Yerli ve Yabancı Yatırımcılara Ait Risk İştahlarının İncelenmesi: Türkiye Örneği

Year 2016, Volume: 24 Issue: 30, 29 - 44, 08.11.2016

Taha Bahadır Saraç , Ömer İskenderoğlu Saffet Akdağ

https://doi.org/10.17233/se.2016.10.002

Cited By: 20

Abstract

Bu çalışmada Türkiye’de Merkezi Kayıt Kuruluşu (MKK) tarafından haftalık bazda yayınlanan ve finansal istikrar ölçüsü olarak kabul edilen, yerli ve yabancı yatırımcılara ait risk iştahı verilerinin tahmin edilebilirliği incelenmiştir. 2008 - 2013 dönemlerindeki verilerin incelendiği çalışmada ADF, KPSS gibi birinci nesil birim kök testlerinin yanında yapısal kırılmayı dikkate alan Lee ve Strazicich (2003) testi ile Caner ve Hansen (2001) eşikli birim kök testi gerçekleştirilmiştir. Çalışmadan elde edilen sonuçlar yerli yatırımcılara ait risk iştahı verilerinin doğrusal olduğunu ve eşik etkisinin olmadığını ortaya koymaktadır. Yabancı yatırımcılara ait risk iştahı serisinin ise doğrusal olmadığını ve eşik etkisinin var olduğu tespit edilmiştir. Ayrıca yabancı yatırımcılara ait risk iştahının düşme eğiliminde olduğu dönemlerde tahmin edilebildiği, artma dönemlerinde ise tahmin edilemediği ortaya konulmaktadır.

References

• Adrian, T. & E. Etula & H.S. Shin (2009), “Global Liquidity and Exchange Rates”, Unpublished Manuscript, Federal Reserve Bank of New York, Harvard University, and Princeton University.
• Akalın, S. (1970), Yönetim Ekonomisi, Ege Üniv. İ.T.İ.A Yayını, İzmir.
• Bai, J. & P. Perron (2003), “Computation and Analysis of Multiple Structural Change Models”, Journal of Applied Econometrics, (18), 1–22.
• Balke, N.S. & T.B. Fomby (1997), “Threshold Cointegration”, International Economic Review, 38(3), 627-45.
• Banerjee, A. & R.L. Lumsdaine & J.H. Stock (1992), “Recursive and Sequential Tests of the Unit Root and Trend-Break Hypothesis: Theory and International Evidence”, Journal of Business and Economic Statistics, 10, 271-287.
• Barfield, R. (2014), Risk Appetite – How Hungry are You?, Pricewaterhousecoopers, Special Risk Management Edition, U.K.
• Başoğlu, U. & A. Ceylan & İ. Parasız (2001), Finans: Teori, Kurum ve Araçlar, Ekin Kitabevi, Bursa.
• Campbell, J.C. & P. Perron (1991), “Pitfall and Opportunities: What Macroeconomists Should Know About Unit Roots”, NBER Technical Working Paper.
• Caner, M. & B.E. Hansen (2001), “Threshold Autoregression with a Unit Root”, Econometrica, 69, 1555-96.
• Carrion-i-Silvestre, J.L. & D. Kim & P. Perron (2009), “GLS-Based Unit Root Tests with Multiple Structural Breaks under Both the Null and the Alternative Hypotheses”, Econometric Theory, 25, 1754-1792.
• Charemza, W.W. & D.F. Deadman (1997), New Directions in Econometric Practice, Cheltenham, Edward Elgar.
• Christiano, L.J. (1992), “Searching for a Break in GNP”, Journal of Business and Economic Statistics, 10, 237-249.
• Dickey, D.A. & W. Fuller (1979), “Distribution of the Estimator for Autoregressive Timeseries with a Unit Root”, Journal of the American Statistical Association, 74, 427-431.
• Dickey, D.A & D.P. Hasza & W.A. Fuller (1984), “Testing for Unit Roots in Seasonal Time Series”, Journal of American Statistical Association, 79, 355-367.
• Dickey, D.A. & G.V. Pantula (1987), “Determining the Order of Differencing in Autorregressive Processes”, Journal of Business & Economic Statistics, 5(4), 455-461.
• Emhan, A. (2009), “Risk Yönetim Süreci ve Risk Yönetmekte Kullanılan Teknikler”, Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 23(3), 209-220.
• Enders, W. & C.W.J. Granger (1998), “Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates”, Journal of Business and Economic Statistics, 16, 304-11.
• Fama, E.F. & J.D. Macbeth (1973), “Risk, Return, and Equilibrium: Empirical Tests”, Journal of Political Economy, 81(3), 607-636.
• Gai, P. & N. Vause (2004), “Risk Appetite: Concept and Measurement”, Financial Stability Review, Bank of England, December, 127-36.
• Gai, P. & N. Vause (2006), “Measuring Investors Risk Appetite”, International Journal of Central Banking, 2(1), 167-188.
• Granger C.W.J. & R. Joyeux, (1980), “An Introduction to Long Memory Time Series Models and Fractional Differencing”, J Time Ser Anal. 1(1), 15–29.
• Haugen, P. (2006), “Financial Risk, Risk Appetite and the Macroeconomic Environment”, Master Thesis of Science in Physics and Mathematics, Norwegian University.
• Hermosillo, G.B. (2008), Investor’s Risk Appetite and Global Financial Market Conditions, Washington: International Monetary Fund.
• Hosking, J. (1981), “Fractional Differencing”, Biometrika, 68(1), 165-167.
• Illing, M. & M. Aaron (2005), “A Brief Survey of Risk-Appetite Indexes”, Financial System Review, Bank of Canada, 37-43.
• Kalafatcılar, K. & G. Keleş (2011), “Risk İştahı Endeksleri ve İfade Ettikleri”, Ekonomi Notları, TCMB, 2011-12.
• Korkmaz, T. & A. Ceylan (2012), Sermaye Piyasası ve Menkul Değer Analizi, 6. Baskı, Ekin Basım Yayın Dağıtım, Bursa.
• Koutsoyiannis, A. (1997), Modern Mikro İktisat, Gazi Kitabevi, İkinci Baskı, Ekim, Ankara.
• Kwiatkowski, D. & P.C.B. Phillips & P. Schmidt & Y. Shin (1992), “Testing the Full Hypothesis of Stationary Against The Alternative of A Unit Root”, Journal of Econometrics, 54, 159- 178.
• Lee, J. & M.C. Strazicich (2003), “Minimum Lagrange Multiplier Unit Root Test with Structural Breaks”, Review of Economics and Statistics, 85(4), 1082-1089.
• Lumsdaine, R.L & D.H. Papell (1997), “Multiple Trend Breaks and the Unit Root Hypothesis”, Review of Economics and Statistics, 79(2), 212-218.
• Madsen, J. & V. Mishra & R. Smyth (2008), “Are Labour Force Participation Rates Non-Stationary? Evidence from 130 Years for G7 Countries”, Australian Economic Papers, 47, 166-189.
• Markowitz, H.M. (1952), “Portfolio Selection”, Journal of Finance, 7, 77-91.
• Markowitz, H.M. (1959), Portfolio Selection, Library of Congress Catalog, United States of America.
• Merkezi Kayıt Kuruluşu (2015), Risk İştahı Endeksi, <https://www.mkk.com.tr/risk-index>, 28.11.2015.
• Misina, M. (2005), Benchmark Index of Risk Appetite, Bank of Canada, Monetary and Financial Analysis, September 15.
• Nelson, C.R. & C.R. Plosser (1982), “Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications”, Journal of Monetary Economics, 10, 139-162.
• Ng, S. & P. Perron (2001), “Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power”, Econometrica, 69, 1519-1554.
• Perron, P. (1989), “The Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis”, Econometrica, (57), 1361– 1401.
• Perron, P. (1997), “Further Evidence on Breaking Trend Functions in Macroeconomic Variables”, Journal of Econometrics, 80(2), 355-385.
• Perron, P. & T.J. Vogelsang (1992), “Nonstationarity and Level Shifts with an Application to Purchasing Power Parity”, Journal of Business and Economic Statistics, 10, 301–320.
• Phillips, P.C.B. & P. Perron (1988), “Testing For A Unit Root İn Time Series Regression”, Biometrika, 75, 335-346.
• Pippenger, M.K. & G.E. Goering (1993), “A Note on the Empirical Power of Unit Root Testsunder Threshold Processes”, Oxford Bulletin of Economics and Statistics, 55, 473-481.
• Reilly, F. & K.C. Brown (2002), Investment Analysis and Portfolio Management, 7th Published by Thomson, South Western, Cincinnati, OH.
• Schwert, G.W. (1989), “Tests for Unit Roots: A Monte Carlo Investigation”, Journal of Business & Economic Statistics, 7(2), 147-159.
• Shen, D.B. & K.H. Hu (2007), “Bank Risk Appetite Measurement and the Relationship with Macroeconomic Factors: Case of Taiwan’s Banks”, International Journal of Information Systems for Logistics and Management, 3(1), 25-39.
• Yalçınkaya, T. (2004), “Risk ve Belirsizlik Algılamasının İktisadi Davranışlara Yansımaları”, Muğla Üniversitesi, İİBF Tartışma Tebliğleri, 2004/05, Muğla.
• Yule, G.U. (1926), “Why do We Sometimes get Nonsense-Correlations between Time-Series? - A Study in Sampling and the Nature of Time-Series”, Journal of the Royal Statistical Society, 89(1), 1-63.
• Zivot, E. & K. Andrews (1992), “Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis”, Journal of Business and Economic Statistics, 10(10), 251–70.