Abstract:

In this study, the effect of the Risk Appetite Index (RISE), which is the risk appetite indicator of investors, on the stock market index return and volatility is investigated for the period of 06.01.2017 - 04.03.2022. The symmetrical and asymmetrical relationship between the risk appetite index and the stock market index is analyzed by FIEGARCH and NARDL methods, and the causality relationship is analyzed by the Hatemi-J method. The main contribution of the study is the analysis of the risk appetite index, both according to the change and level calculation methods, and separately for domestic, foreign and all investor groups. According to the findings, a symmetrical positive relationship is found between the risk appetite indices of domestic and all investors and the stock market index return. Positive symmetrical relationships are also found between domestic, foreign and all investors' risk appetite indices and stock market index volatility. In terms of the causality relationship between the variables, it has been determined that there is a causal relationship from positive shocks in the risk appetite indexes of domestic, foreign and all investors to negative shocks in the stock market index return. According to these results, it has been determined that investor risk appetite affects future returns and volatility. Therefore, it is thought that the evaluation of the findings both theoretically and practically will contribute.

Keywords: