On risk-return relationship: an application of GARCH (p,q)-M model to Asia _ Pacific region
Article
Article Title | On risk-return relationship: an application of GARCH (p,q)-M model to Asia _ Pacific region |
---|---|
Article Category | Article |
Authors | Yakob, Noor Azuddin (Author) and Delpachitra, Sarath (Author) |
Journal Title | International Journal of Science and Research |
Journal Citation | 2 (1), pp. 33-39 |
Number of Pages | 7 |
Year | 2007 |
Place of Publication | Glev 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. |
Keywords | Risk return relationship, GARCH, Asia Pacifc stock markets |
ANZSRC Field of Research 2020 | 350208. 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 Affiliations | Department of Finance and Banking |
Department of Business |
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
2335
total views794
total downloads0
views this month1
downloads this month