Study of Dhaka Stock Exchange- Capital Asset Pricing Model

摘要

The Capital Asset Pricing Model (CAPM) is the equilibrium relationship between the expected return and risk on assets. Many empirical tests have been conducted on various stock exchanges to test the validity of CAPM. However, there has been no study or tests done for Dhaka Stock Exchange. In our current research, we test whether the CAPM holds for Dhaka Stock Exchange. We take fifteen stocks of different companies listed in Dhaka Stock Exchange from the period 2003 to 2005. We also test the validity of the CAPM by Single index model and CAPM theory. Empirical test shows that Dhaka stock exchange does not hold CAPM. We measure the systematic risk and nonsystematic risk of each stock. With the risk factors we finally classify stocks either bad or good using a popular classification technique, namely, neural network.