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
Topics
Financial markets / Finansal piyasalar Asset pricing / Varlık fiyatlaması Panel data models / Panel veri modelleri Portfolio choice / Portföy seçimi Istanbul Stock Exchange JEL C2 · Single Equation Models • Single Variables / Tek Denklem Modelleri • Tek Değişkenler JEL G1 · General Financial Markets / Genel Finansal Piyasalar Capital Asset Pricing Model (CAPM) Fama French Pricing Models ISE Technology Index
JEL classification / JEL sınıflaması
- C23 Panel Data Models • Spatio-temporal Models
Panel Veri Modelleri • Mekân-Zamansal Modeller - G11 Portfolio Choice • Investment Decisions
Portföy Seçimi • Yatırım Kararları - G12 Asset Pricing • Trading Volume • Bond Interest Rates
Varlık Fiyatlaması • İşlem Hacmi • Tahvil Faiz Oranları
JEL codes: American Economic Association classification. Turkish descriptions are an unofficial translation. Türkçe açıklamalar gayriresmî çeviridir.
Cite this work
- APA 7
Arda, A., Saldanlı, A., & Uzun, S. (2023). Validity of Asset Pricing Models in Istanbul Stock Exchange (ISE) Information Technology Index. Theoretical and Applied Economics, 30(1), 115–136. https://www.ectap.ro/validity-of-asset-pricing-models-in-istanbul-stock-exchangeise-information-technology-index-akin-arda_arif-saldanli_sumeyra-uzun/a1644/
- MLA 9
Arda, A., et al. "Validity of Asset Pricing Models in Istanbul Stock Exchange (ISE) Information Technology Index." Theoretical and Applied Economics, vol. 30, no. 1, 2023, pp. 115–136. https://www.ectap.ro/validity-of-asset-pricing-models-in-istanbul-stock-exchangeise-information-technology-index-akin-arda_arif-saldanli_sumeyra-uzun/a1644/.
- Chicago 17 (author-date)
Arda, A., A. Saldanlı, and S. Uzun. 2023. "Validity of Asset Pricing Models in Istanbul Stock Exchange (ISE) Information Technology Index." Theoretical and Applied Economics 30 (1): 115–136. https://www.ectap.ro/validity-of-asset-pricing-models-in-istanbul-stock-exchangeise-information-technology-index-akin-arda_arif-saldanli_sumeyra-uzun/a1644/.
Cite the version identified by the DOI or source record where available.
Download citation
BibTeX (.bib)RIS (.ris)EndNote (.enw)
RIS opens in Reference Manager, RefWorks, EndNote, Zotero and Mendeley. BibTeX works with LaTeX and Overleaf.
BibTeX
@article{arda2023validity,
title = {Validity of Asset Pricing Models in Istanbul Stock Exchange (ISE) Information Technology Index},
author = {Arda A. and Saldanlı A. and Uzun S.},
year = {2023},
journal = {Theoretical and Applied Economics},
volume = {30},
number = {1},
pages = {115-136},
url = {https://www.ectap.ro/validity-of-asset-pricing-models-in-istanbul-stock-exchangeise-information-technology-index-akin-arda_arif-saldanli_sumeyra-uzun/a1644/}
}