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

journal contribution
posted on 2023-06-08, 11:02 authored by Bruce Hearn
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

History

Publication status

  • Published

File Version

  • Published version

Journal

International Review of Financial Analysis

ISSN

1057-5219

Publisher

Elsevier

Issue

4

Volume

19

Page range

242-257

Department affiliated with

  • Business and Management Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2012-04-23

First Compliant Deposit (FCD) Date

2012-02-24

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