Multi- Index CAPM vs APT: A Comparison Of Two Asset Pricing Models For Malaysia

Authors

  • Ch’ng Hock Khoon Penang Malaysia Author
  • G. S Gupta indian Institute of Management Ahmedabad Vastrapur Author

DOI:

https://doi.org/10.66674/3nbw4b35

Abstract

This study compares the relative validity of the two multi-index models of asset pricing, viz. the Capital Asset Pricing Model and the Arbitrage Pricing Theory. The monthly return data on listed on the main board of the Kuala Lumpur Stock Exchange, Malaysia for the period 10 June 1997 are used for the purpose. The comparison is performed along the lines of ‘and Ch'ng, Sanda and Gupta (1999) as well as the attributes of a good model as per ). and Hendry and Richard (1982). The results suggest thatthe neither model is better than Thus, either of these two models could be used to explain the variations of returns across

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Published

01-12-2002

Issue

Vol. 10 No. 1 (2002): Volume 10, Issue 1, (2002)

Section

Articles

License

Copyright (c) 2002 Ch’ng Hock Khoon, G. S Gupta (Author)

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

Authors retain copyright and grant Capital Markets Review the right of first publication. Articles are published under the Creative Commons Attribution 4.0 International (CC BY 4.0) licence: https://creativecommons.org/licenses/by/4.0/. This licence permits sharing and adaptation for any purpose, including commercial use, provided appropriate credit is given, a link to the licence is supplied and any changes are indicated. Third-party material excluded from the article's licence must be clearly identified, and authors are responsible for obtaining any required permission.

How to Cite

Multi- Index CAPM vs APT: A Comparison Of Two Asset Pricing Models For Malaysia. (2002). Capital Markets Review, 10(1), 41-66. https://doi.org/10.66674/3nbw4b35