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Journals / Istanbul Business Research / 2010 / Cilt: 39 - Sayı: 1

Testing the validity of CAPM in ISE national 100 index with panel data analysis

FVFM’nin İMKB ulusal 100 endeksindeki geçerliliğinin panel veri analizi ile test edilmesi

Turhan Korkmaz
Berk Yıldız
Rasim Gökbulut
Pages
95–105
Publication Date
2009-12-03
DOI
—
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Findings show that CAPM is valid for the related period and panel regression could be an alternative for estimating market risk premium.

📌 3 Key Takeaways

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Objective & Hypothesis:In this study, the applicability of Capital Asset Pricing Model (CAPM), which had a wide coverage in literature, is investigated in accordance with the panel data analysis method for the firms whose shares are included in the Istanbul Stock Exchange (ISE) National 100 Index and for the firms that were lasting between the years 1993-2007.
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Key Findings & Data:Furthermore, considering the relationship between capital asset return and market return, the market risk premium of capital asset is estimated using the panel regression method alternatively.
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Conclusion & Impact:Findings show that CAPM is valid for the related period and panel regression could be an alternative for estimating market risk premium.
🔬Design:Modeling & Simulation
📍Scope:2007 Verileri
⚙️Variables:FVFM · İMKB 100 · piyasa risk primi

Abstract

In this study, the applicability of Capital Asset Pricing Model (CAPM), which had a wide coverage in literature, is investigated in accordance with the panel data analysis method for the firms whose shares are included in the Istanbul Stock Exchange (ISE) National 100 Index and for the firms that were lasting between the years 1993-2007. Furthermore, considering the relationship between capital asset return and market return, the market risk premium of capital asset is estimated using the panel regression method alternatively. Findings show that CAPM is valid for the related period and panel regression could be an alternative for estimating market risk premium.

Özet

Bu çalışmada, literatürde geniş uygulama alanı bulan “Finansal Varlıkları Fiyatlandırma Modeli-FVFM”nin İstanbul Menkul Kıymetler Borsası (İMKB) Ulusal 100 Endeksi’nde işlem gören ve 1993-2007 yılları arasında süreklilik arz eden işletmeler üzerindeki uygulanabilirliği panel veri analizi yöntemiyle araştırılmıştır. Çalışmada ayrıca, finansal varlık getirileri ile piyasa getirileri arasındaki ilişkiden hareketle, finansal varlıklara ait piyasa risk primi alternatif olarak panel regresyon yöntemi kullanılarak tahmin edilmeye çalışılmıştır. Elde edilen bulgular, FVFM’nin İMKB’de ilgili dönemde geçerli olduğunu ve panel regresyonun piyasa risk priminin hesaplanmasında alternatif bir yaklaşım olabileceği sonucunu ortaya koymuştur.

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Cite This Article

Korkmaz, T., Yıldız, B., Gökbulut, R. (2009). Testing the validity of CAPM in ISE national 100 index with panel data analysis. Istanbul Business Research, Cilt: 39 - Sayı: 1, 95–105. https://ajindex.com/articles/91093

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