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Thin trading, the Estimation of Beta and the Relationship between Share return and Beta in an Emerging Market: Evidence from Botswana Stock Exchange
Stockholm University, Faculty of Social Sciences, School of Business, Finance. Stockholm University, Faculty of Social Sciences, School of Business.
Stockholm University, Faculty of Social Sciences, School of Business, Finance. Stockholm University, Faculty of Social Sciences, School of Business.
2009 (English)In: International Journal of Business Research, Vol. 9, no 1, 119-125 p.Article in journal (Refereed) Published
Abstract [en]

The capital market theory and stock price behavior is extensively tested in various developed markets, but there is still little such study in the emerging markets. However, most of the early studies support the validity of CAPM, while the later studies found that beta is not the sole determinant of share returns. The major objective of this study is to investigate the relationship between risk and return in the emerging market of Botswana. The study estimates beta, which is free from thin trading bias using Dimson (1979) correction model. This paper attempts to examine whether there is a significant positive relationship between beta and share return in the Botswana Stock Exchange (BSE) for the period of 2000-2005. The empirical results suggest that the overall market movements do not influence share returns.

Place, publisher, year, edition, pages
2009. Vol. 9, no 1, 119-125 p.
National Category
Business Administration
Research subject
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-55841OAI: oai:DiVA.org:su-55841DiVA: diva2:407031
Available from: 2011-03-29 Created: 2011-03-29 Last updated: 2011-05-06Bibliographically approved

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