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Time varying size and liquidity effects in South Asian equity markets: A study of blue-chip industry stocks

Time varying size and liquidity effects in South Asian equity markets: A study of blue-chip industry stocks
Time varying size and liquidity effects in South Asian equity markets: A study of blue-chip industry stocks

This paper contrasts the performance of the Capital Asset Pricing Model (CAPM) augmented by size and liquidity factors with its time varying coefficient counterpart, using a unique market universe compiled from constituent stocks of blue chip indices BSE-100 (India), KSE-30 (Pakistan), DSE-20 (Bangladesh) and Dow Jones Titans (Sri Lanka). The evidence suggests that substantial size and liquidity effects are present in all markets with the exception of Sri Lanka. Time varying liquidity beta profiles reveal that the financial sectors of all South Asian markets have been affected by the 2008 financial crisis with exception of Sri Lanka where the market is influenced by the prolonged civil war.

CAPM, Emerging financial markets, G11, G12, G15, Kalman filter, Liquidity, O55, South Asia
1057-5219
242-257
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2

Hearn, Bruce (2010) Time varying size and liquidity effects in South Asian equity markets: A study of blue-chip industry stocks. International Review of Financial Analysis, 19 (4), 242-257. (doi:10.1016/j.irfa.2010.08.007).

Record type: Article

Abstract

This paper contrasts the performance of the Capital Asset Pricing Model (CAPM) augmented by size and liquidity factors with its time varying coefficient counterpart, using a unique market universe compiled from constituent stocks of blue chip indices BSE-100 (India), KSE-30 (Pakistan), DSE-20 (Bangladesh) and Dow Jones Titans (Sri Lanka). The evidence suggests that substantial size and liquidity effects are present in all markets with the exception of Sri Lanka. Time varying liquidity beta profiles reveal that the financial sectors of all South Asian markets have been affected by the 2008 financial crisis with exception of Sri Lanka where the market is influenced by the prolonged civil war.

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More information

Accepted/In Press date: 26 August 2010
e-pub ahead of print date: 3 September 2010
Published date: September 2010
Keywords: CAPM, Emerging financial markets, G11, G12, G15, Kalman filter, Liquidity, O55, South Asia

Identifiers

Local EPrints ID: 423420
URI: http://eprints.soton.ac.uk/id/eprint/423420
ISSN: 1057-5219
PURE UUID: 6a2c32f2-9e8c-4416-91cc-4a5561767389
ORCID for Bruce Hearn: ORCID iD orcid.org/0000-0001-9767-0198

Catalogue record

Date deposited: 21 Sep 2018 16:30
Last modified: 02 Aug 2022 01:56

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