Maliye ve Finans Yazıları 1308-6014 3062-2565 Maliye ve Finans Yazıları Yayıncılık Ltd. Şti. 10.33203/mfy.1540758 Behavioural Finance Davranışsal Finans Yatırımcıların Risk İştahını Etkileyen Finansal Faktörler: Yerli ve Yabancı Yatırımcılardan BİST'e İlişkin Ampirik Kanıtlar Financial Factors Affecting Investors' Risk Appetite: Empirical Evidence from Domestic and Foreign Investors on BIST https://orcid.org/0000-0003-0414-5402 Şahin Bertaç Şakir Yıldız Teknik Üniversitesi 04 01 2025 123 1 13 08 29 2024 03 21 2025 Copyright © 1986, Journal of Finance Letters 1986 Journal of Finance Letters

Bu çalışma, BİST’teki yerli ve yabancı yatırımcıların risk iştahını ortaya koymayı amaçlamıştır. Bu amaçla 2010-2024 döneminde BİST100 Endeksi, 10 yıllık tahvil faizleri, CDS, altın, Dolar ve Euro’nun haftalık verilerinin Risk Eğilim Endeksi üzerindeki etkisi analiz edilmiştir. ARDL sınır testi sonuçlarına göre Dolar ve Euro yerli yatırımcıların risk iştahı üzerinde anlamlı etkiye sahip olduğunu göstermiştir. Bağımsız değişkenlerin yabancı yatırımcıların risk iştahı üzerinde anlamlı etkisi yoktur. Bulgular yerli yatırımcıların hisse senedi yatırımlarının döviz piyasalarına karşı hassasiyet gösterdiğini ortaya koymuştur.

This study aims to reveal the risk appetite of domestic and foreign investors in BIST. For this purpose, the effect of weekly data of BIST100 Index, 10-year bond yields, CDS, USD and Euro on the Risk Tendency for the period 2010-2024 is analysed. According to the ARDL bounds test results, Dollar and Euro have a significant effect on the risk appetite of domestic investors. Independent variables have no significant effect on the risk appetite of foreign investors. The findings reveal that equity investments of domestic investors are sensitive to foreign exchange markets.

 Financial Markets Risk Appetite Stock Markets. Finansal Piyasalar Risk İştahı Hisse Seendi Piyasaları. Baek, I. M., Bandopadhyaya, A., & Du, C. (2005). Determinants of market-assessed sovereign risk: Economic fundamentals or market risk appetite?. Journal of International Money and Finance, 24(4), 533-548. https://doi.org/10.1016/j.jimonfin.2005.03.007. Bahmani-Oskooee, M. (1991). Is there a long-run relation between the trade balance and the real effective exchange rate of LDCs? Economics Letters, 36(4), 403–407. https://doi.org/10.1016/0165- 1765(91)90206-Z. Balat, A. (2020). Türkiye’nin hisse senedi piyasası ile yerli ve yabancı yatırımcı risk iştah endeksi ilişkisi: Eşbütünleşme ve nedensellik analizi. Erciyes Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, (49), 162-171 Bauer, M. D., Bernanke, B. S., & Milstein, E. (2023). Risk appetite and the risk-taking channel of monetary policy. Journal of Economic Perspectives, 37(1), 77-100. https://doi.org/10.1257/jep.37.1.77. Bekaert, G., & Hoerova, M. (2016). What do asset prices have to say about risk appetite and uncertainty?. Journal of Banking & Finance, 67, 103-118. https://doi.org/10.1016/j.jbankfin.2015.06.015. Beyhaghi, M., & Hawley, J. P. (2013). Modern portfolio theory and risk management: assumptions and unintended consequences. Journal of Sustainable Finance & Investment, 3(1), 17-37. https://doi.org/10.1080/20430795.2012.738600. Can Ergün, Z., Cagli, E. C., & Durukan Salı, M. B. (2023). The interconnectedness across risk appetite of distinct investor types in Borsa Istanbul. Studies in Economics and Finance, 40(3), 425-444. https://doi.org/10.1108/SEF-09-2022-0460. Cao, S. N., Deng, J., & Li, H. (2010). Prospect theory and risk appetite: an application to traders’ strategies in the financial market. Journal of Economic Interaction and Coordination, 5, 249-259. https://doi.org/10.1007/s11403-010-0073-7. Çelik, S., Dönmez, E., & Acar, B. (2017). Risk iştahının belirleyicileri: Türkiye örneği. Uşak Üniversitesi Sosyal Bilimler Dergisi, 10(IASOS Özel Sayısı-), 153-162. https://doi.org/10.12780/usaksosbil.372533. Çifçi, G., & Reis, Ş. G. (2020). Risk iştahı ile piyasa likiditesi arasındaki nedensellik ilişkisi. Ekonomi Politika ve Finans Araştırmaları Dergisi, 5(2), 389-403. https://doi.org/10.30784/epfad.687595. Demirez, D., & Kandır, S. (2020). Risk iştahinin pay getirileri üzerindeki etkisinin incelenmesi. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 29(4), 92-102. https://doi.org/10.35379/cusosbil.751018. Du, D., & Hu, O. (2012). Exchange rate risk in the US stock market. Journal of International Financial Markets, Institutions and Money, 22(1), 137-150. https://doi.org/10.1016/j.intfin.2011.08.003. Fettahoğlu, S. (2019). Relationship Between Credit Default Swap Premium and Risk Appetite According to Types of Investors: Evidence from Turkish Stock Exchange. Muhasebe ve Finansman Dergisi, 84, 265-278. https://doi.org/10.25095/mufad.625880. Foye, J., Mramor, D., & Pahor, M. (2013). A respecified Fama French three‐factor model for the new European union member states. Journal of International Financial Management & Accounting, 24(1), 3-2. https://doi.org/10.1111/jifm.12005. Gülmez, A. (2015). Türkiye'de dış finansman kaynakları ekonomik büyüme ilişkisi: ARDL sinir testi yaklaşımı. Ekonomik ve Sosyal Araştırmalar Dergisi, 11(2), 139-152. Heo, W., Grable, J. E., & Rabbani, A. G. (2021). A test of the association between the initial surge in COVID-19 cases and subsequent changes in financial risk tolerance. Review of Behavioral Finance, 13(1), 3-19. https://doi.org/10.1108/RBF-06-2020-0121. Hirshleifer, D. (2015). Behavioral finance. Annual Review of Financial Economics, 7(1), 133-159. https://doi.org/10.1146/annurev-financial-092214-043752. Hui, E. C., Zheng, X. & Wang, H. (2013). Investor Sentiment and Risk Appetite of Real Estate Security Market. Applied Economics, 45(19), 2801-2807. https://doi.org/10.1080/00036846.2012.681028. Jammernegg, W., & Kischka, P. (2007). Risk-averse and risk-taking newsvendors: a conditional expected value approach. Review of Managerial Science, 1, 93-110. https://doi.org/10.1007/s11846-007-0005-7. Kasoga, P. S. (2021). Heuristic biases and investment decisions: multiple mediation mechanisms of risk tolerance and financial literacy—a survey at the Tanzania stock market. Journal of Money and Business, 1(2), 102-116. https://doi.org/10.1108/JMB-10-2021-0037. Köycü, E. (2022). Risk İştah Endeksi İle Bist100 Endeksi Arasindaki İlişki: Covid-19 Öncesi Ve Sonrasi Döneme Yönelik Bir Araştirma. Finans Ekonomi ve Sosyal Araştırmalar Dergisi, 7(1), 1-11. https://doi.org/10.29106/fesa.997958. Liu, M. H., Margaritis, D., & Tourani-Rad, A. (2012). Risk appetite, carry trade and exchange rates. Global Finance Journal, 23(1), 48-63. https://doi.org/10.1016/j.gfj.2012.01.004. Narayan, P. K. Smyth, Russell (2005), Trade Liberalization and Economic Growth in Fiji. An Empirical Assessment Using the Ardl Approach, Journal of The Asia Pacific Economy, 10(1), pp. 96-115. https://doi.org/10.1080/1354786042000309099. Nur, T. (2022). Yatırımcı risk iştahının pay piyasasına etkisi: BİST Mali endeksi üzerine bir araştırma. Fiscaoeconomia, 6(3), 1103-1125. Pericoli, M., & Sbracia, M. (2009). Capital Asset Pricing Model and the Risk Appetite Index: Theoretical Differences, Empirical Similarities and Implementation Problems. International Finance, 12(2), 123-150. https://doi.org/10.1111/j.1468-2362.2009.01240.x. Phillips, P. C. & Hansen, B. E. (1990). Statistical Inference in Instrumental Variables Regression with I (1) Processes, The Review of Economic Studies, 57(1), 99-125. https://doi.org/10.2307/2297545. Qadan, M. (2019). Risk appetite, idiosyncratic volatility and expected returns. International Review of Financial Analysis, 65, 101372. https://doi.org/10.1016/j.irfa.2019.101372. Qadan, M. & Bayaa, Y. I. (2020). Risk Appetite and Oil Prices. Energy Economics, 85, 1-12. https://doi.org/10.1016/j.eneco.2019.104595. Rahman, M. (2020). Propensity toward financial risk tolerance: an analysis using behavioural factors. Review of Behavioral Finance, 12(3), 259-281. https://doi.org/10.1108/RBF-01-2019-0002. Saiti, K., Mwangi, C. I., Okiro, K., & Gathiaka, K. (2023). Sentiment, Risk Appetite And Stock Returns Of Individual Investors At The Nairobi Securities Exchange. African Journal of Emerging Issues, 5(12), 87-101. Sözen, Ç., Şeyranlıoğlu, O., & İspiroğlu, F. (2024) Causality Analysis between BIST-100, Investor Risk Appetite, Exchange Rate, Inflation and Interest Rate in Türkiye Economy. Uluslararası Ekonomi İşletme ve Politika Dergisi, 8(1), 24-37. https://doi.org/10.29216/ueip.1377184. Tai, C. S. (2010). Foreign exchange risk and risk exposure in the Japanese stock market. Managerial Finance, 36(6), 511-524. https://doi.org/10.1108/03074351011042991 Yıkılmaz, A. (2022). BIST 30 Vadeli İşlem Getirisi Ve Yatirimci Risk İştahi: Granger Nedensellik Analizi. Van Yüzüncü Yıl Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 7(14), 301-315. https://doi.org/10.54831/vanyyuiibfd.1202270.