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CAPM and The JSX
Article from Bulletin/Magazine
Jurnal Manajemen Prasetiya Mulya vol. III no. 5 (1995)
JJ10.2 3(5) 95 65-70.pdf
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The jakarta stock exchange has experienced tremendous growth since its deregulation in 1989. As is typical for any emerging equity market, the JSX offers high returns in combination with high volatility. We test the CAPM for the period 1991 - 1993 deriving alpha's and beta's for a sample of leading stocks listed on the JSX. We also test for risk diversification using random stock selection, diversification by industry, and markowitz diversification. Randomly selected portfolios, even across different industries, are clearly dominated by efficient portfolio. Investors should fully exploit the relationships between individual stocks and with the jakarta stock market as a whole while constructing an investment portfolio.
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