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Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012

Year 2013, Volume: 3 Issue: 2, 253 - 275, 01.06.2013

Lucas Lucio Godeiro

Abstract

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.

Keywords

CAPM Multivariate GARCH Dynamic betas

Year 2013, Volume: 3 Issue: 2, 253 - 275, 01.06.2013

Lucas Lucio Godeiro

Abstract

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Details

Other ID JA72RR49FM
Journal Section Research Article
Authors

Lucas Lucio Godeiro This is me

Publication Date June 1, 2013
Published in Issue Year 2013 Volume: 3 Issue: 2

Cite

APA Godeiro, L. L. (2013). Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012. International Journal of Economics and Financial Issues, 3(2), 253-275.
AMA Godeiro LL. Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012. IJEFI. June 2013;3(2):253-275.
Chicago Godeiro, Lucas Lucio. “Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH Between 1995 and 2012”. International Journal of Economics and Financial Issues 3, no. 2 (June 2013): 253-75.
EndNote Godeiro LL (June 1, 2013) Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012. International Journal of Economics and Financial Issues 3 2 253–275.
IEEE L. L. Godeiro, “Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012”, IJEFI, vol. 3, no. 2, pp. 253–275, 2013.
ISNAD Godeiro, Lucas Lucio. “Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH Between 1995 and 2012”. International Journal of Economics and Financial Issues 3/2 (June 2013), 253-275.
JAMA Godeiro LL. Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012. IJEFI. 2013;3:253–275.
MLA Godeiro, Lucas Lucio. “Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH Between 1995 and 2012”. International Journal of Economics and Financial Issues, vol. 3, no. 2, 2013, pp. 253-75.
Vancouver Godeiro LL. Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012. IJEFI. 2013;3(2):253-75.