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Macroeconomic transitions and the transmission mechanism: Evidence from Turkey

✍ Scribed by A. Nazif Çatık; Christopher Martin

Book ID
116424461
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
725 KB
Volume
29
Category
Article
ISSN
0264-9993

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The UK stockmarket is tested for mean variance efficiency (MVE) in the sense that sectoral stock returns satisfy the restrictions implied by CAPM. There are two main innovations in the paper. One is the use of a model for excess returns in which the conditional covariance matrix of returns varies ov