http://dx.doi.org/10.31703/gssr.2018(III-III).15
10.31703/gssr.2018(III-III).15
Published : Sep 2018
The Myth of Downside Risk Based Capital Asset Pricing Model: Empirical Evidence from South Asian Countries
The study aims to empirically investigate the applicability of the downside risk based Capital Asset Pricing Model (CAPM) for four south Asian countries e.g. Bangladesh, India, Pakistan and Sri Lanka. Fama-MacBeth methodology is used for monthly data from January 2007 to December 2017. The results partially supported the predictors of the model for all the four equity markets and can be concluded that the downside risk based CAPM better suits the emerging equity markets. All market players may be benefited with the results concluded in the study. The region have large similarities and the setup of the equity markets is also quite identical, making them suitable for an integrated stock market.
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Downside Risk, CAPM, Fama-MacBeth, PSE, BSE, CSE, DSE
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(1) Syed Aziz Rasool
PhD Scholar, Department of Economics, Federal Urdu University of Arts, Science and Technology, Islamabad, Pakistan.
(2) Adiqa Kausar Kiani
Associate Professor, Department of Economics, Federal Urdu University of Arts, Science & Technology, Islamabad. Pakistan.
(3) Noor Jehan
Assistant Professor, Department of Economics, Abdul Wali Khan University Mardan, Mardan, KP, Pakistan.
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Cite this article
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APA : Rasool, S. A., Kiani, A. K., & Jehan, N. (2018). The Myth of Downside Risk Based Capital Asset Pricing Model: Empirical Evidence from South Asian Countries. Global Social Sciences Review, III(III), 265-280. https://doi.org/10.31703/gssr.2018(III-III).15
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CHICAGO : Rasool, Syed Aziz, Adiqa Kausar Kiani, and Noor Jehan. 2018. "The Myth of Downside Risk Based Capital Asset Pricing Model: Empirical Evidence from South Asian Countries." Global Social Sciences Review, III (III): 265-280 doi: 10.31703/gssr.2018(III-III).15
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HARVARD : RASOOL, S. A., KIANI, A. K. & JEHAN, N. 2018. The Myth of Downside Risk Based Capital Asset Pricing Model: Empirical Evidence from South Asian Countries. Global Social Sciences Review, III, 265-280.
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MHRA : Rasool, Syed Aziz, Adiqa Kausar Kiani, and Noor Jehan. 2018. "The Myth of Downside Risk Based Capital Asset Pricing Model: Empirical Evidence from South Asian Countries." Global Social Sciences Review, III: 265-280
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MLA : Rasool, Syed Aziz, Adiqa Kausar Kiani, and Noor Jehan. "The Myth of Downside Risk Based Capital Asset Pricing Model: Empirical Evidence from South Asian Countries." Global Social Sciences Review, III.III (2018): 265-280 Print.
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OXFORD : Rasool, Syed Aziz, Kiani, Adiqa Kausar, and Jehan, Noor (2018), "The Myth of Downside Risk Based Capital Asset Pricing Model: Empirical Evidence from South Asian Countries", Global Social Sciences Review, III (III), 265-280
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TURABIAN : Rasool, Syed Aziz, Adiqa Kausar Kiani, and Noor Jehan. "The Myth of Downside Risk Based Capital Asset Pricing Model: Empirical Evidence from South Asian Countries." Global Social Sciences Review III, no. III (2018): 265-280. https://doi.org/10.31703/gssr.2018(III-III).15