The Analysis of The Relationship Between Risk and Return: A Research on Turkish Football Teams Traded on BIST

Abstract

Purpose - Increasing uncertainty in financial markets has rised risk perception and it has affected stock returns. In this context, the relationship between risk and stock return in the framework Modern Portfolio theory for Turkish football teams traded in financial markets.

Design/methodology/approach - The purpose of this paper is to analyze The study consists of two stages. In the first stage, the most suitable GARCH models for the return series were estimated. In the second stage, the estimated GARCH models were used as risk indicators, and the causality relationship between risk and return was tested through the Fourier granger causality test. Return series were calculated by using FENER.IS, TSPOR.IS and GSRAY.IS’s daily closing maket prices. The study covers the periods 04.05.2005-10.03.2021.

Findings - The best model for Fenerbahçe is ACGARH (1,1,1) model, the best model Galatasaray is EGARCH model and the best model for Trabzonspor is APGARCH (1,1,1). In addition, there is causality relationship from risk to stock return. Discussion - The results obtained from the study indicate that the changes in risk perception can be used as a leading indicator for the stock returns of football teams.