Testing the Validity of Arbitrage Pricing Theory: A Study on Dhaka Stock Exchange Bangladesh

Syed Md. Khaled Rahman, Priyanka Mazumder
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引用次数: 2

Abstract

The purpose of the study was to test the validity of Arbitrage Pricing Theory (APT) in Dhaka Stock Exchange (DSE) of Bangladesh. Secondary data has been used which was composed of observable macroeconomic and stock market variables. Study period was from January 2013 to October 2018, making a total of 70 monthly observations. Study found that interest rate and exchange rate has significant influence but market capitalization and tax rate have insignificant impact on return of DS-30 index. Except exchange rate, other three variables were negatively related with DS-30 index return. 1% increases in exchange rate results 0. 993% increase in stock prices while 1% increases in interest rate results 0. 486% decrease in stock prices and vice-versa. Strong negative correlation was seen between interest rate and stock index return. APT have failed to fully explain the change of DS-30 index return due to presence of two insignificant explanatory variables. This research has practical implications on stock market participants as investors’ optimal strategy largely influence d by precision of asset pricing models. This research has also policy implications for Securities & Exchange Commission, government, and other regulators as findings of the study will assist them to develop more efficient capital market. study existing literature of asset judging its reliability Bangladeshi study of Arbitrage in stock return. tested the validity of APT in Karachi Stock Exchange of Pakistan using four macroeconomic factors and listed firms’ stocks that was since return did not deviate from
检验套利定价理论的有效性:以孟加拉国达卡证券交易所为例
本研究的目的是检验套利定价理论(APT)在孟加拉国达卡证券交易所(DSE)的有效性。二级数据由可观察的宏观经济和股票市场变量组成。研究期间为2013年1月至2018年10月,共进行了70次月度观察。研究发现,利率和汇率对DS-30指数的收益率影响显著,而市值和税率对DS-30指数的收益率影响不显著。除汇率外,其余三个变量均与DS-30指数收益率呈负相关。汇率上升1%的结果是0。股票价格上涨993%,而利率上涨1%,结果为0。股价下跌486%,反之亦然。利率与股指收益率呈显著负相关。由于存在两个不显著的解释变量,APT未能充分解释DS-30指数收益的变化。该研究对股票市场参与者具有实际意义,因为投资者的最优策略在很大程度上受资产定价模型精度的影响。本研究对证券交易委员会、政府和其他监管机构也有政策意义,研究结果将有助于他们发展更有效的资本市场。研究现有的资产可靠性判断文献,孟加拉股票收益套利研究。利用四个宏观经济因素对巴基斯坦卡拉奇证券交易所的APT有效性进行了检验,上市公司的股票自回归以来没有偏离
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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