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Yerli ve Yabancı Yatırımcılara Ait Risk İştahlarının İncelenmesi: Türkiye Örneği

Author

Listed:
  • Taha Bahadır SARAÇ
  • Ömer İSKENDEROĞLU
  • Saffet AKDAĞ

Abstract

In this study, the predictability of the risk appetite data published by the Central Registry Agency of Turkey (CRA) on a weekly basis for domestic and foreign investors which are considered as a measure of financial stability is examined. By examining the data of the period between the years 2008 – 2013, Lee and Strazicich (2003) test which takes structural breaks into account and Caner and Hansen (2001) threshold unit root test besides the first-generation unit root tests such as ADF and KPSS are performed in the study. The results obtained from the study reveal that the risk appetite data for domestic investors are linear and that there is no threshold effect. The data series of risk appetite for foreign investors, on the other hand, has been detected to be non-linear along with the existence of threshold effect. Furthermore, foreign investors’ risk appetite can be predicted during the periods of a downward trend, while it cannot be predicted during the periods of an upward trend.

Suggested Citation

  • Taha Bahadır SARAÇ & Ömer İSKENDEROĞLU & Saffet AKDAĞ, 2016. "Yerli ve Yabancı Yatırımcılara Ait Risk İştahlarının İncelenmesi: Türkiye Örneği," Sosyoekonomi Journal, Sosyoekonomi Society, issue 24(30).
    • Handle: RePEc:sos:sosjrn:160402
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    Citations

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    Cited by:

    1. Gemici, Eray & Gök, Remzi & Bouri, Elie, 2023. "Predictability of risk appetite in Turkey: Local versus global factors," Emerging Markets Review, Elsevier, vol. 55(C).
    2. Saffet Akdag & Ömer İskenderoglu & Andrew Adewale Alola, 2020. "The volatility spillover effects among risk appetite indexes: insight from the VIX and the rise," Letters in Spatial and Resource Sciences, Springer, vol. 13(1), pages 49-65, April.
    3. Saffet AKDAĞ & Ali DERAN & Ömer İSKENDEROĞLU, 2020. "Is PMI a Leading Indicator: Case of TurkeyAbstract: In this study, the causal relationships of the Purchasing Managers Index (PMI) with various financial factors are examined. As a result of the analy," Sosyoekonomi Journal, Sosyoekonomi Society, issue 28(45).
    4. Tuncer Yılmaz & Bülent Yıldız, 2022. "Yatırımcıların Risk İştahı Endeksi İle Korku Endeksleri Arasındaki İlişki: Türkiye’de ARDL İle Ampirik Bir Uygulama," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 7(3), pages 646-676.

    More about this item

    Keywords

    Risk; Risk Appetite; Non-Linear Unit Root Test.;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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