An empirical investigation of the arbitrage pricing theory in a frontier stock market: evidence from Bangladesh
Although the existing literature of Arbitrage Pricing Theory (APT) on different categories of stock markets is vast, it is non-existent in the case of frontier stock markets (defined as very small capital markets). This paper fills this gap by investigating how APT performs in a frontier stock market. To address the common problem of multi-collinearity in macro variables, this study uses principal component analysis (PCA) as a robustness check on the previous results. The results confirm evidence of one significant macroeconomic factor in the Dhaka stock market - a frontier stock market of Bangladesh. This result is comparable to that of some emerging (larger than frontier markets) stock markets.
|Date of creation:||01 Jun 2011|
|Publication status:||Published in Indian Journal of Economics and Business 04.10(2011): pp. 443-465|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
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