The Dual-Beta Model: Evidence from the Malaysian Stock Market

  title={The Dual-Beta Model: Evidence from the Malaysian Stock Market},
  author={Kim-Sin Teh and Wee‐Yeap Lau},
  journal={Indonesian Capital Market Review},
The study analyzes the beta-return characteristic, considering the asymmetric beta behavior in the up market versus the down market for the Bursa Malaysia (BM). This study uses a sample period from 2001-2015 with two dual-beta models, the capital asset pricing model (CAPM), and the Fama-French, three-factor (FF3F) model, to examine 60 stocks listed on the bourse. The estimated return and beta indicate that most stocks have experienced an increasing (decreasing) beta in the downtrend (uptrend… 

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