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Economic research - Ekonomska istraživanja, Vol. 23 No. 2, 2010.

Izvorni znanstveni članak

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

Turhan Korkmaz
Emrah Çevik
Nesrin Özataç

Puni tekst: engleski, pdf (467 KB) str. 44-60 preuzimanja: 847* citiraj
APA 6th Edition
Korkmaz, T., Çevik, E. i Özataç, N. (2010). TESTING CAPM USING MARKOV SWITCHING MODEL: THE CASE OF COAL FIRMS. Economic research - Ekonomska istraživanja, 23 (2), 44-60. Preuzeto s https://hrcak.srce.hr/57911
MLA 8th Edition
Korkmaz, Turhan, et al. "TESTING CAPM USING MARKOV SWITCHING MODEL: THE CASE OF COAL FIRMS." Economic research - Ekonomska istraživanja, vol. 23, br. 2, 2010, str. 44-60. https://hrcak.srce.hr/57911. Citirano 20.04.2019.
Chicago 17th Edition
Korkmaz, Turhan, Emrah Çevik i Nesrin Özataç. "TESTING CAPM USING MARKOV SWITCHING MODEL: THE CASE OF COAL FIRMS." Economic research - Ekonomska istraživanja 23, br. 2 (2010): 44-60. https://hrcak.srce.hr/57911
Harvard
Korkmaz, T., Çevik, E., i Özataç, N. (2010). 'TESTING CAPM USING MARKOV SWITCHING MODEL: THE CASE OF COAL FIRMS', Economic research - Ekonomska istraživanja, 23(2), str. 44-60. Preuzeto s: https://hrcak.srce.hr/57911 (Datum pristupa: 20.04.2019.)
Vancouver
Korkmaz T, Çevik E, Özataç N. TESTING CAPM USING MARKOV SWITCHING MODEL: THE CASE OF COAL FIRMS. Economic research - Ekonomska istraživanja [Internet]. 2010 [pristupljeno 20.04.2019.];23(2):44-60. Dostupno na: https://hrcak.srce.hr/57911
IEEE
T. Korkmaz, E. Çevik i N. Özataç, "TESTING CAPM USING MARKOV SWITCHING MODEL: THE CASE OF COAL FIRMS", Economic research - Ekonomska istraživanja, vol.23, br. 2, str. 44-60, 2010. [Online]. Dostupno na: https://hrcak.srce.hr/57911. [Citirano: 20.04.2019.]

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

[hrvatski]

Posjeta: 1.351 *