"Revisiting Beta Dynamics in Indian Stock Market: An Empirical CAPM Exploration”

Abstract

In this article, the stock market of India is examined using the widely used CAPM asset pricing model in finance. Statistical methods like t-test, regression, and generalized methods of moments (GMM) were employed to compare actual and predicted returns and determine the coefficients. The model's accuracy and efficacy are confirmed using Gretl, EViews, and SPSS. The GRS p-value suggests that the market element is insufficient to explain the return, in accordance with the study's conclusions. This leads one to conclude that the beta is statistically significant based on the beta p-value. It follows that both small and large size portfolio results have been significantly influenced by thepremium of market risk. Because they have evidence to disqualify the null and accept the alternative hypothesis, the authors conclude that market risk significantly influences asset returns, as seen by the beta coefficient.