Altay, E. (2003). The effect of macroeconomic factors on asset returns. A comparative analysis of the German and the Turkish stock markets in an APT foreign market (pp. 217-237). Germany: Financ: University Library of Munich.
Arthur, L. M., Carter, C. A., & Abizadeh, F. (1988). Arbitrage pricing, capital asset pricing, and agricultural assets. American Journal of Agricultural Economics, 70(2), 359-365. Available at: https://doi.org/10.2307/1242076.
Basu, D., & Chawla, D. (2012). An empirical test of the arbitrage pricing theory—the case of Indian stock market. Global Business Review. Global Business Review, 13(3), 421–432. Available at: https://doi.org/10.1177/097215091201300305.
Cauchie, S., Hoesli, M., & Isako, D. (2004). The determinants of stock returns in a small open economy. International Review of Economics & Finance, 13(2), 167-185. Available at: 10.1016/j.iref.2003.07.001.
Chen, N.-F., Roll, R., & Ross, S. A. (1986). Economic forces and the stock market. Journal of Business, 59(3), 383-403.
Chowdhury, T. A. (2005). An overview of Bangladesh stock market (Vol. 45). Portfolio: Chittagong Stock Exchange Ltd.
Dimitrova, D. (2005). The relationship between exchange rates and stock prices: Studied in a multivariate model. Issues in political Economy, 14(1), 3-9.
Dimson, E., & Mussavian, M. (1999). Three centuries of asset pricing. Journal of Banking & Finance, 23(12), 1745-1769.
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56. Available at: https://doi.org/10.1111/1540-6229.00717.
Fama, E. F., & French, K. R. (1995). Size and book-to-market factors in earnings and returns. The Journal of Finance, 50(1), 131-155.
Handa, P., & Linn, S. C. (1993). Arbitrage pricing with estimation risk. Journal of Financial and Quantitative Analysis, 28(1), 81-100.
Imam, M. O. (2001). Capital market development in Bangladesh: Problems and prospects. Portfolio: Chittagong Stock Exchange Ltd.
Ingersoll, J. E. (1984). Some results in the theory of arbitrage pricing. The Journal of Finance, 39(4), 1021-1039. Available at: https://doi.org/10.1111/j.1540-6261.1984.tb03890.x.
Iqbal, N., Khattak, S. R., Khattak, M. A., & Ullah, I. (2012). Testing the arbitrage pricing theory on karachi stock exchange. Interdisciplinary Journal of Contemporary Research in Business, 4(8), 839-853.
Kandel, S., & Stambaugh, R. F. (1987). On correlations and inferences about mean-variance efficiency. Journal of Financial Economics, 18(1), 61-90.
Koutmos, G., & Theodossiou, P. (1993). APT with observed factors and conditional heteroskedasticity. Managerial Finance, 19(3/4), 24-39.
Lehmann, B. N., & Modest, D. M. (2005). Diversification and the optimal construction of basis portfolios. Management Science, 51(4), 581-598.
Mollik, A., & Bepari, M. K. (2010). Instability of stock beta in Dhaka stock exchange, Bangladesh. Managerial Finance, 36(10), 886-902. Available at: https://doi.org/10.1108/03074351011070251.
Nshom, A. M. (2007). The association of exchange rates and stock returns. Master’s Thesis, UMEA School of Business, UMEA University, Sweden
Ramadan, I. Z. (2012). The validity of the arbitrage pricing theory in the Jordanian Stock market. International Journal of Economics and Finance, 4(5), 177-185. Available at: http://dx.doi.org/10.5539/ijef.v4n5p177 .
Sarver, L., & Philippatos, G. C. (1993). The arbitrage pricing theory and foreign exchange risk premia. Managerial Finance, 19(3/4), 40-67.
Shanken, J. (1985). Multi-beta CAPM or equilibrium APT? A reply. Journal of Finance, 40(4), 1189-1196.
Sharpe, W. F., & Cooper, G. M. (1972). Risk-return classes of New York Stock Exchange common stocks, 1931-1967. Financial Analysts Journal, 28(2), 46-54.
Zubairi, H. J., & Farooq, S. (2012). Testing the validity of CAPM and APT in the oil, gas and fertilizer companies listed on the Karachi stock exchange. Paper presented at the Financial Markets & Corporate Governance Conference.
This study received no specific financial support.
The authors declare that they have no competing interests.
Authors are indebted to Dhaka Stock Exchange (DSE) and Bangladesh Bank authority for providing necessary data and reports. They also express their gratitude to different finance scholars, academicians, and officials of DSE who assist them through their invaluable suggestions, insight thoughts and constructive criticisms.