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

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dc.contributor.authorKorkmaz, Turban
dc.contributor.authorCevik, Emrah I.
dc.contributor.authorBirkan, Elif
dc.contributor.authorOzatac, Nesrin
dc.date.accessioned2026-02-06T18:47:04Z
dc.date.issued2010
dc.departmentDoğu Akdeniz Üniversitesi
dc.description.abstractIn 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.
dc.identifier.doi10.1080/1331677X.2010.11517411
dc.identifier.endpage59
dc.identifier.issn1331-677X
dc.identifier.issn1848-9664
dc.identifier.issue2
dc.identifier.orcid0000-0002-8155-1597
dc.identifier.orcid0000-0001-5468-2279
dc.identifier.scopus2-s2.0-78651254078
dc.identifier.scopusqualityQ1
dc.identifier.startpage44
dc.identifier.urihttps://doi.org/10.1080/1331677X.2010.11517411
dc.identifier.urihttps://hdl.handle.net/11129/14219
dc.identifier.volume23
dc.identifier.wosWOS:000281339000004
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherRoutledge Journals, Taylor & Francis Ltd
dc.relation.ispartofEconomic Research-Ekonomska Istrazivanja
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_WoS_20260204
dc.subjectCoal Firms
dc.subjectCAPM
dc.subjectMarkov Switching Model
dc.titleTESTING CAPM USING MARKOV SWITCHING MODEL: THE CASE OF COAL FIRMS
dc.typeArticle

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