An Analysis of the Relationship Between Investor Risk Appetite and CDS Premiums in Turkey Using Asymmetric Methods

Year 2024, Volume: 11 Issue: 4, 1559 - 1586, 31.12.2024

Yüksel İltaş , Adnan Güzel

https://doi.org/10.30798/makuiibf.1511420

Abstract

In this study, the asymmetric relationship between the Risk Tendency Indices calculated for each investor type and Turkey's CDS premium is investigated. The data set of the study consists of weekly frequency data covering the period April 2010-December 2023. Nonlinear ARDL (NARDL) method and Hatemi-J and Roca (2014) asymmetric causality test was used in the empirical analysis of the study. The findings show that in the long run, positive changes in the CDS premium have a greater impact on REKS Domestic and REKS Qualified indices than negative changes, while negative changes in the CDS premium have a greater impact on REKS Domestic Real, REKS Domestic Corporate and REKS Domestic Funds indices than positive changes. These findings reveal that the effects of market risks and uncertainties on investor groups are asymmetric.

Keywords

The Propencity to Risk Taking, Asymmetric ARDL, Asymmetric Causality

Ethical Statement

The study does not necessitate Ethics Committee permission. The study has been crafted in adherence to the principles of research and publication ethics. The authors declare that there exists no financial conflict of interest involving any institution, organization, or individual(s) associated with the article. Furthermore, there are no conflicts of interest among the authors themselves. The authors declare that they all equally contributed to all processes of the research.

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