Arbitrage pricing theory and imkb implementation

There are two basic pricing models which explain the change in stock return in portfolio management and finance theory; Capital Asset Pricing Model and Arbitrage Pricing Theory. The target of this study is to search practical availability of Arbitrage Pricing Theory in IMKB as an alternative asset pricing model. In this study, first of all, general subjects of portfolio management is taken place and Capital Asset Pricing Model is searched through. In our further study; Arbitrage Pricing Theory which assumes that stock incomes are affected by more than one risk factors is searched theoretically and between February 2000 ? September 2006, by using Multi Variable Linear Regression Analysis process is tested in IMKB in which (Inflation Rate, Industry Production Ratio, Products Industry Production Ratio, Gold Prices, Money Supply, Foreign Exchange Rate, IMKB-100 Ratio, Growth Rate and İnterest Rate) 9 macroeconomic risk factors as explanatory variable, 76 share stock incomes as explained variable are taken place. During testing monthly percentage changes of macroeconomics variables and share stockes are used. As a result of the implementation, when analysis and findings are taken into consideration together, it is possible to say that in Turkey factors which affect share stocks incomes can be analyzed and the model is valid.