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...
Saved in:
| 主要作者: | |
|---|---|
| 格式: | Thesis |
| 语言: | English |
| 出版: |
2012
|
| 主题: | |
| 在线阅读: | http://ir.unimas.my/id/eprint/9067/2/Wang%28fulltext%29.pdf |
| 标签: |
添加标签
没有标签, 成为第一个标记此记录!
|
| 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 |