Theoretical and Applied Economics
No. 1 / 2023 (634), Spring
Validity of asset pricing models in Istanbul Stock Exchange (ISE) information technology index
Istanbul University, Turkey
Arif SALDANLI
Istanbul University, Turkey
Sümeyra UZUN
Istanbul University, Turkey
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.
Contents
Obstacles to innovation and policy implications: exploring the case of Romanian firms
Adjusting the 5C pentagon for better health policymaking: observing the leading behavioural risks factors (diet, smoking, and alcohol consumption)
Incentivizing CEOs via pay and forced turnover: Do tenure and managerial ability matter?
Forecasting the Romanian inflation rate: An Autoregressive Integrated Moving-Average (ARIMA) approach
The effects of geopolitical risks on tourism revenues of the Middle East and Asian countries
The potential of macroeconomic forces and ICT in affecting the sectorial growth: ARDL approach in the context of East Asian countries
Validity of asset pricing models in Istanbul Stock Exchange (ISE) information technology index
Dynamic relationship between external debt and unemployment in Sub-Saharan Africa
An analysis of factors influencing empowerment of rural women through Deendayal Antyodaya Yojana – National Rural Livelihood Mission (SGSY)
The impact of Covid-19 payment moratoria on the Romanian banking system
Uncertainty and monetary policy during the Covid-19 pandemic in Tunisia: Evidence from a Bayesian VAR
Research on the evolution of migration in Romania after the fall of the communist regime
Black Sea and East Mediterranean approach on sustainable development
An economic analysis of trade war and deglobalization in current international relations within the paradigm of globalization
Financial difficulties and economic recession: Evidence from Canadian seniors
Inflation targeting and exchange rate pass-through in India: Lessons from international experience
The circular economics of constructions
Market mood index and stock market. Evidence from National Stock Exchange
Analysis of the effects of social and fiscal policy on incomes during the COVID-19 pandemic in Romania