The study generalized for selecting of non -linear capital asset pricing model for top securities in BSE and made an attempt to identify the marketable and non-marketable risk of investors of top companies. The analysis was conducted at different stages. They are Vector auto regression of systematic and unsystematic risk. | Modeling the autoregressive capital asset pricing model for top 10 selected securities in BSE INTERNATIONAL JOURNAL OF MANAGEMENT IJM ISSN 0976-6502 Print ISSN 0976-6510 Online IJM Volume 7 Issue 2 February 2016 pp. 314-325 http ijm IAEME Journal Impact Factor 2016 Calculated by GISI MODELING THE AUTOREGRESSIVE CAPITAL ASSET PRICING MODEL FOR TOP 10 SELECTED SECURITIES IN BSE Dr. . David Sam Jayakumar Assistant Professor Jamal Institute of Management Tiruchirappalli 620 020 W. Samuel Research Scholar Jamal Institute of Management Tiruchirappalli 620 020 ABSTRACT Systematic risk is the uncertainty inherent to the entire market or entire market segment and Unsystematic risk is the type of uncertainty that comes with the company or industry we invest. It can be reduced through diversification. The study generalized for selecting of non - linear capital asset pricing model for top securities in BSE and made an attempt to identify the marketable and non-marketable risk of investors of top companies. The analysis was conducted at different stages. They are Vector auto regression of systematic and unsystematic risk. Key words Systematic Risk Unsystematic Risk and Vector Auto Regression Cite this Article Dr. . David Sam Jayakumar and W. Samuel. Modeling The Autoregressive Capital Asset Pricing Model For Top 10 Selected Securities In BSE. International Journal of Management 7 2 2016 pp. 314-325. http ijm INTRODUCTION AND RELATED WORK The capital asset pricing model CAPM of William Sharpe 1964 and John Lintner 1965 marks the birth of asset pricing theory resulting in a Nobel Prize for Sharpe in 1990 . Four decades later the CAPM is still widely used in applications such as estimating the cost of capital for firms and evaluating the performance of managed portfolios. The CAPM builds on the model of portfolio choice developed by Harry Markowitz 1959 . In Markowitz s model an investor selects a .
