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TESTING CAPM USING MARKOV SWITCHING MODEL: THE CASE OF COAL FIRMS

Turhan Korkmaz
Emrah Çevik
Nesrin Özataç

Sažetak

In this study, the relation between the coal firms that are traded in New York Stock Exchange
and S&P500 index is analyzed. The return of the coal firms and the market return are analyzed by
using traditional CAPM and two-state Markov regime switching CAPM (MS-CAPM). According to
the Likelihood Ratio test, two-state regime MS-CAPM gives better results and indicates a non-linear
relation between return and risk. It is found that beta shows variability in regard to low and high
volatile periods making linear CAPM to provide deviated results.

Ključne riječi

Coal Firms; CAPM; Markov Switching Model

Hrčak ID:

57911

URI

https://hrcak.srce.hr/57911

Datum izdavanja:

1.7.2010.

Podaci na drugim jezicima: hrvatski

Posjeta: 3.033 *