The Validity of CAPM and ICAPM in the Istanbul Stock Exchange

Abstract

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, this 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 BIST-100 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.

Keywords

• ISE
• CAPM
• ICAPM
• Exchange Rate
• Emerging Markets
• Panel Data Analysis

Borsa İstanbul’da Sermaye Varlıkları Fiyatlama Modelleri SVFM ve USVFM’nin Geçerliliği

Abstract

Bu çalışmanın amacı, Borsa İstanbul’da Sermaye Varlıkları Fiyatlama Modeli (SVFM) ve Uluslararası Sermaye Varlıkları Fiyatlama Modeli (USVFM) geçerli midir, sorusunu cevaplamaktır. Alan yazında bu soru üzerine henüz tam bir fikir birliğine ulaşılamamıştır. Bu çalışmada BIST-30 ve BIST-100 endekslerindeki işletmelerin Mart 2010 ile Şubat 2019 arası günlük pay senedi getirilerinden oluşan dengesiz panel veri seti kullanılarak bu tartışmaya yeni kanıtlar sunmak hedeflenmekte ve risk-beklenen getiri ilişkisinin doğrusal olup olmadığı araştırılmaktadır. Ampirik uygulama olarak panel regresyon analizi metodolojisi kullanılmıştır. Bulgularımız Borsa İstanbul’da (BIST) hem SVFM hem de USVFM’nin geçerli olduğunu göstermektedir. Aynı zamanda bulgularımız, her iki endeks için pay senedi getirilerini açıklamada USVFM’nin SVFM’ye göre daha iyi performans gösterdiğini ortaya koymaktadır. Açıklama gücündeki bu yüksek performans BIST-30 endeksinde BIST-100 endeksine kıyasla daha ön plana çıkmaktadır. Bu bulgulara dayanarak yatırımcılar, BIST-100'de döviz kuru ilişkili çeşitlendirmenin daha fazla olması nedeniyle Türkiye piyasasında riski azaltacak portföyler oluştururken yatırımcıların BIST-30 yerine BIST-100'ü kolaylıkla önceliklendirebilirler.

Keywords

• Borsa İstanbul
• SVFM
• USVFM
• Döviz Kuru
• Yükselen Piyasalar
• Panel Veri Analizi

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