SECTORAL MARKET RISK PREMIUMS IN TURKEY

Purpose- This empirical study aims to measure the sectoral market risk premiums in Turkish stock for period of 2016 and 2021 also estimate years 2022, 2023 2024. Capital Asset Pricing Model (CAPM) is most widely used popular method analysis investment projects, valuation, firm mergers acquisitions, initial public offerings, secondary offerings. The premium CAPM defined as difference between expected returns interest rates. determination one important inputs application CAPM. intends calculate volatilities sectors Borsa Istanbul periods pre-Covid (2016-2017-2018) Covid-19 era (2019-2020-2021). Methodology- monthly data from Reuters Database are collected BIST100 17 different indexes short-term rates 2021. A total 1296 observations obtained. Based upon historical observations, index (BIST100 indexes) average on basis. Then, using ARIMA forecasting method, estimated 2023, 576 points forecasted. Findings- about -2.44% 14.01% in-Covid era. sharply increased Covid period. volatility 0.23% while 0.34% incresed significantly. Moreover, Cusum Square Test results point a structural break Covid-era. estimates 1.87% 0.43% 0.42% THe 0.70% 0.72% 0.71% Conclusion- evidence strongly support change with higher volatilities. forecasted next three show diminishing trend high persistent level. Keywords: Market premium, BIST100, forecasting, premiums, volatility. JEL Codes: G10, G12, G17