Applicability of Capital Assets Pricing Model (CAPM) on Pakistan Stock Markets
الموضوعات :M. Rizwan Qamar 1 , S. Rehman 2 , S. A. Shah 3
1 - Faculty of Contemporary Studies, National Defence University, Islamabad, Pakistan.
2 - Faculty of Contemporary Studies, National Defence University, Islamabad, Pakistan.
3 - Faculty of Contemporary Studies, National Defence University, Islamabad, Pakistan.
الکلمات المفتاحية: CAPM, KSE, βeta, Market Return, Risk free return, portfolio, Stocks, Expected Return,
ملخص المقالة :
Capital Assets Pricing Model is used as a tool for the estimation of Investments in Capital Markets with the relation of Expected return and Risk on Securities. This study examines the applicability of CAPM on Pakistan Stock Markets and Karachi Stock Exchange being the main capital market of Pakistan is taken for the study. The analysis is done by taking a sample of 10 performing companies of 100 index of KSE for a period of five years from 2006 to 2010. The monthly returns are taken and beta of each security is calculated which is used in the calculation of Expected returns. Microsoft Office (MS Excel) is used for most of the calculations. The empirical findings of this study do not support to the CAPM in Pakistan Stock Markets. In all three types of beta, it gives different results. The results of this study are in line with the previous researches conducted on Pakistan Stock markets but with different time periods and different sample size.
