China's segmented stock market: An application of the conditional international capital asset pricing model

2008 ◽  
Vol 9 (3) ◽  
pp. 153-173 ◽  
Author(s):  
Brian J. Jacobsen ◽  
Xiaochun Liu
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
International Capital ◽  
Capital Asset ◽  
Asset Pricing Model

scholarly journals An Empirical Research of the Consumption-based Capital Asset Pricing Model: Evidence from China’s Stock Market

2021 ◽  
Vol 2 (4) ◽  
Author(s):  
Wenlai Yang
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Empirical Research ◽  
Empirical Method ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Model Evidence

Recently, the Capital Asset Pricing Model has been widely used in the stock market. The traditional Capital Asset Pricing Model has been revised and expanded to the Consumption-based Capital Asset Model. This article does the research in the following ways. Firstly, this article summarizes the Capital Asset Pricing Model and empirical method. Secondly, it analyzes and processes the data worked out of the Capital Asset Pricing Model. Finally, it analyzes the empirical results.

Markov Switching International Capital Asset Pricing Model, an Emerging Market Case: Mexico

2018 ◽  
Vol 17 (1) ◽  
pp. 96-129 ◽  
Author(s):  
Humberto Valencia-Herrera ◽  
Francisco López-Herrera
Keyword(s):  
Asset Pricing ◽  
Regime Switching ◽  
Emerging Market ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
International Capital ◽  
Capital Asset ◽  
Markov Regime Switching ◽  
Asset Pricing Model

The article shows how the international capital asset pricing model (ICAPM) with Markov regime switching can model the asset returns in the emerging market of Mexico. For most assets, although significant, the international risk premium factor is not subject to regime switching, but the domestic factor is. The probabilities of regimes are correlated with the volatility of assets. A GARCH(1,1) Markov regime switching model offers better adjustment than a non-GARCH. JEL Classification: C58, F36, F65, G12, G15

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