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Reward-to-Risk Ratios in Turkish Financial Markets

Author

Listed:
  • K. Ozgur DEMİRTAS

    (Baruch College, CUNY)

  • Yigit ATILGAN

    (Sabanci University)

Abstract

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.

Suggested Citation

  • K. Ozgur DEMİRTAS & Yigit ATILGAN, 2013. "Reward-to-Risk Ratios in Turkish Financial Markets," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 28(323), pages 9-32.
    • Handle: RePEc:iif:iifjrn:v:28:y:2013:i:323:p:9-32
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    Citations

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    Cited by:

    1. Atilgan, Yigit & Demirtas, K. Ozgur & Erdogan, Alper, 2016. "Share issuance and equity returns in Borsa Istanbul," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 320-333.

    More about this item

    Keywords

    Reward-to-risk Ratios; Downside Risk Measures; Value at Risk; Stock Indices; Government Debt Security Indices.;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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