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Time varying size and liquidity effects in South Asian equity markets: A study of blue-chip industry stocks

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Listed author(s):
  • Hearn, Bruce
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    Abstract

    This paper contrasts the performance of the Capital Asset Pricing Model (CAPM) augmented by size and liquidity factors with its time varying coefficient counterpart, using a unique market universe compiled from constituent stocks of blue chip indices BSE-100 (India), KSE-30 (Pakistan), DSE-20 (Bangladesh) and Dow Jones Titans (Sri Lanka). The evidence suggests that substantial size and liquidity effects are present in all markets with the exception of Sri Lanka. Time varying liquidity beta profiles reveal that the financial sectors of all South Asian markets have been affected by the 2008 financial crisis with exception of Sri Lanka where the market is influenced by the prolonged civil war.

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    File URL: http://www.sciencedirect.com/science/article/pii/S1057-5219(10)00054-2
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    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 19 (2010)
    Issue (Month): 4 (September)
    Pages: 242-257

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    Handle: RePEc:eee:finana:v:19:y:2010:i:4:p:242-257
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620166

    Keywords: Liquidity CAPM Kalman filter Emerging financial markets South Asia;

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    Cited by:

    1. Lischewski, Judith & Voronkova, Svitlana, 2012. "Size, value and liquidity. Do They Really Matter on an Emerging Stock Market?," Emerging Markets Review, Elsevier, vol. 13(1), pages 8-25.
    2. Rui Ma & Hamish D. Anderson & Ben R. Marshall, 2016. "International stock market liquidity: a review," Managerial Finance, Emerald Group Publishing, vol. 42(2), pages 118-135, February.
    3. Jelena Minović & Boško Živković, 2012. "Impact Of Liquidity And Size Premium On Equity Price Formation In Serbia," Economic Annals, Faculty of Economics, University of Belgrade, vol. 57(195), pages 43-78, October -.
    4. Das, Sudipta, 2015. "Empirical evidence of conditional asset pricing in the Indian stock market," Economic Systems, Elsevier, vol. 39(2), pages 225-239.

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