The pricing of risky assets in two emerging Asian markets: Korea and Taiwan

Yan Leung Stephen CHEUNG, Kie Ann WONG, Richard Yan Ki HO

Research output: Contribution to journalArticle

35 Citations (Scopus)

Abstract

This study presents the results of empirical tests on the relationships between average stock returns and various measures of risk in two of the most important emerging Asian stock markets, Korea and Taiwan, over the period 1980-88. The findings show that the applicability of CAPM seems weak in both markets, particularly in Taiwan. In some subperiods, total risk appears to be a better risk measure in both markets. A comparison with other studies on Hong Kong and Singapore reveals that the inapplicability of the CAPM on emerging Asian markets is rather common.  Copyright © 1993 Taylor & Francis Group, LLC. All rights reserved.

Original languageEnglish
Pages (from-to)315-324
JournalApplied Financial Economics
Volume3
Issue number4
DOIs
Publication statusPublished - Jan 1993

Fingerprint

Capital asset pricing model
Korea
Taiwan
Pricing
Assets
Emerging Asian markets
Total risk
Singapore
Hong Kong
Empirical test
Asian stock markets
Risk measures
Stock returns
Measure of risk

Citation

Cheung, Y.-L., Wong, K.-A., & Ho, Y.-K. (1993). The pricing of risky assets in two emerging Asian markets: Korea and Taiwan. Applied Financial Economics, 3(4), 315-324.