Testing the Validity of CAPM on Bucharest Stock Exchange

Blaga Florin, Mihai Dănuț-Georgian (), Trifu Ludovic-Cosmin and Bichir-Ghelase Antonela
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Blaga Florin: The Bucharest University of Economic Studies, Bucharest, Romania
Mihai Dănuț-Georgian: The Bucharest University of Economic Studies, Bucharest, Romania
Trifu Ludovic-Cosmin: The Bucharest University of Economic Studies, Bucharest, Romania
Bichir-Ghelase Antonela: Valahia University of Târgoviște, Romania

Proceedings of the International Conference on Business Excellence, 2024, vol. 18, issue 1, 424-431

Abstract: In this paper, we test the validity of CAPM hypothesis during COVID-19 period. Using 10 high-liquid securities traded on Bucharest Stock Exchange during February 2020 to April 2020, we estimate the baseline CAPM alongside two additional extensions controlling for COVID-19 related news and foreign stock exchange evolution. With only one exception, for all the securities included in the analysis, the CAPM is valid regardless of the model specification, suggesting that during COVID-19 financial turmoil, the investors trading on Bucharest Stock Exchange had a rational behavior.

Keywords: CAPM; Bucharest Stock Exchange; Quantile Regression; COVID-19; investor behavior (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:poicbe:v:18:y:2024:i:1:p:424-431:n:1011

DOI: 10.2478/picbe-2024-0036

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