement in year 2008. The table shows that RISK in year 2008 Of OGDC is find to be -25% correlated with the RISK of Atlas Battery in year 2008. The table shows that RISK in year 2008 Of OGDC is find to be -19% correlated with the RISK of Fauji Fertilizer in year 2008. The table shows that RISK in year 2008 Of Pak Refinery is find to be 13% correlated with the RISK of Bank AlFalah in year 2008.The table shows that RISK in year 2008 Of JSCL is find to be -2% correlated with the RISK of Habib Securities in year 2008.

The table shows that RISK in year 2008 Of PSO is find to be 28% correlated with the RISK of Indus Dying in year 2008.39% correlated with the RISK of Atlas Battery in year 2008 The table shows that RISK in year 2008 Of Pak Refinery is find to be -2% correlated with the RISK of Fauji Fertilizer in year 2008. The table shows that RISK in year 2008 Of Pak Refinery is find to be 24% correlated with the RISK of Indus Dying in year 2008. The table shows that RISK in year 2008 Of Pak Refinery is find to be 7% correlated with the RISK of OGDC in year 2008.The table shows that RISK in year 2008 Of PSO is find to be -21% correlated with the RISK of JSCL in year 2008. The table shows that RISK in year 2008 Of Pak Refinery is find to be -9% correlated with the RISK of Habib Securities in year 2008. The table shows that RISK in year 2008 Of PSO is find to be 11% correlated with the RISK of OGDC in year 2008. The table shows that RISK in year 2008 Of PSO is find to be 23% correlated with the RISK of Habib Securities in year 2008. The table shows that RISK in year 2008 Of PSO is find to be 11% correlated with the RISK of Bank AlFalah in year 2008. The table shows that RISK in year 2008 Of PSO is find to be -62% correlated with the RISK of Fauji Fertilizer in year 2008. 67 . The table shows that RISK in year 2008 Of PSO is find to be 4% correlated with the RISK of Attock Cement in year 2008. The table shows that RISK in year 2008 Of Pak Refinery is find to be 18% correlated with the RISK of JSCL in year 2008.The table shows that RISK in year 2008 Of PSO is find to be 30% correlated with the RISK of Pak Refinery in year 2008.The table shows that RISK in year 2008 Of PSO is find to be -16% correlated with the RISK of Atlas Battery in year 2008.

all the returns of 2005. most of listed companies at KSE .2009 are equal. 2006. we found that the coefficient of Risk. we find out that . In our test.2008.71.TEST. Thus the test has been rejected. Durbin –Watson Statistics.2008.2009 are not equal.1 Conclusion In this study we make several contributions to our understanding of how investors can minimize their risk and maximize their returns. While applying the Test for Equality of Means Between Series.2006. This is done by the construction of a manager universe benchmark and volatility of each stock from its benchmark is analyzed. The risky ness of each stock of financial sector is measured to analyze whether small cap stocks of financial sector of Pakistan are more volatile or not as compare to large cap stocks. Test for Equality of Means Between series. 68 . is 1. In our case the R. above 1. While applying the Test for Equality of Means between Series. the return based performance of the companies of financial sector of Pakistan in stock market is examined. is positive but the statistically it is significant. which is not a good sign.Squared are 13%. Pooled Regression Test.2007. Correlation. risks . al the risks of 2005. For this analysis of variation. In our case Durbin Watson statistics.2007. all returns of 10 listed companies at KSE. which implies that there are very minor chances of error of auto correlation. various tools are used including F.5.Chapter V Conclusion and Recommendations 5. In this study. we find out that. R-Squared statistics.

they will be able to get higher returns as compared to large cap stocks. 69 . The long term average return of large cap stocks is higher than the average return of small cap stocks. 5. These results lead me to recommend that the investors who want to invest for long period of time pursuing minimum risk and high return. for the sake of continuing the working of this research. 2. Decisions for stock purchase should not be made by just considering the market value of equity: as the company’s other internal and external factors have high significance in determining stock returns. Purchase of common stock should be done when a company is up-grading itself: as it is the time when the company’s share price is lower and its future earnings will be more. 4. 3. So. the wrong decision regarding its stock purchase should not be made.These results supported the argument that small cap stocks of financial sector of Pakistan are more volatile as compared to large cap stocks which means that small cap stocks are more risky as compared to larger cap stocks. the crux is that large cap stocks are suitable for long term investments while small cap stocks are suitable for short term investments. 5. If annual sales of a company are high. A company high variation in the market value of equity should not be considered good for investment. Further researchers should be made on the topic.2 Recommendations 1. should invest in large cap stocks while those investors who want to invest for shorter period of time and are willing to take risk are recommended to invest in small cap stocks.

6. Software should be made which would be an easy predictor of stock returns on the basis of Market Value of Equity and other economic factors. 7. 70 . If a Company is having negative correlation of Market Value of Equity with EPS. because it may have bad future prospects. it should be avoided for investment.

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