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International Journal of Management, IT and Engineering
Year : 2018, Volume : 8, Issue : 8
First page : ( 107) Last page : ( 119)
Online ISSN : 2249-0558.

The Conditional Relationship between Systematic Risk and Return in Indian Equity Market

Chaudhary CA Rashmi*, Dr. Mishra Preeti**, Dr. Srivastava Sankalp***

*Research Scholar, Department of Management, BBD University, Lucknow, U.P, India. Email: carashmichaudhary@gmail.com

**Associate Professor, Department of Management, BBDNITM, Lucknow

***Associate Professor, Department of International Business, ITM, Navi Mumbai

Online published on 18 October, 2019.

Abstract

One of the important conditions for the traditional CAPM to hold is that the expected market risk premium must be positive. However, the validity of the traditional CAPM model is tested on realized returns rather than on expected return and the realized returns may be positive or negative. The current study aims at developing the model which incorporates both rising and declining market and testing it for the Indian market. The results of the study show that realized returns vary directly (inversely) with beta during up (down) market. The results further indicate the asymmetric relationship between betas and return in up and down markets.

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Keywords

Capital Asset Pricing Model, Conditional Relationship, Beta, Emerging Market, Indian Stock Market.

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