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

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Listed:
  • Akin ARDA

    (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.

Suggested Citation

  • Akin ARDA & Arif SALDANLI & Sümeyra UZUN, 2023. "Validity of asset pricing models in Istanbul Stock Exchange (ISE) information technology index," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(1(634), S), pages 115-136, Spring.
    • Handle: RePEc:agr:journl:v:1(634):y:2023:i:1(634):p:115-136
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    References listed on IDEAS

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    1. Song l Kakilli Acaravci & Yunus Karaomer, 2017. "Fama-French Five Factor Model: Evidence from Turkey," International Journal of Economics and Financial Issues, Econjournals, vol. 7(6), pages 130-137.
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