Reward-to-risk ratios in Turkish financial markets (Türkiye finans piyasalarında getiri-risk rasyoları)

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Atılgan, Yiğit and Demirtaş, K. Özgür (2013) Reward-to-risk ratios in Turkish financial markets (Türkiye finans piyasalarında getiri-risk rasyoları). İktisat, İşletme, Finans, 28 (323). pp. 9-32. ISSN 1300-610X (Print) 1308-4658 (Online)

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Official URL: http://dx.doi.org/10.3848/iif.2013.323.3550


This paper investigates how reward-to-risk ratios compare among various government debt security (GDS) indices and sector indices in the Istanbul Stock Exchange. Risk is measured by either standard deviation or nonparametric and parametric value at risk. We find that the GDS indices have higher reward-to-risk ratios compared to the sector indices. GDS indices with longer maturities have lower reward-to-risk ratios and this reduction is especially pronounced when the ratios take downside risk into account. The reward-to-risk rankings for the sector indices are similar for each measure and the results are robust to currency conversion.

Item Type:Article
Uncontrolled Keywords:Reward-to-risk Ratios, Downside Risk Measures, Value at Risk, Stock Indices, Government Debt Security Indices
Subjects:H Social Sciences > HG Finance > HG4501-6051 Investment, capital formation, speculation
ID Code:23173
Deposited By:Yiğit Atılgan
Deposited On:17 Jan 2014 15:28
Last Modified:01 Aug 2019 15:26

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