Application of Capital Asset Pricing (CAPM) and Arbitrage Pricing Theory (APT) Models in Athens Exchange Stock Market
GRIN Verlag, 2010 - 100 pages
Seminar paper from the year 2007 in the subject Business economics - Investment and Finance, grade: 90.0%, language: English, abstract: This paper examines the estimating and forecasting performance of the different and various Generalized Autoregressive Conditional Heteroscedasticity-GARCH's models in relation to Capital Asste Pricing Model (CAPM) model. We apply the CAPM model with ordinary least squares (OLS) method to investigate if an ARCH (Autoregressive Conditional Heteroscedasticity) is presented and we are trying to decide and to analyze which GARCH model is the most appropriate and the best fitted for the financial time series that we have chosen. We apply CAPM model in the financial time series of the share prices of Technology-Software Sector in Athens Exchange stock market for the period January 1st of 2002 to October 30th of 2007 for the enterprises "Unibrain" "MLS Informatics" and "Dionic" respectively, from April 2nd of 2002 to 30th October of 2007 for the enterprise "Compucon," from August 2nd of 2002 to 30th October of 2007 for the enterprise "Centric," and finally from February 2nd of 2004 to 30th October of 2007 for the enterprise "Ilyda." Additionally, we apply roiling regressions, where the full programming routines in EVIEWS and MATLAB are described detailed. We conclude that the slope β coefficient of CAPM model is not constant through the time period of rolling regressions we apply. In the final part we examine a simple Arbitrage Pricing Theory (APT) model.
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1453 Included observations 450 observations AC PAC Q-Stat Akaike info criterion Arbitrage Pricing Theory ARCH effects arch term ARCH TEST Athens Stock Market Augmented Dickey-Fuller test autocorrelation Automatic based backcast Bartlett's Test based on SIC CAPM model CENTRIC coefficients of variance COMPUCON constant of variance Correlogram cross-sectional regression Dickey-Fuller test statistic DIONIC Durbin-Watson stat Error z-Statistic Prob GARCH coefficients GARCH models GARCH-M GJR-GARCH Histogram for stock ILYDA initial sample 1000 Jarque-Bera Kurtosis limit ARCH1 Line Graph Linear Trend Lag MLS-Informatics Null Hypothesis p-value coefficient p-value F-statistic ARCH p-value p-value p-value PAC Q-Stat Prob plot lower limit plot upper limit R-squared regression for CAPM RISKFREE Rolling coefficients Rolling confidence intervals Rolling standard errors S.D. dependent S.E. of regression Sample(adjusted Schwarz criterion Skewness stock prices stock returns Sum squared resid t-Statistic Prob Table Test critical values test for stock Trend Lag Length UNIBRAIN unit root Exogenous Unit root test variance equation window