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Risk factors in the Malaysian stock market

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  • Andrew Clare
  • Richard Priestley

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  • Andrew Clare & Richard Priestley, "undated". "Risk factors in the Malaysian stock market," CERF Discussion Paper Series 97-03, Economics and Finance Section, School of Social Sciences, Brunel University.
    • Handle: RePEc:bru:brucer:97-03
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    References listed on IDEAS

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    1. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    2. Stephen A. Ross, 2013. "The Arbitrage Theory of Capital Asset Pricing," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 1, pages 11-30, World Scientific Publishing Co. Pte. Ltd..
    3. Bekaert, Geert & Harvey, Campbell R, 1995. "Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-444, June.
    4. Roll, Richard & Ross, Stephen A, 1980. "An Empirical Investigation of the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 35(5), pages 1073-1103, December.
    5. Shanken, Jay, 1992. "On the Estimation of Beta-Pricing Models," The Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 1-33.
    6. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
    7. Priestley, Richard, 1996. "The arbitrage pricing theory, macroeconomic and financial factors, and expectations generating processes," Journal of Banking & Finance, Elsevier, vol. 20(5), pages 869-890, June.
    8. McElroy, Marjorie B. & Burmeister, Edwin & Wall, Kent D., 1985. "Two estimators for the apt model when factors are measured," Economics Letters, Elsevier, vol. 19(3), pages 271-275.
    9. Raveh, Adi, 1985. "A note on factor analysis and arbitrage pricing theory," Journal of Banking & Finance, Elsevier, vol. 9(2), pages 317-321, June.
    10. Shanken, Jay, 1982. "The Arbitrage Pricing Theory: Is It Testable?," Journal of Finance, American Finance Association, vol. 37(5), pages 1129-1140, December.
    11. Chamberlain, Gary & Rothschild, Michael, 1983. "Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets," Econometrica, Econometric Society, vol. 51(5), pages 1281-1304, September.
    12. Connor, Gregory, 1984. "A unified beta pricing theory," Journal of Economic Theory, Elsevier, vol. 34(1), pages 13-31, October.
    13. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    14. Dhrymes, Phoebus J & Friend, Irwin & Gultekin, N Bulent, 1984. "A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 39(2), pages 323-346, June.
    15. Chamberlain, Gary, 1983. "Funds, Factors, and Diversification in Arbitrage Pricing Models," Econometrica, Econometric Society, vol. 51(5), pages 1305-1323, September.
    16. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
    17. King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994. "Volatility and Links between National Stock Markets," Econometrica, Econometric Society, vol. 62(4), pages 901-933, July.
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    Cited by:

    1. Cauchie, Severine & Hoesli, Martin & Isakov, Dusan, 2004. "The determinants of stock returns in a small open economy," International Review of Economics & Finance, Elsevier, vol. 13(2), pages 167-185.
    2. Abdul Karim, Zulkefly & Zaidi, Mohd Azlan Shah & Karim, Bakri, 2011. "Does Firm-Level Equity Return Respond to Domestic and International Monetary Policy Shocks? A Panel Data Study of Malaysia," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 45, pages 21-31.
    3. Gregory Price & Warren Whatley, 2021. "Did profitable slave trading enable the expansion of empire?: The Asiento de Negros, the South Sea Company and the financial revolution in Great Britain," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 15(3), pages 675-718, September.
    4. Zulkefly Abdul Karim & Mohd Azlan Shah Zaidi, 2015. "Monetary Policy, Firm Size and Equity Returns in An Emerging Market: Panel Evidence of Malaysia," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 11(2), pages 29-55.
    5. Colin T. Bowers & Chris Heaton, 2013. "What does high-dimensional factor analysis tell us about risk factors in the Australian stock market?," Applied Economics, Taylor & Francis Journals, vol. 45(11), pages 1395-1404, April.
    6. De Moor, Lieven & Sercu, Piet, 2013. "The smallest firm effect: An international study," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 129-155.
    7. De Moor, Lieven & Sercu, Piet, 2011. "The smallest stocks are not just smaller: US and international evidence," Working Papers 2011/28, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
    8. Szczygielski, Jan Jakub & Brzeszczyński, Janusz & Charteris, Ailie & Bwanya, Princess Rutendo, 2022. "The COVID-19 storm and the energy sector: The impact and role of uncertainty," Energy Economics, Elsevier, vol. 109(C).
    9. Jasman Tuyon & Zamri Ahmad, 2021. "Dynamic risk attributes in Malaysia stock markets: Behavioural finance insights," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5793-5814, October.
    10. Tabak, Benjamin M. & Luduvice, André Victor D. & Cajueiro, Daniel O., 2011. "Modeling default probabilities: The case of Brazil," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(4), pages 513-534, October.
    11. Jasman Tuyon & Zamri Ahmad, 2018. "Behavioural Asset Pricing Determinants in a Factor and Style Investing Framework," Capital Markets Review, Malaysian Finance Association, vol. 26(2), pages 32-52.
    12. Padrón, Yaiza García & Boza, Juan García, 2006. "Which are the Risk Factors in the Pricing of Personal Pension in Spain?," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 60(2), November.

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