
The larger the F-statistic, the more confident one is in rejecting the null hypothesis
of no structural change in the CAPM relationship. We expect the CAPM relationship
to hold for time periods before and after the crisis, and indeed it does hold, but the
coefficients change significantly. This is just like a break in the line indicating CAPM.
For instance, the F-statistic ⫽ 10.796 belonging to sector TOUR in Table 4.5 indi-
cates a significant break on the crisis day of the Turkish economy.
4.4 Long-run relationship of the CAPM
In this section we explore the long-run relationship of the CAPM using cointegration
theory (Granger, 1981; Engle and Granger ...