Testing the CAPM-GARCH Models in the GCC-Wide Equity Sectors

Autor:	Mohamed Chikhi, Ali Bendob, Fatma Bennaceur
Rok vydání:	2017
Předmět:	Microeconomics Heteroscedasticity Autoregressive model Cost of capital Autoregressive conditional heteroskedasticity Econometrics Economics Equity (finance) Capital asset pricing model General Medicine Capital market Equity capital markets
Zdroj:	Asian Journal of Economic Modelling. 5:413-430
ISSN:	2312-3656 2313-2884
DOI:	10.18488/journal.8.2017.54.413.430
Popis:	This paper tests the conditional and non-conditional versions of the Capital Asset Pricing Model (CAPM) in Gulf Cooperation Council GCC capital markets -wide equity sectors upon daily data during the period from February 22ed 2007 to February 22ed 2012. In the empirical analysis, we used Generalized Autoregressive Conditional heteroscedasticity (GARCH) models with CAPM. Main findings seem to show that the CAPM-EGARCH (1.1) appears more advantages than the traditional CAPM at the sectors considered in this study. This approach can be improved and developed in order to be widely applied as this model takes into account shocks, especially in the crisis period where volatilities are very high.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::021027932d6f5075bc51310b23524860 https://doi.org/10.18488/journal.8.2017.54.413.430 Zobrazit plný text záznamu