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

Author

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  • Lucas Lucio Godeiro

    (Department of Agrotechnology and Social Science, Federal Rural University of Semi-Arid, Brazil)

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.

Suggested Citation

  • Lucas Lucio Godeiro, 2013. "Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012," International Journal of Economics and Financial Issues, Econjournals, vol. 3(2), pages 253-275.
    • Handle: RePEc:eco:journ1:2013-02-1
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    Keywords

    CAPM; Multivariate GARCH; Dynamic betas;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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