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The Myth of Downside Risk Based Capital Asset Pricing Model: Empirical Evidence from South Asian Countries

Author

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  • Syed Aziz Rasool

    (PhD Scholar, Department of Economics, Federal Urdu University of Arts, Science and Technology, Islamabad, Pakistan.)

  • Adiqa Kausar Kiani

    (Associate Professor, Department of Economics, Federal Urdu University of Arts, Science & Technology, Islamabad. Pakistan.)

  • Noor Jehan

    (Assistant Professor, Department of Economics, Abdul Wali Khan University Mardan, Mardan, KP, Pakistan.)

Abstract

The study aims to empirically investigate the applicability of the downside risk based Capital Asset Pricing Model (CAPM) for four south Asian countries e.g. Bangladesh, India, Pakistan and Sri Lanka. Fama-MacBeth methodology is used for monthly data from January 2007 to December 2017. The results partially supported the predictors of the model for all the four equity markets and can be concluded that the downside risk based CAPM better suits the emerging equity markets. All market players may be benefited with the results concluded in the study. The region have large similarities and the setup of the equity markets is also quite identical, making them suitable for an integrated stock market.

Suggested Citation

  • Syed Aziz Rasool & Adiqa Kausar Kiani & Noor Jehan, 2018. "The Myth of Downside Risk Based Capital Asset Pricing Model: Empirical Evidence from South Asian Countries," Global Social Sciences Review, Humanity Only, vol. 3(3), pages 265-280, September.
    • Handle: RePEc:gss:journl:v:3:y:2018:i:3:p:265-280
    DOI: 10.31703/gssr.2018(III-III).15
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    More about this item

    Keywords

    Downside Risk; CAPM; Fama-MacBeth; PSE; BSE; CSE; DSE;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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