[PDF] Top 20 Arbitrage pricing theory: evidence from an emerging stock market

... Finish Stock Market using monthly ...on stock was the dependent ...different stock market indices, price indices, interest rates and other national economic variables such as the GNP ... See full document

... participants spurs price movements at the whims of a few powerful market manipulators. When price changes are controlled by a few manipulators, price changes influence changes in banks credit rather than the ... See full document

... Taiwan stock market and concluded that when the qualified foreign institutional investors (QFIIs) in an emerging equity market increase (decrease) their weightings in particular sectors, this ... See full document

... expected stock returns, most notably, industrial production, changes in the risk premium, twists in the yield curve, and somewhat weakly, measures o f unanticipated inflation and changes in expected inflation ... See full document

... One of the main advantages using the macroeconomic variables approach is that it names the factors. Since pre-specified macroeconomic factors approach names factors, it provides a more direct link between various ... See full document

... on emerging stock market returns have been widely discussed in ...the emerging and the US industrial stock market excess ...national stock market indices, we find ... See full document

... and stock splits among others and has contributed to shaping the operations of stock ...capital market in the region thus the results cannot be generalized to ...in emerging stock ... See full document

... that market liquidity is a major determinant of the liquidity in the Tunisian stock ...of market liquidity on the liquidity of securities is more pronounced in the case of the depth at-best limit ... See full document

... some evidence that DEI has a positive price of risk over the period 1983– 2007, inconsistent with the findings of ...significant evidence for MP is limited to the time-period of the study taken by CRR and ... See full document

... the market that cannot be diversified are interest rate, recession and wars while unsystematic risks are specific risk to individuals stock (Oke, ...drawn from the modern portfolio theory came ... See full document

... African stock markets and the major international markets is ...African stock markets are characterised by weaker correlation with one ...African stock markets to international investors is the ... See full document

... asset pricing model (CAPM) introduced by Sharpe (1964) and Lintner (1965), the only systematic risk is priced, since idiosyncratic risk is diversifiable and so investors should not be compensated for bearing this ... See full document

... This could perhaps then be in support of the monetary policy adopted by the Government of Kenya since the early 2000s to maintain inflation in the 1 digit level and contain high lending interest rates by commercial banks ... See full document

... insurance pricing models. Historically, insurance pricing models were proposed as responses and correctives to the ones that preceded ...mimic market prices. This ignored though the interactions ... See full document

... the emerging markets like India on index changes in general and co-movement in ...Indian stock market can be appreciated based on the fact that the Indian equity market stood 13 th in the ... See full document

... complex pricing models to include more factors to correct these ...“general market” return – that of the high book-to-value stocks – will proxy for such a factor, which they coin the “distress ... See full document

... asset pricing theory with the main objective to secure better understanding of portfolio establishment and the estimation of return and, thus, to improve the overall portfolio ...different from CAPM ... See full document

... that market liquidity is related to economic growth more significantly than market ...large stock market in terms of size, yet this might constitute a small proportion of its ...in ... See full document

... Indian stock market, which investigated adaptive behaviour of stock ...capital market plans with setting up of National Stock Ex- change (NSE) and changes in the market ... See full document

... Mainstream modem portfolio theory has developed around the portfolio selection and asset pricing models of Markowitz' mean-variance criterion, the Capital Asset Pricing Model, Arbitrage [r] ... See full document