<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>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.</p>
</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.

Testing the Validity of CAPM on Bucharest Stock Exchange

The Bucharest University of Economic Studies

Proceedings of the International Conference on Business Excellence

This work is licensed under the Creative Commons Attribution 4.0 International License.

{"article-title":"Testing the Validity of CAPM on Bucharest Stock Exchange"}

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...

Testing the Validity of CAPM on Bucharest Stock Exchange

Pubblicato online: 03 lug 2024

Pagine: 424 - 431

DOI: https://doi.org/10.2478/picbe-2024-0036

Parole chiave
CAPM, Bucharest Stock Exchange, Quantile Regression, COVID-19, investor behavior

© 2024 Florin Blaga et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Testing the Validity of CAPM on Bucharest Stock Exchange

Pubblicato online: 03 lug 2024

Pagine: 424 - 431

DOI: https://doi.org/10.2478/picbe-2024-0036

Parole chiaveCAPM, Bucharest Stock Exchange, Quantile Regression, COVID-19, investor behavior

© 2024 Florin Blaga et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Parole chiave
CAPM, Bucharest Stock Exchange, Quantile Regression, COVID-19, investor behavior