Measurement of market risk premiums: a sectoral analysis on Borsa Istanbul

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dc.authorid0000-0002-3893-4015
dc.authorid0000-0002-7981-3121
dc.authorid0000-0003-4257-6780
dc.contributor.authorTeker, Dileken_US
dc.contributor.authorTeker, Suaten_US
dc.contributor.authorDemirel Gümüştepe, Esinen_US
dc.date.accessioned2025-12-18T12:21:22Z
dc.date.available2025-12-18T12:21:22Z
dc.date.issued2023-12
dc.departmentIşık Üniversitesi, İktisadi, İdari ve Sosyal Bilimler Fakültesi, İşletme Bölümü
dc.departmentIşık University, Faculty of Economics, Administrative and Social Sciences, Department of Management
dc.description.abstractThe determination of market risk premium is often a problem for academics and practioners when applying Capital Asset Pricing Model (CAPM). This study intends to measure the market risk premiums (MRP) in the sectors of Borsa Istanbul. The monthly data are extracted from Reuters Database for the period of 2016-2021 for the seventeen sectors of Borsa Istanbul. The whole sampling period is devided into two sub-periods based upon the results of Cusum-Squared test statistics showing a structural break with the Covid-19. The emprical results reveal that the market risk premium on BIST100 is -0.7% with a volatility of 0.3% in the pre-Covid-19 period while the market risk premium on BIST100 is -0.21% with a volatlity of 0.23% post-Covid-19 period. The findings show that a significant increase in market risk premiums and volatilies post-Covid-19 era compared to the pre-Covid era. More, the market risk premiums and their volatilies are estimated by utilizing ARIMA model for the 2022-2024 period. The estimates point even higher market risk premiums and volatilies in the near future.en_US
dc.description.versionPublisher's Versionen_US
dc.identifier.citationTeker, D., Teker, S. & Demirel Gümüştepe, E. (2023). Measurement of market risk premiums: a sectoral analysis on Borsa Istanbul. International Journal of Business & Management Studies, 4(12), 63-71. doi:https://doi.org/10.56734/ijbms.v4n12a9en_US
dc.identifier.endpage71
dc.identifier.issn2694-1430
dc.identifier.issn2694-1449
dc.identifier.issue12
dc.identifier.startpage63
dc.identifier.urihttps://hdl.handle.net/11729/6837
dc.identifier.urihttps://doi.org/10.56734/ijbms.v4n12a9
dc.identifier.volume4
dc.institutionauthorTeker, Dileken_US
dc.institutionauthorTeker, Suaten_US
dc.institutionauthorDemirel Gümüştepe, Esinen_US
dc.institutionauthorid0000-0002-3893-4015
dc.institutionauthorid0000-0002-7981-3121
dc.institutionauthorid0000-0003-4257-6780
dc.language.isoenen_US
dc.peerreviewedYesen_US
dc.publicationstatusPublisheden_US
dc.publisherInstitute for Promoting Research & Policy Development (IPRPD)en_US
dc.relation.ispartofInternational Journal of Business & Management Studiesen_US
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectMarket risk premiumen_US
dc.subjectMarket risken_US
dc.subjectBorsa Istanbulen_US
dc.subjectValatilityen_US
dc.subjectCAPMen_US
dc.titleMeasurement of market risk premiums: a sectoral analysis on Borsa Istanbulen_US
dc.typeArticleen_US
dspace.entity.typePublicationen_US

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