TESTING CAPM USING MARKOV SWITCHING MODEL: THE CASE OF COAL FIRMS
Turhan Korkmaz, Emrah Ismail Cevik, Elif Birkan, Nesrin Ozatac
article (Uluslararası, Hakemli) | Yazar(lar): Turhan Korkmaz, Emrah Ismail Cevik, Elif Birkan, Nesrin Ozatac | Yıl: 2010 | Dergi/Kurum: ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA | İndeks: WOS.SSCI | Anahtar Kelimeler: Coal Firms, CAPM, Markov Switching Model — Özet: In this study, the relation between the coal firms tha
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-CA PM 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.