IDEAS home Printed from https://ideas.repec.org/a/icf/icfjfe/v06y2008i2p86-101.html
   My bibliography  Save this article

Empirical Tests of Capital Asset Pricing Model: The Case of Indian Stock Markets

Author

Listed:
  • Harish Kumar Singla

Abstract

The present study aims to see whether the Capital Asset Pricing Model (CAPM) offers an appropriate explanation of stock returns in the Indian capital markets and whether higher risk (beta) brings higher level of return. The sample in the present study consists of 320 actively traded scripts listed in the Bombay Stock Exchange (BSE). The scripts in the sample are selected from a range of industries. Month-end prices (last trading day of the calendar month) have been used to compute the holding period return for each month for the entire 7-year period of the study (from 1998 to 2004). The Sensex, BSE-100 and BSE-200 stock indexes are used as representatives for the market portfolio (market index) in the study. The testing consists of two sets of regression. In the first set, beta is estimated for all scripts in the sample using a time series regression method. In the second set, the estimated betas from the first-pass regression are used to test the validity of the model in a cross-sectional regressioregression.

Suggested Citation

  • Harish Kumar Singla, 2008. "Empirical Tests of Capital Asset Pricing Model: The Case of Indian Stock Markets," The IUP Journal of Financial Economics, IUP Publications, vol. 0(2), pages 86-101, June.
    • Handle: RePEc:icf:icfjfe:v:06:y:2008:i:2:p:86-101
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:icf:icfjfe:v:06:y:2008:i:2:p:86-101. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: G R K Murty (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.