Risk İştahı Endeksinin Markov Rejim Modeli ile İncelenmesi: Türkiye Örneği

Yıl 2019, Cilt: 19 Sayı: 2, 265 - 275, 30.04.2019

Saffet Akdağ Ömer İskenderoğlu

https://doi.org/10.21121/eab.556341

Cited By: 3

Öz

Finansal pazarlar içsel ve dışsal faktörlere bağlı
olarak dinamik şekilde hareket ederler. Yatırımcıların
risk iştahı da finansal pazarların hareketliliğinde
önemli bir etkendir. Risk iştahı endeksi Merkezi Kayıt
Kuruluşu tarafından yayınlanan bir veri olup pazar ve
yatırımcılar için pozisyon alma açısından kritik öneme
sahiptir. Bu çalışmada tüm yatırımcılara ait risk
iştahı endeksinin parametrik olarak rejimlere ayrılıp
ayrılmadığı incelenmeye çalışılmıştır. Bu bağlamda
risk iştahı endeksinin  2008 - 2016 dönemleri
arası haftalık verilerinden yararlanılarak Markov
Rejim Modeli ile bir dizi analiz gerçekleştirilmiştir.
Çalışmadan elde edilen sonuçlar risk iştahının yüksek
oynaklıklı ve düşük oynaklıklı rejimlere ayrılabildiğini
ortaya koymaktadır. Ayrıca ekonomik kriz, siyasi
istikrarsızlık ile dünyada ve Türkiye’de artan terör
olaylarının risk iştahının yüksek oynaklıklı dönemine
denk geldiği sonucuna da ulaşılmıştır

Investigating the Risk Appetite Index with Markov Regime Model: Case of Turkey

Öz

Financial markets changes dynamically along with
many internal and external factors. Investors’ risk
appetite is one of the key elements of volatility in
financial markets. Risk appetite indexes are data
published by the Central Securities Depository
Institution having importance in terms of
positioning besides determination for markets and
investors. In this study, it is examined whether or not
the calculated risk appetite index of all investors in
Turkey is separated into regimes parametrically. On
this respect, an analysis of Markov Regime Model has
been employed on risk appetite index of all investors
utilizing the weekly frequency data spanning from
2008 to 2016. The results from the study reveals
that the risk appetite can be divided into high
volatility and low volatility regimes parametrically.
In addition, the economic crisis, political instability,
increasing terror attacks in the World and Turkey are
found to occur during the period of high volatility
regime of risk apetite

Anahtar Kelimeler

Risk Appetite, Markov Regime Model, Nonlinear

Kaynakça

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