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-  2018 

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

DOI: 10.1177/0972652717748089

Keywords: International asset pricing model,Markov regime switching,GARCH

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Abstract:

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, G1

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