Examining the periodic relationship between risk and return using the two-variable model approach

Abstract

The purpose of this research is to investigate the periodic relationship between risk and return using the two-variable model approach. The current research is of a descriptive type and in terms of purpose, it is in the correlation-regression research category. EViews9 and Excel software are used to analyze data and extract research results. The information related to the companies admitted to the stock exchange during a 5-year period have been analyzed to examine the relationship between the variables to test the research hypotheses. The research results showed that there is no significant relationship between the expected return based on BARR and conditional variance based on BARR. The significance level for all explanatory models is greater than 0.05. Therefore, it can be claimed that there is no significant relationship between the achieved return and the conditional variance based on the single-variable MAR model. Also, the durbin watson test confirmed the autocorrelation error of the model. Also, there is no significant relationship between the achieved return and the conditional variance based on the BMAR model. The significance level for all explanatory models is greater than 0.05. Therefore, it can be claimed that there is no significant relationship between the achieved return and the conditional variance based on the single-variable MAR model. Also, the durbin watson test confirmed the autocorrelation error of the model.

Keywords

• risk
• capital return
• garch
• stock exchange