IDEAS home Printed from https://ideas.repec.org/a/vrs/poicbe/v18y2024i1p424-431n1011.html
   My bibliography  Save this article

Testing the Validity of CAPM on Bucharest Stock Exchange

Author

Listed:
  • Blaga Florin

    (The Bucharest University of Economic Studies, Bucharest, Romania)

  • Mihai Dănuț-Georgian

    (The Bucharest University of Economic Studies, Bucharest, Romania)

  • Trifu Ludovic-Cosmin

    (The Bucharest University of Economic Studies, Bucharest, Romania)

  • Bichir-Ghelase Antonela

    (Valahia University of Târgoviște, Romania)

Abstract

In this paper, we test the validity of CAPM hypothesis during COVID-19 period. Using 10 high-liquid securities traded on Bucharest Stock Exchange during February 2020 to April 2020, we estimate the baseline CAPM alongside two additional extensions controlling for COVID-19 related news and foreign stock exchange evolution. With only one exception, for all the securities included in the analysis, the CAPM is valid regardless of the model specification, suggesting that during COVID-19 financial turmoil, the investors trading on Bucharest Stock Exchange had a rational behavior.

Suggested Citation

  • Blaga Florin & Mihai Dănuț-Georgian & Trifu Ludovic-Cosmin & Bichir-Ghelase Antonela, 2024. "Testing the Validity of CAPM on Bucharest Stock Exchange," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 18(1), pages 424-431.
    • Handle: RePEc:vrs:poicbe:v:18:y:2024:i:1:p:424-431:n:1011
    DOI: 10.2478/picbe-2024-0036
    as

    Download full text from publisher

    File URL: https://doi.org/10.2478/picbe-2024-0036
    Download Restriction: no
    File URL: https://libkey.io/10.2478/picbe-2024-0036?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:vrs:poicbe:v:18:y:2024:i:1:p:424-431:n:1011. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.sciendo.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.