The effect of time-varying Beta on the validity of the CAPM at the NSE

Language: English

Published by LAP LAMBERT Academic Publishing Jan 2019, 2019

6139445051 / 9786139445059

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Seller: Rheinberg-Buch Andreas Meier eK, Bergisch Gladbach, GermanyRheinberg-Buch Andreas Meier eK

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This item is printed on demand - it takes 3-4 days longer - Neuware -There has been a lot of research on the validity of the CAPM in the Nairobi Securities Exchange. Majorly, the findings are mixed. Most of the previous tests of the CAPM were based on the CLRM, which assumes that variances are homoscedastic, among other assumptions. This book examines this assumption and its effect on the quality of the beta estimate of the CAPM. In the CLRM, beta is a point estimate of the covariance between the market return and the return of a particular asset. It is, therefore, a constant. When heteroscedasticity is factored in, variances vary with time, hence beta varies with time as well. Several econometric models have been proposed to model time-varying betas. The most common model is the GARCH model, which forms the basis of this book. The data used for analysis here is first tested for 'ARCH effects' to determine whether the GARCH model can be used to estimate it. The test shows that models of the ARCH type can be fitted on the data. A multivariate GARCH model of the Diagonal BEKK type is then fitted on the monthly returns of the 20 companies that form the NSE 20-share index from 1St January 2013 to 31st December 2016. 56 pp. Englisch.

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Title
The effect of time-varying Beta on the validity of the CAPM at the NSE
Author
Samuel Mumo
Publisher
LAP LAMBERT Academic Publishing Jan 2019
Publication year
2019
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
6139445051
ISBN 13
9786139445059
Item weight
102 grams
Dimensions
220x150x4 mm

Rheinberg-Buch Andreas Meier eK

Bergisch Gladbach, Germany

5-star seller

AbeBooks seller since November 17, 2008

Shipping rates from Germany to U.S.A.

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Rheinberg-Buch Andreas Meier eK

Germany