hrcak mascot   Srce   HID

Original scientific paper

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

Turhan Korkmaz
Emrah Çevik
Nesrin Özataç

Fulltext: english, pdf (467 KB) pages 44-60 downloads: 893* cite
APA 6th Edition
Korkmaz, T., Çevik, E. & Özataç, N. (2010). TESTING CAPM USING MARKOV SWITCHING MODEL: THE CASE OF COAL FIRMS. Economic research - Ekonomska istraživanja, 23 (2), 44-60. Retrieved from 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, no. 2, 2010, pp. 44-60. https://hrcak.srce.hr/57911. Accessed 23 Jul. 2019.
Chicago 17th Edition
Korkmaz, Turhan, Emrah Çevik and Nesrin Özataç. "TESTING CAPM USING MARKOV SWITCHING MODEL: THE CASE OF COAL FIRMS." Economic research - Ekonomska istraživanja 23, no. 2 (2010): 44-60. https://hrcak.srce.hr/57911
Harvard
Korkmaz, T., Çevik, E., and Özataç, N. (2010). 'TESTING CAPM USING MARKOV SWITCHING MODEL: THE CASE OF COAL FIRMS', Economic research - Ekonomska istraživanja, 23(2), pp. 44-60. Available at: https://hrcak.srce.hr/57911 (Accessed 23 July 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 [cited 2019 July 23];23(2):44-60. Available from: https://hrcak.srce.hr/57911
IEEE
T. Korkmaz, E. Çevik and N. Özataç, "TESTING CAPM USING MARKOV SWITCHING MODEL: THE CASE OF COAL FIRMS", Economic research - Ekonomska istraživanja, vol.23, no. 2, pp. 44-60, 2010. [Online]. Available: https://hrcak.srce.hr/57911. [Accessed: 23 July 2019]

Abstracts
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.

Keywords
Coal Firms; CAPM; Markov Switching Model

Hrčak ID: 57911

URI
https://hrcak.srce.hr/57911

[croatian]

Visits: 1.409 *