On risk-return relationship: an application of GARCH (p,q)-M model to Asia _ Pacific region

Article


Yakob, Noor Azuddin and Delpachitra, Sarath. 2007. "On risk-return relationship: an application of GARCH (p,q)-M model to Asia _ Pacific region." International Journal of Science and Research. 2 (1), pp. 33-39.
Article Title

On risk-return relationship: an application of GARCH (p,q)-M model to Asia _ Pacific region

Article CategoryArticle
AuthorsYakob, Noor Azuddin (Author) and Delpachitra, Sarath (Author)
Journal TitleInternational Journal of Science and Research
Journal Citation2 (1), pp. 33-39
Number of Pages7
Year2007
Place of PublicationGlev Waverley, Vic. Australia
Web Address (URL)http://www.international.org.au/ijsr.htm
Abstract

Despite the criticisms on the validity of the CAPM, finance researchers continue to adopt the model in trying to describe the relationship between risk and return. The introduction of the GARCH(p,q)-M model provides an avenue for testing the model within the time-varying variance framework. This study employs the same model to address the issue within ten selected Asia Pacific countries. The result, though not comprehensive, shows that the CAPM still holds in explaining the risk-return relationship in China and Malaysia. The significant positive risk parameter coefficient suggests a positive linear relationship which indicates that investors are compensated for assuming high risk. Judging by the significant finding in China and Malaysia, this study provides evidence that the conditional CAPM is a useful tool for decision making in investments and corporate finance.

KeywordsRisk return relationship, GARCH, Asia Pacifc stock markets
ANZSRC Field of Research 2020350208. Investment and risk management
380203. Economic models and forecasting
Public Notes

Copyright ISJR. Published version available in USQ ePrints with permission of publisher, for non-profit and academic purposes.

Byline AffiliationsDepartment of Finance and Banking
Department of Business
Permalink -

https://research.usq.edu.au/item/9y756/on-risk-return-relationship-an-application-of-garch-p-q-m-model-to-asia-pacific-region

Download files


Published Version
  • 2270
    total views
  • 736
    total downloads
  • 0
    views this month
  • 0
    downloads this month

Export as

Related outputs

Which consumer debtors decide to enter a Part IX agreement?
Beal, Diana, Delpachitra, Sarath, Mason, Rosalind and Troedson, David. 2004. "Which consumer debtors decide to enter a Part IX agreement?" Australian Business Law Review. 32 (1), pp. 7-16.
Activity-based costing and process benchmarking: an application to general insurance
Delpachitra, Sarath. 2008. "Activity-based costing and process benchmarking: an application to general insurance." Benchmarking: an international journal. 15 (2), pp. 137-147. https://doi.org/10.1108/14635770810864857
Process benchmarking: an application to lending products
Delpachitra, Sarath and Beal, Diana. 2002. "Process benchmarking: an application to lending products." Benchmarking: an international journal. 9 (4), pp. 409-420. https://doi.org/10.1108/14635770210442725
Factors influencing planning for retirement
Delpachitra, Sarath and Beal, Diana. 2002. "Factors influencing planning for retirement." Economic Papers: a journal of applied economics and policy. 21 (3), pp. 1-13.
Financial literacy among Australian university students
Beal, Diana and Delpachitra, Sarath. 2003. "Financial literacy among Australian university students." Economic Papers: a journal of applied economics and policy. 22 (1), pp. 65-78.
An electronic commerce initiative in regional Sri Lanka: the vision for the central province electronic commerce portal
Lane, Michael S., Van Der Vyver, Glen, Delpachitra, Sarath and Howard, Srecko. 2004. "An electronic commerce initiative in regional Sri Lanka: the vision for the central province electronic commerce portal." The Electronic Journal of Information Systems in Developing Countries. 16 (1), pp. 1-18.
Seasonality in the Asia Pacific stock markets
Yakob, Noor Azuddin, Beal, Diana and Delpachitra, Sarath. 2005. "Seasonality in the Asia Pacific stock markets." The Journal of Asset Management. 6 (4), pp. 298-318.
Risk-return relationship from the Asia Pacific perspective
Yakob, Noor Azuddin, Beal, Diana and Delpachitra, Sarath. 2005. "Risk-return relationship from the Asia Pacific perspective." Daly, Kevin (ed.) 3rd Financial Markets Asia-Pacific Conference. Sydney, Australia 26 - 27 May 2005 Sydney, Australia.
Banking in the bush (1993-2003): a decade of change
Beal, Diana and Delpachitra, Sarath. 2005. "Banking in the bush (1993-2003): a decade of change." Economic Papers: a journal of applied economics and policy. 24 (1), pp. 61-74.
Disclosure, hidden charges and indexed pensions
Beal, Diana, Delpachitra, Sarath and Grundy, Bruce. 2005. "Disclosure, hidden charges and indexed pensions." Agenda: a journal of policy analysis and reform. 12 (1), pp. 33-46.