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Risk iştahı yatırımcıların risk taşıma istekliliğini ifade etmektedir. Dolayısıyla, risk iştahı birçok ülke tarafından finansal piyasaların istikrar ölçütü olarak kabul görmekte ve hesaplanmaktadır. BIST 100 endeksi ile yerli ve yabancı yatırımcılar risk iştahı verileri arasındaki ilişki 2013-2019 yılları arasındaki zaman dilimi için zaman serisi analizleri yardımıyla incelenmiştir. Öncelikle, serilerin durağanlığını test etmek için Augmented Dickey Fuller (ADF) ve Phillips Perron (PP) birim kök testleri kullanılmış ve serilerin birinci farklarında durağan oldukları belirlenmiştir. Aynı seviyede durağan olan BIST 100 endeksi ile yerli ve yabancı yatırımcı risk iştah endeksi arasındaki uzun dönemli ilişkinin varlığını tespit etmek için Johansen Eşbütünleşme testi uygulanmış ve bu serilerin eşbütünleşik olduğu tespit edilmiştir. Uzun dönemli ilişki belirlendikten sonra hata düzeltme modeli kurulmuştur. Hata düzeltme terimi katsayısının istatistiksel olarak anlamlı çıkması ve negatif işaretli olması da dengeden sapmanın olması durumunda tekrar dengeye doğru hareketin olduğunu göstermiştir. Seriler arasındaki ilişkinin yönünü belirleyebilmek için de Granger Nedensellik analizi yapılmış olup BİST 100 endeksinden hem yerli hem de yabancı yatırımcı risk iştahı endeksine doğru anlamlı bir nedensellik ilişkisi bulunmuştur.
The risk appetite represents the willingness of investors to take the risk. Therefore, risk appetite is recognized and calculated by many countries as a measure of stability in financial markets. The relationship between the BIST 100 index and the risk appetite data of domestic and foreign investors was studied with the help of time series analyses for the period between 2013-2019. First of all, the Root Tests of the Augmented Dickey Fuller (ADF) and Phillips Perron (PP) units were used to test the durability of the series, and they were determined to be stable in the first differences of the series. Johansen Integration test was implemented to identify the existence of a long-term relationship between the BIST 100 index, which stands at the same level, and the domestic and foreign investor risk appetite index, and these series were identified as integrated. After a long-term relationship was established the error correction model. The error correction term indicates that the ratio is statistically meaningful and that it is negative and that if there is a deviation from the balance there is a move back to the balance. In order to determine the direction of the relationship between the series, the Granger Causal Analysis has also been conducted and a meaningful causal relationship has been found from the BIST 100 index to the domestic and foreign investor risk appetite index.
Risk appetite refers to investors' willingness to carry risks. Therefore, risk appetite is accepted and calculated by many countries as the stability criterion of financial markets. The relationship between BIST 100 index with domestic and foreign investors risk appetite data is investigated in the period of 1974-2016, by using time series analysis. Firstly Augmented Dickey Fuller (ADF) and Phillips Perron (PP) unit root tests were used to test the stability of the series and series were found to be stationary in the first differences. The Johansen Cointegration test was conducted to determine the existence of the long run relationship between BIST 100 index with domestic and foreign investor risk appetite index which are stationary at the same level. After finding the long run relationship, the error correction model was established. The coefficient of error terms was statistically significant and negative sign that it is moving back to the equilibrium in the case of a deviation. In order to see the direction of the relationship between the series, Granger Causality analysis was made and a significant causality relationship was found from BIST 100 index to both domestic and foreign investor risk appetite index.
Field : Sosyal, Beşeri ve İdari Bilimler
Journal Type : Uluslararası
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