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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 icon orcid.org/0000-0002-9133-0149 ; Faculty of Economics Split, University of Split, Split, Croatia

Fulltext: english, pdf (362 KB) pages 164-175 downloads: 4.945* cite
APA 6th Edition
Džaja, J. & Aljinović, Z. (2013). TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE. Croatian Operational Research Review, 4 (1), 164-175. Retrieved from https://hrcak.srce.hr/97395
MLA 8th Edition
Džaja, Josipa and Zdravka Aljinović. "TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE." Croatian Operational Research Review, vol. 4, no. 1, 2013, pp. 164-175. https://hrcak.srce.hr/97395. Accessed 18 Oct. 2019.
Chicago 17th Edition
Džaja, Josipa and Zdravka Aljinović. "TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE." Croatian Operational Research Review 4, no. 1 (2013): 164-175. https://hrcak.srce.hr/97395
Harvard
Džaja, J., and Aljinović, Z. (2013). 'TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE', Croatian Operational Research Review, 4(1), pp. 164-175. Available at: https://hrcak.srce.hr/97395 (Accessed 18 October 2019)
Vancouver
Džaja J, Aljinović Z. TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE. Croatian Operational Research Review [Internet]. 2013 [cited 2019 October 18];4(1):164-175. Available from: https://hrcak.srce.hr/97395
IEEE
J. Džaja and Z. Aljinović, "TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE", Croatian Operational Research Review, vol.4, no. 1, pp. 164-175, 2013. [Online]. Available: https://hrcak.srce.hr/97395. [Accessed: 18 October 2019]

Abstracts
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
https://hrcak.srce.hr/97395

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