Beta as a measure of risk has serious drawbacks, particularly in emerging markets. You need to consider alternative risk metrics (cost-of-capital build-up method or volatility, for example), or if you do use beta consider what the market index refers to and the composition of that index.
This paper actually happens to touch on beta estimation and uses Brazil's Bovespa as an illusration.
Here's a choice excerpt:
"The good fit is deceptive, however. Telebras is 40% or more of the Bovespa, and this has
some strange consequences. The first is that the beta estimates for all other Brazilian
stocks essentially become regressions of those stocks against Telebras, rather than a
diversified stock index. The second is that more than 90% of all stocks on the Brazilian index were reporting betas less than one at the time of this regression. Since it is the weighted average beta that is one, and Telebras has a beta greater than one, this
asymmetry in beta estimates becomes possible. The third and most troubling consequence
is that it is the smallest, riskiest companies in the Brazilian market that have the lowest
betas, while the largest and most estabilished firms have the highest betas."