The International Risk Pricing Framework of the International Capital Asset Pricing Model
“Analytical study”
in a sample of Common Stocks Of International
Stock Exchanges
A Dissertation Submitted By
Arshad Abdulameer Jasim
To the Council of College of Administration and Economics/University of Karbala
As a Partial Fulfillment of the Requirements for the Philosophy
Doctorate Degree in of Business Administration
Supervised by
Asst. Prof. Dr. Maitham Rabee Al-Hisnawi

Abstract

Under the growing of technical knowledge development include
modern connection instrument which made as small village. Due to
reasons, there was sharp increase fluctuation in economic, policy and
finance, accompanied with the beginning of the 20th century with made
from investment environment represent risk factors around it (National
and International) face clear threatening to investment activity of local
investment because of the effect of high and low returns which the
investor hops to obtain due to the acceptance of this risk.
Hence, it is necessary to understand these factors to face problems
caused by these risks in general and try to make price for these risks in
formal model to ensure and achieve what the investor want to obtain.
It is of importance to know the local capital asset price model (CAPM)
which was still represent thinking conclusion about expiratory in risk
processing in world form which faces investors individually or finance
institutions when multiple risk factors were expanded and affect
directly on investment activity and then on investment decision.
This study was conducted to assess on the locally and
Internationally,….i.e. Policy, economic and finance ( which included
the differences in interest rates, exchange prices of currency , inflation
states and country private factors and their roles as internal effective
factors in the composition of price models which were local model ( in
their two models ..i.e. (one index or multiple index) or world model (one
index or multiple index) .
Detailed analysis was done to the above two models (local and
international ) on data that were obtained from international )on data that
were obtained from studying samples included market for seven chosen
countries of ten companies for each market on restrict looking conditions
from the period of April, 2011 till April ,2015 , by using great of finance
statistical analysis techniques.
It was abstract ( observed, noticed ) some conclusion obtained from
this study, the most important was locally capital asset price model of one
index in spite of its suitability to risks prices in local stocks, is not
suitable in risk investment pricing in these stocks .
World models, particularly, of one index (ICAPM) and multiple
countries (IAPM) it is suitable for the pricing of international investment
risk in stocks.
From the results of this study, it can be recommended that of
importance for Iraqi investor to put his mind that the opportunities of
world investment was the best (in return and risk) compared to the locally
investment opportunities. To get these, the investor must try to exploit

these opportunities, but need to assess the threatening of world risk
environment multiple dimensions.
Therefore, the investor must depend on exact pricing model (world
model) which gives exact knowledge about market goodness that deals
with world price stocks, this make the investor able to build optimum
portfolio active in scientific and efficient model, this characteristic
cannot be achieved with local models.