Validity of asset pricing models in Istanbul Stock Exchange (ISE) information technology index

Akin Arda, Arif Saldanli and Sümeyra Uzun
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Akin Arda: Istanbul University, Turkey
Arif Saldanli: Istanbul University, Turkey
Sümeyra Uzun: Istanbul University, Turkey

Theoretical and Applied Economics, 2023, vol. XXX, issue 1(634), Spring, 115-136

Abstract: Statistical models have been created to understand capital assets' return and risk. In the empirical studies in which these developed models were tested, it was concluded that the models were valid in some periods and some samples, but not in others. In this study, it is aimed to test whether the developed asset pricing models are valid for the stocks in the Borsa Istanbul (Istanbul Stock Exchange – ISE) Information Technology Index. Model tests were carried out with panel data analysis. The data set consists of the monthly returns of 13 companies traded in the ISE Information Technology Index for the period 2013/January-2019/December. Model tests were performed on both portfolio and stock basis. As a result of the tests, it was concluded that CAPM is valid in firm-based studies in the ISE Information Technology Index, and both CAPM and C4F are valid in portfolio-based studies.

Keywords: Capital Asset Pricing Model (CAPM); Fama French Pricing Models; ISE Technology Index; panel data. (search for similar items in EconPapers)
Date: 2023
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