THE COVID-19 (CORONAVIRUS) PANDEMIC AND RISK APPETITE: EVIDENCE FROM BORSA ISTANBUL DOMESTIC AND FOREIGN INVESTORS

Abstract

The fear created by the COVID-19 (Coronavirus) pandemic in the global capital markets affected the investment decisions of investors and caused unexpected differences in trading behavior. The aim of the study is to reveal how domestic and foreign portfolio investors in an emerging market are affected by the COVID-19 pandemic. For this purpose, the relationship between the risk appetite of domestic and foreign investors and the data on the change in the number of COVID-19 cases as of the date of the declaration of the pandemic in Turkey was investigated with the Toda-Yamamoto causality analysis. This research, using weekly data, showed that domestic and foreign investors were affected differently by the pandemic. According to the findings obtained from the analysis, a unidirectional causality relationship was found between COVID-19 and the risk appetite of foreign investors.

Keywords

• Covid-19
• Toda-Yamamoto Causality Test
• Risk appetite index
• Emerging market

COVID-19 (KORONAVİRÜS) PANDEMİSİ VE RİSK İŞTAHI: BORSA İSTANBUL YERLİ VE YABANCI YATIRIMCILAR ÖRNEĞİ

Abstract

COVID-19 (Koronavirüs) pandemisinin küresel sermaye piyasalarında yarattığı korku yatırımcıların yatırım kararlarını etkileyerek işlem davranışlarında beklenmeyen farklılıkların ortaya çıkmasına neden olmuştur. Çalışmanın amacı, gelişmekte olan bir piyasada yerli ve yabancı portföy yatırımcılarının COVID-19 pandemisinden nasıl etkilendiklerini ortaya koymaktır. Bu amaçla pandeminin Türkiye’ de ilan edildiği tarih itibariyle yerli ve yabancı yatırımcıların risk iştahı ve COVID-19 vaka sayılarındaki değişim verileri arasındaki ilişki Toda-Yamamoto nedensellik analizi ile araştırılmıştır. Haftalık veriler kullanılarak yapılan bu araştırma yerli ve yabancı yatırımcıların pandemiden farklı etkilendiklerini göstermiştir. Yapılan analizden elde edilen bulgulara göre, COVID-19 ile yabancı yatırımcıların risk iştahı arasında tek yönlü bir nedensellik ilişkisine rastlanmıştır.

Keywords

• COVID-19
• Toda-Yamamoto Nedensellik Testi
• Risk İştahı Endeksi
• Gelişmekte Olan Piyasa
• COVID-19, Toda-Yamamoto Nedensellik Testi, Risk İştahı Endeksi, Gelişmekte Olan Piyasa

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