Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012
The paper tests the CAPM for the Brazilian stock market using dynamic betas. The sample involves 28 stocks included in the Ibovespa portfolio as of March 21, 2012 and that were traded during the period from Jan. 01, 1995 to March 20, 2012. Dynamic betas were estimated and conditional betas contribut...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2013-06-01
|
| Series: | International Journal of Economics and Financial Issues |
| Subjects: | |
| Online Access: | https://dergipark.org.tr/tr/pub/ijefi/issue/31957/351903?publisher=http-www-cag-edu-tr-ilhan-ozturk |
| _version_ | 1828024930831171584 |
|---|---|
| author | Lucas Lucio Godeiro |
| author_facet | Lucas Lucio Godeiro |
| author_sort | Lucas Lucio Godeiro |
| collection | DOAJ |
| description | The paper tests the CAPM for the Brazilian stock market using dynamic betas. The sample involves 28 stocks included in the Ibovespa portfolio as of March 21, 2012 and that were traded during the period from Jan. 01, 1995 to March 20, 2012. Dynamic betas were estimated and conditional betas contributed with larger explanatory power of excess cross section returns. The main contribution of the paper is the estimation of dynamic betas for Ibovespa shares, which can be useful for investors using Long x Short strategies. |
| first_indexed | 2024-04-10T12:53:00Z |
| format | Article |
| id | doaj.art-9c30596f60fa455ca55af009b21c1884 |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T12:53:00Z |
| publishDate | 2013-06-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-9c30596f60fa455ca55af009b21c18842023-02-15T16:13:41ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382013-06-01322532751032Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012Lucas Lucio GodeiroThe paper tests the CAPM for the Brazilian stock market using dynamic betas. The sample involves 28 stocks included in the Ibovespa portfolio as of March 21, 2012 and that were traded during the period from Jan. 01, 1995 to March 20, 2012. Dynamic betas were estimated and conditional betas contributed with larger explanatory power of excess cross section returns. The main contribution of the paper is the estimation of dynamic betas for Ibovespa shares, which can be useful for investors using Long x Short strategies.https://dergipark.org.tr/tr/pub/ijefi/issue/31957/351903?publisher=http-www-cag-edu-tr-ilhan-ozturkcapm multivariate garch dynamic betas |
| spellingShingle | Lucas Lucio Godeiro Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012 International Journal of Economics and Financial Issues capm multivariate garch dynamic betas |
| title | Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012 |
| title_full | Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012 |
| title_fullStr | Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012 |
| title_full_unstemmed | Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012 |
| title_short | Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012 |
| title_sort | testing the capm for the brazilian stock market using multivariate garch between 1995 and 2012 |
| topic | capm multivariate garch dynamic betas |
| url | https://dergipark.org.tr/tr/pub/ijefi/issue/31957/351903?publisher=http-www-cag-edu-tr-ilhan-ozturk |
| work_keys_str_mv | AT lucasluciogodeiro testingthecapmforthebrazilianstockmarketusingmultivariategarchbetween1995and2012 |