Risk and return relationship in Malaysian finance sector: empirical evidence from capm
ThiS study examines the applicability of Capital Assets Pricing Model (CAPM) in explaining the risk and return relationship of the Malaysian stock market. The analysis of monthly stock market closing indexes from January 2005 to December 2010 using linear regression method was carried out on the s...
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| Main Author: | |
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| Format: | Thesis |
| Language: | English |
| Published: |
2012
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/9067/2/Wang%28fulltext%29.pdf |
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| Summary: | ThiS study examines the applicability of Capital Assets Pricing Model (CAPM) in explaining the risk and return relationship of the Malaysian stock market. The
analysis of monthly stock market closing indexes from January 2005 to December
2010 using linear regression method was carried out on the standard CAPM model
with constant be0 The results revealed that the standard CAPM model is
statistically significant. Test results indicate that this model demonstrated excess
return of the stock is depending on systematic market risk. This study examined a
conditional relationship between risk and returns during market's up and down. The
study also found that linear regression indicates moderate explanatory power of beta
for the excess return. |
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