Javid, Attiya Yasmin (2009): Test of Higher Moment Capital Asset Pricing Model in Case of Pakistani Equity Market. Published in: European Journal of Economics, Finance and Administrative Studies No. 15 (2009)

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Abstract
In this study we test the meanvariance capital asset pricing model (CAPM) developed by Sharpe (1965) Lintner (1966) on individual stocks traded at Karachi Stock Exchange (KSE), the main equity market in Pakistan for the period 19932004 using daily and monthly data. The empirical findings do not support standard CAPM as a model to explain assets pricing in Pakistani equity market. In response to this finding first, we have extended the model to meanvarianceskewness and meanvarianceskewnesskurtosis model following Kraus and Litzenberger (1976). In the second step we allow the covariance, coskewness and cokurtosis to vary over time in autoregressive context leading to conditional threemoment CAPM and conditional fourmoment CAPM. The results of unconditional and conditional highermoments CAPM reveal that threemoment CAPM performed relatively well in explaining riskreturn relationship in Pakistan during the sample period However, the results of highermoment model indicate that systematic covariance and systematic cokurtosis have marginal role in explaining the asset price behavior in Pakistan.
Item Type:  MPRA Paper 

Original Title:  Test of Higher Moment Capital Asset Pricing Model in Case of Pakistani Equity Market 
Language:  English 
Keywords:  Covariance, coskewness, cokurtosis, nonnormal return distribution, capital asset pricing model, timevarying moments 
Subjects:  C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C29  Other G  Financial Economics > G1  General Financial Markets > G12  Asset Pricing ; Trading Volume ; Bond Interest Rates 
Item ID:  38059 
Depositing User:  Attiya Yasmin Javid 
Date Deposited:  12 Apr 2012 12:47 
Last Modified:  28 Sep 2019 13:52 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/38059 