Testing the CAPM-GARCH Models in the GCC-Wide Equity Sectors

Ali Bendob, Mohamed Chikhi and Fatma Bennaceur

Asian Journal of Economic Modelling, 2017, vol. 5, issue 4, 413-430

Abstract: This paper tests the conditional and non-conditional versions of the Capital Asset Pricing Model (CAPM) in Gulf Cooperation Council GCC capital markets -wide equity sectors upon daily data during the period from February 22ed 2007 to February 22ed 2012. In the empirical analysis, we used Generalized Autoregressive Conditional heteroscedasticity (GARCH) models with CAPM. Main findings seem to show that the CAPM-EGARCH (1.1) appears more advantages than the traditional CAPM at the sectors considered in this study. This approach can be improved and developed in order to be widely applied as this model takes into account shocks, especially in the crisis period where volatilities are very high.

Keywords: CAPM; Cost of equity capital; GARCH models; Conditional beta; GCC stock exchanges; Equity sectors. (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://archive.aessweb.com/index.php/5009/article/view/916/1391 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:asi:ajemod:v:5:y:2017:i:4:p:413-430:id:916

Access Statistics for this article

More articles in Asian Journal of Economic Modelling from Asian Economic and Social Society
Bibliographic data for series maintained by Robert Allen ().