Risk and investment decisions in stock markets: evidence from four Asian countries

Syed Raza, Syed Tehseen Jawaid and Adeel Hussain

International Journal of Managerial and Financial Accounting, 2014, vol. 6, issue 3, 227-250

Abstract: This study investigates the validity and acceptability of capital asset pricing model (CAPM) in four different stock exchanges of Asian countries. The paired sample t-test is applied to find the difference between actual and expected returns. Results confirm that CAPM accurately predict the expected returns of both short and long-term investments in Asian markets. It is recommended that those investors, who are risk taker and wish to invest on long-term basis, must consider securities listed in JKT 30, SSE 50 and HSE 35 indices. Short-term risk taker investor must consider securities listed in SSE 50 and JKT 30 indices. Those investors who are risk neutral and wish to invest on long-term basis must consider securities listed in KLSE 30 index. Short-term risk neutral investors must consider securities listed in KLSE 30 and HSE 35.

Keywords: capital asset pricing model; CAPM; risk taking; risk-free rate; portfolio investment; investment decisions; stock markets; risk neutral; Indonesia; Malaysia; China; Hong Kong. (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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