Modeling and assessing systematic risk in stock markets in major oil exporting countries

Introduction. This paper aims to assess time variability of beta coefficients (systematic risk) Capital Asset Pricing Model (CAPM) using data from five key sectors in Saudi Arabia and Kuwait stock markets. Material methods. To – varying systematic risk we employed symmetric as well asymmetric conditional volatility specifications account for skewness leptkurtosis high frequency financial series better specify higher moments. Results & discussions. The results the support significant evidence time-varying all included study, particular banking sector, relatively with a lesser degree ,the food, service both countries. For sector Arabia, during sample period estimated between (0.18 22.1), also market coefficient (0.16 22.1). result invalidates, at least context country’s sectors, standard application that assumes constant coefficients. Also indicated paper, estimates are consistent modified version CAPM prediction is portfolios wider range variations expected yield return values those lower returns. Conclusion. In this new context, no longer point estimate implied by model, but it values. Our findings show size sensitive fat tailedness characterize asset returns distribution.