Original scientific paper
TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE
Josipa Džaja
; Faculty of Economics Split, University of Split, Split, Croatia
Zdravka Aljinović
orcid.org/0000-0002-9133-0149
; Faculty of Economics Split, University of Split, Split, Croatia
Abstract
The paper examines if the Capital Asset Pricing Model (CAPM) is adequate for capital asset valuation on the Central and South-East European emerging securities markets using monthly stock returns for
nine countries for the period of January 2006 to December 2010. Precisely, it is tested if beta, as the systematic risk measure, is valid on observed markets by analysing are high expected returns associated with high levels of risk, i.e. beta. Also, the efficiency of market indices of observed countries is examined.
Keywords
CAPM; European emerging markets; Beta validity; Market portfolio
Hrčak ID:
97395
URI
Publication date:
1.2.2013.
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