Evidence in Support of the CAPM from Three South East Asian Stock Markets

Andrew Clare and Richard Priestly
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Andrew Clare: ISMA Centre, Department of Economics, University of Reading, Reading, UK
Richard Priestly: Department of Business Economics, Norwegian School of Management, Sandvika, Norway

Ekonomia, 1998, vol. 2, issue 2, 145-154

Abstract: Using data from three emerging South East Asian equity markets we find that there is a positive and significant relationship between â and average stock returns in these markets. These results are in sharp contrast to recent results in the US (see Fama and French (1992)) and in previous studies of South East Asian stock markets (see Cheung and Wong (1992), Wong and Tan (1991) and Cheung, Wong and ho (1993)). We attribute this result to the one/step estimation technique employed here. Furthermore, we find that a domestic version of the CAPM for these three markets can be augmented by a proxy for world risk.

JEL-codes: G0 G1 (search for similar items in EconPapers)
Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:ekn:ekonom:v:2:y:1998:i:2:p:145-154

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