Risk İştahı Endeksinin Markov Rejim Modeli ile İncelenmesi: Türkiye Örneği

Abstract

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

Abstract

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

Keywords

• Risk Appetite,Markov Regime Model,Nonlinear

References

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