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This study is provides some guidelines indicating how to estimate beta (systematic risk) for companies listed on the Bahrain Bourse. Several estimation techniques were used to estimate beta. The methodology suggested by Fama and MacBeth (1973) for testing the CAPM based on cross-section analysis is used. Several problems are identified which require attention when estimating beta of companies listed on the Bahrain Stock Exchange. These are the intervals of rate return, the length of the estimation period, the best procedure to control for thin trading, the market index that should be used to estimate beta and the stability of beta estimates over time. The present study uses rates of return for different intervals (daily, weekly and monthly) for the period between January 2007 and December 2011 for 39 companies to test a number of hypotheses. The results of various tests show the following: 1) the estimated betas are insensitive to the length of period used; 2) the impact of return intervals on estimated betas is not significant ; 3) betas estimated using the All-Share Index and the MCSI are not significantly different from each other; 4) the estimated betas based on weekly data do not depend on the day of the week chosen to calculate the rate of returns; and 5) the impact of thin trading on beta depends on the method used to account for thin trading.

Beta Estimation and Thin Trading: Evidence from Bahrain Bourse