Multiscale test of CAPM for three Central and Eastern European stock markets

Multiscale test of CAPM for three Central and Eastern European stock markets

This paper examines the systematic risk and validity of the basic capital asset pricing model of Sharpe (1964), Lintner (1965) and Mossin (1966) in three Central and Eastern European stock markets (i.e. Slovenia, Hungary and Czech Republic). The CAPM is tested on a multiscale basis, building on the...

Full description

Bibliographic Details
Main Authors:	Silvo Dajčman, Mejra Festić, Alenka Kavkler
Format:	Article
Language:	English
Published:	Vilnius Gediminas Technical University 2013-02-01
Series:	Journal of Business Economics and Management
Subjects:	stock market CAPM Central and Eastern Europe wavelet analysis generalized method of moments systematic risk
Online Access:	https://journals.vgtu.lt/index.php/JBEM/article/view/3702

Similar Items

Long memory in the Croatian and Hungarian stock market returns
by: Silvo Dajčman, et al.
Published: (2012-06-01)

Wavelet-based systematic risk estimation: application on GCC stock markets: the Saudi Arabia case
by: Anouar Ben Mabrouk
Published: (2020-12-01)

Testing the CAPM Model : A study of the Chinese Stock Market
by: Xu, Donghui, et al.
Published: (2007)

Testing for regime-switching CAPM on Zagreb Stock Exchange
by: Tihana Škrinjarić
Published: (2014-12-01)

CAPM modelio testavimas
by: Aleksienė, Sandra
Published: (2004)

Comparing CAPM and APT in the Chinese Stock Market
by: Zhang, Lina, et al.
Published: (2012)

Stocks Investment Decision Making Capital Asset Pricing Model (CAPM)
by: Erric Wijaya, Alecia Ferrari
Published: (2020-03-01)

IT - Bubblan och CAPM
by: Sidestål, Jesper, et al.
Published: (2005)

Empirical study on CAPM on China stock market
by: Zhou, Taoyuan, et al.
Published: (2018)

Another look at the CAPM in South Africa: The influence of bull and bear markets
by: Ailie Charteris
Published: (2014-07-01)

Contraste empírico del CAPM en el mercado accionario chileno Empirical test of the CAPM in the Chilean stock market
by: Carlos A Díaz Contreras, et al.
Published: (2012-08-01)

Evaluating Value at Risk with Using Wavelet Analysis Case Study: Tehran Stock Exchange
by: sadeghi sadeghi, et al.
Published: (2014-05-01)

Dependence between Croatian and European stock markets – A copula GARCH approach
by: Silvo Dajčman
Published: (2013-12-01)

ECONOMIC GROWTH AND TAXATION IN CENTRAL AND EASTERN EUROPE
by: Cristina BOROVINA (COJOCARU)
Published: (2016-05-01)

The Possibility of Central and Eastern European Countries' Joining the EMU: Prospects and Implications for Korea
by: Jeong-Cheol Han
Published: (1999-03-01)

Estimação do CAPM intertemporal com ações da BOVESPA
by: Leandro de Oliveira Almeida
Published: (2010)

Estimação do CAPM intertemporal com ações da BOVESPA
by: Almeida, Leandro de Oliveira
Published: (2010)

What is Behind Extreme Negative Returns co-movement in the South Eastern European Stock Markets?
by: Dragan Tevdovski, et al.
Published: (2021-03-01)

Applying an international CAPM to herding behaviour model for integrated stock markets
by: Najmudin Najmudin, et al.
Published: (2017-12-01)

Further evidence on the validity of CAPM: The Warsaw Stock Exchange application
by: Lesław Markowski
Published: (2020-03-01)

The Effect of COVID-19 on Herding Behavior in Eastern European Stock Markets
by: Hao Fang, et al.
Published: (2021-07-01)

Financial Intermediation and Economic Development in 12 Central and Eastern European Economies
by: Bakar, Eric S
Published: (2017)

Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012
by: Lucas Lucio Godeiro
Published: (2013-06-01)

TESTING THE CAPM FOR THE BRAZILIAN STOCK MARKET USING MULTIVARIATE GARCH BETWEEN 1995 AND 2012
by: Lucas Lucio Godeiro
Published: (2013-01-01)

Book received: Jerzy Malinowski (ed.), History of Art History in Central, Eastern and South-Eastern Europe, 2 vols, Toruń: Society of Modern Art and Tako Publishing House, 2012
by: Jerzy Malinowski (ed.)
Published: (2012-12-01)

COMPARISON OF COMPANIES’ STOCK RETURNS BETWEEN CONSUMER SECTOR AND CONSTRUCTION SECTOR ON THE INDONESIA STOCK EXCHANGE
by: Christian Christian, et al.
Published: (2018-10-01)

Characteristics of acquisitions in the Central and Eastern European economies in transition
by: Matej Lahovnik
Published: (2000-01-01)

Beta through the prism of wavelets
by: Aasif Shah, et al.
Published: (2018-08-01)

The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe
by: Simona Moagăr-Poladian, et al.
Published: (2019-07-01)

[en] PERFORMANCE OF APT AND CAPM IN THE BRAZILIAN STOCK MARKET
by: CAROLINA SANTOS BRANDAO
Published: (2014)

Testando empiricamente o CAPM condicional dos retornos esperados de carteiras dos mercados brasileiro, argentino e norte-americano Empirical test of the conditional CAPM model using expected returns of brazilian, argentine and north-american portfolios
by: Elmo Tambosi Filho, et al.
Published: (2007-12-01)

CAPM (Capital Asset Pricing Model) with Stable Distribution
by: Dedi Rosadi
Published: (2010-07-01)

Test Of Capital Asset Pricing Model On Stocks At Karachi Stock Exchange
by: Arbab Khalid Cheema
Published: (2010-12-01)

Generalização do CAPM aplicada ao cálculo do custo de capital do setor de telefonia fixa do Brasil.
by: Caimi Franco Reis
Published: (2006)

Agriculture of central and eastern European countries in the European Union
by: Redžepagić Srđan
Published: (2006-01-01)

Liquidity-adjusted CAPM — An empirical analysis on Indian stock market
by: Gaurav Kumar, et al.
Published: (2019-01-01)

The holiday effect in the Central and Eastern European financial markets
by: Gakhovich, Alexander
Published: (2011)

Portfolio Optimization, CAPM & Factor Modeling Project
by: Zhou, Jie
Published: (2012)

CAPM usando uma carteira sintética do PIB Brasileiro
by: Araújo Eurilton, et al.
Published: (2006-01-01)

Europe in Movement: Migration from and into Eastern and Central Europe
by: Marek Okólski
Published: (2009-01-01)