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:	Wong, Wang Ling
Format:	Thesis
Language:	English
Published:	2012
Subjects:	HG Finance
Online Access:	http://ir.unimas.my/id/eprint/9067/2/Wang%28fulltext%29.pdf
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id	my-unimas-ir.9067
record_format	uketd_dc
spelling	my-unimas-ir.90672023-05-18T08:25:44Z Risk and return relationship in Malaysian finance sector: empirical evidence from capm 2012 Wong, Wang Ling HG Finance 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. Universiti Malaysia Sarawak, (UNIMAS) 2012 Thesis http://ir.unimas.my/id/eprint/9067/ http://ir.unimas.my/id/eprint/9067/2/Wang%28fulltext%29.pdf text en validuser masters Universiti Malaysia Sarawak, (UNIMAS) Faculty of Economics and Business
institution	Universiti Malaysia Sarawak
collection	UNIMAS Institutional Repository
language	English
topic	HG Finance
spellingShingle	HG Finance Wong, Wang Ling Risk and return relationship in Malaysian finance sector: empirical evidence from capm
description	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.
format	Thesis
qualification_level	Master's degree
author	Wong, Wang Ling
author_facet	Wong, Wang Ling
author_sort	Wong, Wang Ling
title	Risk and return relationship in Malaysian finance sector: empirical evidence from capm
title_short	Risk and return relationship in Malaysian finance sector: empirical evidence from capm
title_full	Risk and return relationship in Malaysian finance sector: empirical evidence from capm
title_fullStr	Risk and return relationship in Malaysian finance sector: empirical evidence from capm
title_full_unstemmed	Risk and return relationship in Malaysian finance sector: empirical evidence from capm
title_sort	risk and return relationship in malaysian finance sector: empirical evidence from capm
granting_institution	Universiti Malaysia Sarawak, (UNIMAS)
granting_department	Faculty of Economics and Business
publishDate	2012
url	http://ir.unimas.my/id/eprint/9067/2/Wang%28fulltext%29.pdf
_version_	1783728023575461888

Risk and return relationship in Malaysian finance sector: empirical evidence from capm

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