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The arbitrage pricing theory : a study on the risk- return relationship in the Kuala Lumpur stock exchange / Mohd Lokman Mohd Kassim

This research examines the significance of the risk factors in influencing the returns on investment in the Kuala Lumpur Stock Exchange (KLSE). The returns on investment are reflected by the quarterly variations in the Composite Index (CI) of the Kuala Lumpur Stock Exchange and the risk factors are...

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Main Author: Mohd Kassim, Mohd Lokman
Format: Student Project
Language:English
Published: 1994
Subjects:
Stock exchanges. Insider trading in securities
Stock price indexes. Stock quotations
Online Access:https://ir.uitm.edu.my/id/eprint/49334/1/49334.PDF
https://ir.uitm.edu.my/id/eprint/49334/
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spelling my.uitm.ir.493342021-08-05T00:46:15Z https://ir.uitm.edu.my/id/eprint/49334/ The arbitrage pricing theory : a study on the risk- return relationship in the Kuala Lumpur stock exchange / Mohd Lokman Mohd Kassim Mohd Kassim, Mohd Lokman Stock exchanges. Insider trading in securities Stock price indexes. Stock quotations This research examines the significance of the risk factors in influencing the returns on investment in the Kuala Lumpur Stock Exchange (KLSE). The returns on investment are reflected by the quarterly variations in the Composite Index (CI) of the Kuala Lumpur Stock Exchange and the risk factors are the quarterly changes in the economic indicators from March 1989 to December 1993. The CI has been selected to represent a portfolio of 86 securities of the KLSE and the Multiple Regression Analysis has been employed to determine the factors' betas and risk premiums to be applied for the Arbitrage Pricing Theory model. The results of the study suggested that the selected economic indicators are not statistically significance in influencing the returns on investment in the KLSE. Therefore, they indicate that there are other significant factors in influencing the returns on investment in the KLSE. However, they show that the real Gross Domestic Product and the money supply have a positive relationship with the returns while the Consumer Price Index together with the Average Lending Rate have an inverse relationship with the returns on investment in the KLSE. 1994-11 Student Project NonPeerReviewed text en https://ir.uitm.edu.my/id/eprint/49334/1/49334.PDF ID49334 Mohd Kassim, Mohd Lokman (1994) The arbitrage pricing theory : a study on the risk- return relationship in the Kuala Lumpur stock exchange / Mohd Lokman Mohd Kassim. [Student Project] (Submitted)
institution Universiti Teknologi Mara
building Tun Abdul Razak Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Mara
content_source UiTM Institutional Repository
url_provider http://ir.uitm.edu.my/
language English
topic Stock exchanges. Insider trading in securities
Stock price indexes. Stock quotations
spellingShingle Stock exchanges. Insider trading in securities
Stock price indexes. Stock quotations
Mohd Kassim, Mohd Lokman
The arbitrage pricing theory : a study on the risk- return relationship in the Kuala Lumpur stock exchange / Mohd Lokman Mohd Kassim
description This research examines the significance of the risk factors in influencing the returns on investment in the Kuala Lumpur Stock Exchange (KLSE). The returns on investment are reflected by the quarterly variations in the Composite Index (CI) of the Kuala Lumpur Stock Exchange and the risk factors are the quarterly changes in the economic indicators from March 1989 to December 1993. The CI has been selected to represent a portfolio of 86 securities of the KLSE and the Multiple Regression Analysis has been employed to determine the factors' betas and risk premiums to be applied for the Arbitrage Pricing Theory model. The results of the study suggested that the selected economic indicators are not statistically significance in influencing the returns on investment in the KLSE. Therefore, they indicate that there are other significant factors in influencing the returns on investment in the KLSE. However, they show that the real Gross Domestic Product and the money supply have a positive relationship with the returns while the Consumer Price Index together with the Average Lending Rate have an inverse relationship with the returns on investment in the KLSE.
format Student Project
author Mohd Kassim, Mohd Lokman
author_facet Mohd Kassim, Mohd Lokman
author_sort Mohd Kassim, Mohd Lokman
title The arbitrage pricing theory : a study on the risk- return relationship in the Kuala Lumpur stock exchange / Mohd Lokman Mohd Kassim
title_short The arbitrage pricing theory : a study on the risk- return relationship in the Kuala Lumpur stock exchange / Mohd Lokman Mohd Kassim
title_full The arbitrage pricing theory : a study on the risk- return relationship in the Kuala Lumpur stock exchange / Mohd Lokman Mohd Kassim
title_fullStr The arbitrage pricing theory : a study on the risk- return relationship in the Kuala Lumpur stock exchange / Mohd Lokman Mohd Kassim
title_full_unstemmed The arbitrage pricing theory : a study on the risk- return relationship in the Kuala Lumpur stock exchange / Mohd Lokman Mohd Kassim
title_sort arbitrage pricing theory : a study on the risk- return relationship in the kuala lumpur stock exchange / mohd lokman mohd kassim
publishDate 1994
url https://ir.uitm.edu.my/id/eprint/49334/1/49334.PDF
https://ir.uitm.edu.my/id/eprint/49334/
_version_ 1707768633350946816
score 13.211869

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