IDEAS home Printed from https://ideas.repec.org/a/mth/ajfa88/v7y2015i2p107119.html

Empirical Testing of Capital Asset Pricing Model on Bahrain Bourse

Author

Listed:
  • Iqbal Thonse Hawaldar

Abstract

The study is undertaken to find out the relationship between portfolio returns and market returns and test the empirical validity of the standard CAPM model on Bahrain Bourse. The study is based on 39 companies listed in the Bahrain Bourse, Bahrain All Share Index as market proxy and yield of Government of Bahrain securities as risk free rate of return. The study covers period from January 1, 2011 to December 31, 2014. The analysis of the results of the study revealed that many of the independent variables together with beta can explain the portfolio returns. However, the intercept test reveals that the portfolio returns are equal to the risk-free rate of return. Therefore, we can conclude that the results of intercept test of standard CAPM proves the theory and the beta test results goes against the standard theory.

Suggested Citation

  • Iqbal Thonse Hawaldar, 2015. "Empirical Testing of Capital Asset Pricing Model on Bahrain Bourse," Asian Journal of Finance & Accounting, Macrothink Institute, vol. 7(2), pages 107119-1071, December.
    • Handle: RePEc:mth:ajfa88:v:7:y:2015:i:2:p:107119
    as

    Download full text from publisher

    File URL: https://www.macrothink.org/journal/index.php/ajfa/article/download/8356/6811
    Download Restriction: no
    File URL: https://www.macrothink.org/journal/index.php/ajfa/article/view/8356
    Download Restriction: no
    ---><---

    More about this item

    JEL classification:

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

    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:mth:ajfa88:v:7:y:2015:i:2:p:107119. 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: Technical Support Office (email available below). General contact details of provider: http://www.macrothink.org/journal/index.php/ajfa .

    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.