THE RELATIONSHIP BETWEEN IN FINANCIAL MARKETS: A RESEARCH ON TURKISH FOOTBALL

Abstract

The purpose of this paper is to analyze the relationship between risk and stock return on the basis of Turkish football teams traded in financial markets. 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 with the Fourier granger causality test. According to the results of the study, the best model for Fenerbahce is ACGARH (1,1,1) model, the best model Galatasaray is EGARCH model and the best model forTrabzonsopr is APGARCH (1,1,1). In addition, there is causality relationship from risk to stock return.