Investment Diversificationand Islamic Risk Management in the Malaysian Stock Market

2021 ◽  
Vol 12 (3) ◽  
pp. 540-546
Author(s):  
Nurhanani Romli Et.al
Keyword(s):  
Risk Management ◽  
Stock Market ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
High Volatility ◽  
Islamic Principle ◽  
Islamic Economic ◽  
Risk Investment

Risk investment was a matter that should be well managedby each investor since each unit  of stock has their own risk. This study will explained in detail related risks of investing in portfolio either Shariah stock or conventional stock. Besidesthat,  further discussion on the risk of investment from the perspective of Islamic economics will be include together since any shariah stock have to obey with Islamic principle before it can be considered as a Shariahcompliant stock. Capital Asset Pricing Model (CAPM) will be used to measure the level of risk starting from the year 2007 when  subprimecrisisjust done until year of 2010. Results of the study show that the volatility of stock market in Malaysia can be considered as a high volatility and its means as a high risk. The findings of study also found that Islamic economic has recognizes the existence of investmentrisk. One of methods that are used in the management of risk was  diversification. This methodwillreduces risk by allocating investments among various financial instruments, industries, and other categories. In conclusion, the process of diversificationthatwas done by most of the investors are keeping to the concept of risk management in the Islam.

Application of CAPM in the Indian Stock Market A Comprehensive Reassessment

2005 ◽  
Vol 1 (2) ◽  
pp. 1-12 ◽  
Author(s):  
Raj S. Dhankar ◽  
Rohini Singh
Keyword(s):  
Stock Market ◽  
Capital Market ◽  
Stock Exchange ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Conflicting Evidence ◽  
Empirical Tests ◽  
Indian Stock Market

There is conflicting evidence on the applicability of Capital Asset Pricing Model in the Indian stock market. Data for 158 stocks listed on the Bombay Stock Exchange was analyzed using a number of tests from 1991–2002, the period which roughly coincides with the period after liberalization and initiation of capital market reforms. Taken in aggregate the various empirical tests show that CAPM is not valid for the Indian stock market for the period studied.

scholarly journals An Empirical Research of the Consumption-based Capital Asset Pricing Model: Evidence from China’s Stock Market

2021 ◽  
Vol 2 (4) ◽  
Author(s):  
Wenlai Yang
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Empirical Research ◽  
Empirical Method ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Model Evidence

Recently, the Capital Asset Pricing Model has been widely used in the stock market. The traditional Capital Asset Pricing Model has been revised and expanded to the Consumption-based Capital Asset Model. This article does the research in the following ways. Firstly, this article summarizes the Capital Asset Pricing Model and empirical method. Secondly, it analyzes and processes the data worked out of the Capital Asset Pricing Model. Finally, it analyzes the empirical results.

scholarly journals CAPITAL ASSET PRICING MODEL TESTING IN WEST AFRICA ECONOMIC AND MONETARY UNION STOCK MARKET: THE CASE OF IVORIAN LISTED FIRMS

2017 ◽  
Vol 5 (2) ◽  
pp. 23-30
Author(s):  
Zimy Samuel Yannick Gahé ◽  
Zhao Hongzhong ◽  
Brou Matthias Allate ◽  
Thierry Belinga
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Stock Returns ◽  
Monetary Union ◽  
Economic And Monetary Union ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Listed Firms ◽  
Asset Pricing Model

This paper investigates the validity of Capital Asset Pricing Model (CAPM) for the West African Economic and Monetary Union (WAEMU) stock market using monthly stock returns of twenty Côte d’Ivoire’s listed firms from January 2002 to December 2011. We split this interval into different time periods. Each one of them has also been divided into two different sub-periods among which one served as estimation mean and the second one helped to test the estimated parameters obtained using a times series regression. Afterwards some statistical tests have been conducted to see whether the CAPM’s hypotheses hold or not. The findings showed that higher risk is not associated with higher level of return within the study area. Also, there was no relation between stock return and non-systemic risk except for one period where we found evidence that stock returns were affected by other risk than the systematic risk. On the contrary the stock expected rate of return had a linear relationship with the systematic risk. The study suggested that the listed companies consider other factors and variables which could explain their returns.

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