کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5085240 | 1477939 | 2010 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Time varying size and liquidity effects in South Asian equity markets: A study of blue-chip industry stocks
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper contrasts the performance of the Capital Asset Pricing Model (CAPM) augmented by size and liquidity factors with its time varying coefficient counterpart, using a unique market universe compiled from constituent stocks of blue chip indices BSE-100 (India), KSE-30 (Pakistan), DSE-20 (Bangladesh) and Dow Jones Titans (Sri Lanka). The evidence suggests that substantial size and liquidity effects are present in all markets with the exception of Sri Lanka. Time varying liquidity beta profiles reveal that the financial sectors of all South Asian markets have been affected by the 2008 financial crisis with exception of Sri Lanka where the market is influenced by the prolonged civil war.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 19, Issue 4, September 2010, Pages 242-257
Journal: International Review of Financial Analysis - Volume 19, Issue 4, September 2010, Pages 242-257
نویسندگان
Bruce Hearn,