Multiscale test of CAPM for three Central and Eastern European stock markets

This paper examines the systematic risk and validity of the basic capital asset pricing model of Sharpe (1964), Lintner (1965) and Mossin (1966) in three Central and Eastern European stock markets (i.e. Slovenia, Hungary and Czech Republic). The CAPM is tested on a multiscale basis, building on the...

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Bibliographic details

Volume:	14
Main Author:	Dajcman, Silvo Festić , Mejra Kavkler, Alenka
Format:	Journal Article
Language:	English
Zielgruppe:	Academic
Place of publication:	VILNIUS Vilnius Gediminas Technical University 2013 Taylor & Francis Group VILNIUS GEDIMINAS TECH UNIV Taylor & Francis Ltd Vilnius Gedinimas Technical University
published in:	Journal of business economics and management Vol. 14; no. 1; pp. 54 - 76
Data of publication:	2013
ISSN:	1611-1699 2029-4433
EISSN:	2029-4433
Alternate Title:	Multiscale test of CAPM for three Central and Eastern European stock markets
Discipline:	Business Economics
Subjects:	Economy stock market Central and Eastern Europe generalized method of moments CAPM wavelet analysis systematic risk Economics Business & Economics Social Sciences Business Rate of return Capital assets pricing model Stock markets Analysis Testing Hungary Czech Republic Slovenia Central and Eastern Europe D53 CAPM wavelet analysis G11 stock market generalized method of moments G15 D92 systematic risk EQUILIBRIUM MULTIVARIATE TESTS RISK GENERALIZED-METHOD MOMENTS
Online Access:	Fulltext
Database:	Central and Eastern European Online Library CEEOL: Open Access Central and Eastern European Online Library (C.E.E.O.L.) (DFG Nationallizenzen) Social Sciences Citation Index Web of Knowledge Web of Science - Social Sciences Citation Index - 2013 Web of Science CrossRef Directory of Open Access Journals Database information Databases - DBIS