About this article
Published Online: Jul 03, 2024
Page range: 424 - 431
DOI: https://doi.org/10.2478/picbe-2024-0036
Keywords
© 2024 Florin Blaga et al., published by Sciendo
This work is licensed under the Creative Commons Attribution 4.0 International License.
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.