scholarly journals The Systematic Risk at the Crisis - A Multifractal Non-uniform Wavelet Systematic Risk Estimation

2021 ◽  
Author(s):  
Mounir Sarraj ◽  
ANOUAR BEN MABROUK
Keyword(s):  
Risk Estimation ◽  
Systematic Risk ◽  
Political Stability ◽  
Capital Asset Pricing ◽  
Asset Pricing Model ◽  
Political Situation ◽  
Applied Model ◽  
Market Beta ◽  
The Impact ◽  
Fixed Period

The Capital Asset Pricing Model is a widely applied model to describe risky markets and to deduce their systematic risk. Its estimation, therefore, remains an important task in Econo-financial studies. Empirically, it focuses on the impact of return interval on the betas. Existing studies somehow turn around the same idea of measuring the value of the beta according to the uniform intervals of time during a fixed period. However, it is noticed easily, and especially in the last decade that many factors such as socio-political, and Econo-environmental ones have led to a perturbation in the timeline of the worldwide development, and especially in countries and regions having political changes. This led us to introduce a new idea of risk estimation taking into account the non-uniform changes in markets by introducing a non-uniform wavelet analysis. We aim to explain the Econo-political situation of Arab spring countries and the effect of the revolutions on the market beta. The main novelty is firstly the construction of a dynamic backward-forward model for missing data, and next the application of random non-uniform wavelets. The proposed procedure will be acted empirically on a sample corresponding to TUNINDEX stock as a representative index of the Tunisian market actively traded over the period January 14, 2016, to January 13, 2021. The chosen 5-years period is important as it constitutes the first 5-years-after the revolution and depends strongly on the Socio-Econo-political stability in the revolutionary countries.

The Systematic Risk at the Crisis—A Multifractal Non-Uniform Wavelet Systematic Risk Estimation

2021 ◽  
Vol 5 (4) ◽  
pp. 135
Author(s):  
Mounir Sarraj ◽  
Anouar Ben Mabrouk
Keyword(s):  
Missing Data ◽  
Wavelet Analysis ◽  
Present Method ◽  
Risk Estimation ◽  
Systematic Risk ◽  
Political Stability ◽  
Time Varying ◽  
Political Situation ◽  
Time Varying Parameters ◽  
Market Beta

In the last decade, many factors, such as socio-political and econo-environmental ones, have led to a perturbation in the timeline of the worldwide development, and especially in countries and regions having political changes. This led us to introduce a new idea of risk estimation taking into account the non-uniform changes in markets by introducing a non-uniform wavelet analysis. We aim to explain the econo-political situation of Arab spring countries and the effect of the revolutions on the market beta. The main novelty is first the construction of a dynamic backward-forward model for missing data, and next the application of random non-uniform wavelets. The proposed procedure will be acted empirically on a sample corresponding to TUNINDEX stock as a representative index of the Tunisian market actively traded over the period from 14 January 2016 to 13 January 2021. The chosen 5-year period is important as it constitutes the first five years after the revolution and depends strongly on the socio-econo-political stability in the revolutionary countries. The results showed the efficiency of non-uniform wavelets in explaining the dynamics of the market well. They therefore may be good tools to explore important phenomena in the market such as the non-stationary aspect of financial series, non-constancy, and time-varying parameters. These facts in turn will have positive implications for investors as well as politicians in front of the evolution of the market. Besides, recommendations to extend the present method for other types of wavelets and markets will be of interest.

Analysis Of The Impact Of Company Size On Systemic Risk Based On Capital Asset Pricing Model In Food And Beverages Companies Listed On The Indonesia Stock Exchange Year 2009-2011

2021 ◽  
Vol 12 (1) ◽  
pp. 01-07
Author(s):  
Rahmadina Agusti
Keyword(s):  
Asset Pricing ◽  
Stock Exchange ◽  
Linear Regression Analysis ◽  
Systematic Risk ◽  
Capital Asset Pricing ◽  
Company Size ◽  
Manufacturing Companies ◽  
Capital Asset ◽  
Food And Beverages ◽  
The Impact

Before investing, investors should consider the stock beta as a measure of systematic risk. By knowing beta stocks investors can directly determine the sensitivity of the return securities market returns. By knowing the sensitivity return, it automatically investors would be able to assess how much risk it will face when investing their funds in the company's stock. Investors can also adjust the investment that is fit to return they want to earn. This study aim is to determine the impact of company size on systematic risk based capital asset pricing models. Population of this study are all food and beverages manufacturing companies listed (listing) on ​​the Indonesian Stock Exchange from 2009 to 2011. There are 16 companies that fit in the criteria and the sample was 12 companies. Data were analyzed by multiple linear regression analysis. Results of this study showed that the size of the company significant positive effect on the systematic risk with adjusted R square value of 0.994, which means the size of the company has a strong influence in predicting systematic risk.

scholarly journals Contribution to the Valuation of BRVM’s Assets: A Conditional CAPM Approach

2019 ◽  
Vol 12 (1) ◽  
pp. 27 ◽  
Author(s):  
Mamadou Cisse ◽  
Mamadou Konte ◽  
Mohamed Toure ◽  
Smael Assani
Keyword(s):  
Kalman Filter ◽  
Stock Exchange ◽  
Systematic Risk ◽  
Capital Asset Pricing ◽  
Conditional Capm ◽  
Asset Pricing Model ◽  
Market Portfolio ◽  
High Volatility ◽  
Size Criterion ◽  
Better Than

The conditional capital asset pricing model (CAPM) theory postulates that the systematic risk ( β ) of an asset or portfolio varies over time. Several dynamics are thus given to systematic risk in the literature. This article looks for the dynamic that seems to best explain the returns of the assets of the Regional Stock Exchange of West Africa (BRVM) by comparing two dynamics: one by the Kalman filter (assuming that the β follow a random walk) and the other by the Markov switching (MS) model (assuming that β varies according to regimes) for four portfolios of the BRVM. Having found a link between the beta of the market portfolio and the size criterion (measured by capitalization), the two previous models were re-estimated with the addition of the SMB (Small Minus Big) variable. The results show according to the RMSE criterion that the estimation by the Kalman filter fits better than MS, which suggests that investors cannot anticipate systematic risk because of its high volatility.

Four-moment CAPM Model: Evidence from the Indian Stock Market

2019 ◽  
Vol 18 (1_suppl) ◽  
pp. S137-S166
Author(s):  
Dheeraj Misra ◽  
Sushma Vishnani ◽  
Ankit Mehrotra
Keyword(s):  
Factor Model ◽  
Jel Classification ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Model Evidence ◽  
Fama And French ◽  
Capm Model ◽  
Indian Stock Market ◽  
The Impact

This study aims at analysing the impact of co-skewness and co-kurtosis on the returns of the Indian stocks by incorporating co-skewness and co-kurtosis in the traditional capital asset pricing model (CAPM) of Sharpe, in a three-factor model of Fama and French and in a four-factor model of Carhart. The results of the study show that co-skewness and co-kurtosis have significant impact on the returns of the Indian stock. However, the impact of co-skewness is higher than co-kurtosis. JEL Classification: G11, G12

scholarly journals The Relationship between Systematic Risk and Stock Returns in Tehran Stock Exchange Using the Capital Asset Pricing Model (CAPM)

2014 ◽  
Vol 21 ◽  
pp. 26-35
Author(s):  
Mohsen Mehrara ◽  
Zabihallah Falahati ◽  
Nazi Heydari Zahiri
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Stock Exchange ◽  
Systematic Risk ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
The Relationship

One of the most important issues in the capital market is awareness of the level Risk of Companies, especially “systemic risk (unavoidable risk)” that could affect stock returns, and can play a significant role in decision-making. The present study examines the relationship between stock returns and systematic risk based on capital asset pricing model (CAPM) in Tehran Stock Exchange. The sample search includes panel data for 50 top companies of Tehran Stock Exchange over a five year period from 1387 to 1392. The results show that the relationship between systematic risk and stock returns are statistically significant. Moreover, the nonlinear (quadratic) function outperforms the linear one explaining the relationship between systematic risk and stock returns. It means that the assumption of linearity between systematic risk and stock returns is rejected in the Tehran Stock Exchange. So we can say that the capital asset pricing model in the sample is rejected and doesn’t exist linear relationship between systematic risk and stock returns in the sample.

scholarly journals Open issues in testing liquidity in frontier financial markets: The case of Serbia

2010 ◽  
Vol 55 (185) ◽  
pp. 33-62 ◽  
Author(s):  
Jelena Minovic ◽  
Bosko Zivkovic
Keyword(s):  
Liquidity Risk ◽  
Asset Returns ◽  
Price Formation ◽  
Capital Asset Pricing ◽  
Good Tool ◽  
Asset Pricing Model ◽  
Daily Data ◽  
Realistic Assessment ◽  
The Impact ◽  
Open Issues

This paper examines the impact of illiquidity and liquidity risk on expected asset returns in the Serbian stock market. For this market we estimate the conditional Liquidity-adjusted Capital Asset Pricing Model (LCAPM) of Acharya and Pedersen (2005). We use daily data for the period from 2005-2009. While the method developed is applicable in other markets this is the first paper that tests the LCAPM model in the case of Serbia. Liquidity risks are allowed to be timevarying. We find that for the Serbian market as a frontier market illiquidity and liquidity risk significantly impact price formation. For such a market the LCAPM may indeed be a good tool for realistic assessment of the expected asset returns.

scholarly journals MULTISCALE TEST OF CAPM FOR THREE CENTRAL AND EASTERN EUROPEAN STOCK MARKETS

2013 ◽  
Vol 14 (1) ◽  
pp. 54-76 ◽  
Author(s):  
Silvo Dajčman ◽  
Mejra Festić ◽  
Alenka Kavkler
Keyword(s):  
Stock Markets ◽  
Generalized Method Of Moments ◽  
Systematic Risk ◽  
Capital Asset Pricing ◽  
Eastern European ◽  
Asset Pricing Model ◽  
Basic Capital ◽  
Method Of Moments Estimation ◽  
Market Premium ◽  
European Stock Markets

This paper examines the systematic risk and validity of the basic capital asset pricing model of Sharpe (1964), Lintner (1965) and Mossin (1966) in three Central and Eastern European stock markets (i.e. Slovenia, Hungary and Czech Republic). The CAPM is tested on a multiscale basis, building on the Fama and MacBeth (1973) methodology and applying two modern econometric techniques – wavelet analysis and generalized method of moments estimation. Empirical results indicate that the systematic risk and validity of CAPM implications are multiscale phenomena. Empirical evidence in support of CAPM implications in the investigated Central and Eastern European stock markets is found to be weak. The most commonly violated CAPM hypotheses are the zero Jensen's alpha condition, positive market premium, and the non-systematic influence of non-observable variables on the excess returns of stocks in these stock markets.

Sign in / Sign up

Export Citation Format

Share Document