The study examined the contagion effect of financial market volatility from Australian capital market to Indian, New Zealand, Hong Kong, Chinese, Taiwan, and Japanese capital markets due to Australian catastrophe. In the first stage, we employed two-variable vector autoregression (VAR) model for...

Abstract: In this study, we attempt to extend the fundamental CAPM by including the unsystematic risk premium. We considered the sum of the operating and financial risk premium as the unsystematic risk premium of a security which must be greater than the risk free rate (Rf). Both operating...