31
Table
5 shows the results of .PartII of the_ indirect
test
for the CAPH with NHE using sectoral groups of .securities for the annual and the 1976-1979 periods for BCI, Mining and Small Board.
For BCI, the coefficient of the sectoral beta is significant for
1977
and the 1976-1979 periods and
_0 = RF
at .05
This means that the simple CAPM explains the data.
For
level. Mining,
the coefficient of the sectoral beta is significant only for 1977 but
m
the
data.
0
< R
.
F
This means that the simple CAPM cannot explain
Finally,
the
coefficient of the sectoral beta " for
Small Board is significant for 1977 and the 1976-1979 periods but _0
_10_FI " data.
Again,
the Simple
CAPM
is
unable to
explain the
Of the total 15 regression estimates made, " only five showed significant
relationship at the .05 level.
1977, the explanatory power ofthe coefficient test
Except for
BCI
sectoral beta, in terms of the
of determination for the significant portion of
results,
is
generally
in
low,
with
at
most
25%
of
the the
variations in the dependent variable explained.
These different results by sectoral groups might also be interpreted in the light of the segmentation hypothesis. For a study on capital market segmentation using the CAPM framework, see Errunza and Losq _1985).