THE VALIDITY OF CAPM AND ICAPM IN THE ISTANBUL STOCK EXCHANGE
EKONOMI POLITIKA & FINANS ARASTIRMALARI DERGISI, cilt.9, sa.1, ss.26-42, 2024 (ESCI, TRDizin)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 9 Sayı: 1
- Basım Tarihi: 2024
- Doi Numarası: 10.30784/epfad.1383837
- Dergi Adı: EKONOMI POLITIKA & FINANS ARASTIRMALARI DERGISI
- Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), TR DİZİN (ULAKBİM)
- Sayfa Sayıları: ss.26-42
- Açık Arşiv Koleksiyonu: AVESİS Açık Erişim Koleksiyonu
- Anadolu Üniversitesi Adresli: Evet
Özet
This study aims to answer the following research question: Are the Capital Asset Pricing Model (CAPM) and International Capital Asset Pricing Model (ICAPM) valid in the Istanbul Stock Exchange (ISE)? No broad agreement has been reached in the literature on this question, yet. Using an unbalanced panel of daily stock returns of companies in the BIST-30 index and as of BIST-100 index from March 2010 to February 2019, Athis paper seeks to provide new evidence on this discussion and explores whether the risk-expected return relationship is linear. In the empirical framework, panel regression analysis methodology is employed. Our findings indicate that both linear CAPM and linear ICAPM models are valid in ISE. Moreover, it is observed that the ICAPM outperforms the CAPM in explaining the stock returns for both indices. This outperformance is especially more pronounced for BIST-30 than BIST-100. Depending on these findings, investors can easily prioritize BIST100 over BIST-30 when constructing portfolios to reduce risk in the Turkish market, given the fact that exchange rate-relevant diversification is greater in BIST-100.