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Comparative study of the instability and dynamics of systematic risk for Tehran Stock Exchange and a selected group of emerging stock markets

Esmaeel Ramazanpoor; Mohammad Hassan Gholizadeh; Abbas Kalantary

Volume 18, Issue 56 , October 2013, , Pages 157-186

Abstract
  This study investigates the stability of systematic risk of Tehran stock Exchange and a selected group of emerging stock markets including of Latin America, Asian South eastern and Istanbul Stock Exchange. The study uses time series specification of CAPM model (Black et al, 1972) and employs Bai and ...  Read More