Empirical Testing of Capital Asset Pricing Model on Bahrain Bourse

Asian Journal of Finance & Accounting (December, 2015) Vol. 7, No. 2, pp. 107-119; Doi:10.5296/ajfa.v7i2.8356

13 Pages Posted: 2 Jan 2020

Date Written: December 30, 2015

Abstract

The study is undertaken to find out the relationship between portfolio returns and market returns and test the empirical validity of the standard CAPM model on Bahrain Bourse. The study is based on 39 companies listed in the Bahrain Bourse, Bahrain All Share Index as market proxy and yield of Government of Bahrain securities as risk free rate of return. The study covers period from January 1, 2011 to December 31, 2014. The analysis of the results of the study revealed that many of the independent variables together with beta can explain the portfolio returns. However, the intercept test reveals that the portfolio returns are equal to the risk-free rate of return. Therefore, we can conclude that the results of intercept test of standard CAPM proves the theory and the beta test results goes against the standard theory.

Keywords: Capital Asset Pricing Model, Risk, Portfolio, Return, Beta

JEL Classification: G13; G14; G15; G18; C32; F30

Suggested Citation

Hawaldar, Iqbal Thonse, Empirical Testing of Capital Asset Pricing Model on Bahrain Bourse (December 30, 2015). Asian Journal of Finance & Accounting (December, 2015) Vol. 7, No. 2, pp. 107-119; Doi:10.5296/ajfa.v7i2.8356 , Available at SSRN: https://ssrn.com/abstract=3504491

Iqbal Thonse Hawaldar (Contact Author)

Kingdom University ( email )

Sanad
Bahrain

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