Econometric tests of the CAPM model for a portfolio composed of companies listed on NASDAQ and Dow Jones components

Georgeta Vintilă, Radu Alin Păunescu


We tested empirically through econometric methods the classic CAPM model for 15 shares listed on the NASDAQ market in United States of America. The results showed that, for the majority of shares, there is a linear relation between expected return and market return. The shares of the largest companies from sample (AAPL, MSFT, GOOGL, etc. INTC) had a subunitary beta and the shares of smaller companies (ADBE, YHOO, BIDU etc.) had a beta greater than one. Compared with Security Market Line (SML) the shares were found to be overestimated and overstated and using GARCH VECH model we identified the presence of high correlation between shares and the volatility spillover phenomenon. 

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CAPM models; financial assets valuation; volatility spillover

JEL Codes

G11, G12, G14