Open AccessAn Exploration of the Time-varying Beta of the International Capital Asset Pricing Model: The Case of the Japanese and the Other Asia-Pacific Stock Markets
Author(s) -
Chikashi Tsuji
Publication year - 2017
Publication title -
accounting and finance research
Language(s) - English
Resource type - Journals
eISSN - 1927-5994
pISSN - 1927-5986
DOI - 10.5430/afr.v6n2p86
Subject(s) - capital asset pricing model , asia pacific , stock (firearms) , diversification (marketing strategy) , financial economics , economics , beta (programming language) , stock market , equity (law) , international market , monetary economics , business , international economics , international trade , geography , context (archaeology) , archaeology , marketing , computer science , political science , law , programming language
This study clarifies the state of dynamic evolution of the international CAPM betas for Asia Pacific (excluding Japan) and Japanese stock returns: first, both for Asia Pacific and Japanese stock markets, the time-invariant international CAPM beta values are not high. Second, over the period from July 2, 1990 to May 30, 2016, for Asia Pacific stock markets, the time-varying international CAPM betas gradually increase; while for the Japanese market, the time-varying international CAPM betas gradually decrease. We also find that the international time-varying CAPM betas for Japan are recently lower than those for Asia Pacific markets, thus, in the global equity investments, Japanese equities are more useful to obtain the diversification effects than the other Asia Pacific equities.