Systematic Risk of Malaysian Stock / Tay Bee Hoong, Tan Yan Ling, Nur'Asyiqin Ramdhan and Zulkifli Mohamed

• Main Authors: Tay, Bee Hoong, Tan, Yan Ling, Ramdhan, Nur'Asyiqin, Mohamed, Zulkifli
• Format: Conference or Workshop Item
• Language: English
• Published: 2012
• Subjects: Stock exchanges. Insider trading in securities; Stock price indexes. Stock quotations
• Online Access: https://ir.uitm.edu.my/id/eprint/54182/1/54182.pdf; https://ir.uitm.edu.my/id/eprint/54182/

The aims of this study are to examine the stability and predictive ability of beta values as a forecasting tool to evaluate the investment risk. Beta values are computed based on Single Index Model proposed by Sharpe (1964). Stability of beta is examined based on a simple paired observation test wh...