EFFECTS OF INVESTOR RISK APPETITE ON VOLATILITY AND LIQUIDITY DYNAMICS

Öz

This study examines the effects of domestic and foreign investors’ risk appetites (REKS) on the volatility and liquidity of the XU100 index. The analysis is conducted using weekly data covering the period from April 2, 2010 to June 27, 2025. Two separate models are constructed, with the dependent variable being the XU100 index Parkinson (1980) volatility and the Amihud (2002) illiquidity measure. Model coefficients are estimated using Ordinary Least Squares (OLS) with inference based on Newey–West (HAC) standard errors. Volatility and liquidity fluctuate over time but may also exhibit a dynamic structure linked to their past values. Therefore, dynamic models including a one-period lag of the dependent variable are also estimated. The findings indicate that foreign investors’ risk appetite has a statistically significant and positive effect on both volatility and illiquidity. This result suggests that an increase in foreign investors’ risk appetite may undermine market stability. In contrast, no statistically significant effect is found for domestic investors’ risk appetite on volatility or illiquidity. Furthermore, the XU100 index return included as a control variable is found to exert a statistically significant and negative effect on both volatility and illiquidity. The Granger (1969) causality results support the regression results.

Anahtar Kelimeler

• Parkinson Volatility
• Amihud Illiquidity
• Domestic and Foreign Investor Risk Appetite
• XU100

YATIRIMCI RİSK EĞİLİMİNİN VOLATİLİTE VE LİKİDİTE DİNAMİKLERİNE ETKİSİ

Öz

Çalışmada yerli ve yabancı yatırımcıların risk eğilimlerinin (REKS) XU100 endeksi volatilitesi ve likiditesi üzerindeki etkisi incelenmektedir. Analiz, 02.04.2010–27.06.2025 dönemine ait haftalık veriler kullanılarak gerçekleştirilmiştir. Bağımlı değişkenin XU100 endeksi Parkinson (1980) volatilitesi ve Amihud (2002) illikidite (likidite azlığı) ölçütü olduğu iki ayrı model kurulmuştur. Modellerde Newey–West (HAC) standart hatalarına dayalı çıkarım ile En Küçük Kareler (EKK) yöntemi kullanılmıştır. Volatilite ve likidite zaman içinde dalgalanmakla birlikte geçmiş değerleriyle ilişkili dinamik bir yapı sergileyebilmektedir. Bu nedenle bağımlı değişkenin bir gecikmesinin modele dahil edildiği dinamik modeller de tahmin edilmiştir. Elde edilen bulgular, yabancı yatırımcıların risk eğiliminin XU100 endeksi volatilitesi ve illikiditesi üzerinde istatistiksel olarak anlamlı ve pozitif bir etkiye sahip olduğunu göstermektedir. Bu sonuç, yabancı yatırımcıların risk iştahındaki artışın piyasa istikrarını zayıflatabildiğine işaret etmektedir. Buna karşılık, yerli yatırımcıların risk eğiliminin volatilite ve illikidite üzerinde istatistiksel olarak anlamlı bir etkisi tespit edilememiştir. Ayrıca kontrol değişkeni olarak modele dahil edilen XU100 endeksi getirisi, volatilite ve illikidite üzerinde istatistiksel olarak anlamlı ve negatif bir etki sergilemiştir. Granger (1969) nedensellik sonuçları regresyon sonuçlarını desteklemektedir.

Anahtar Kelimeler

• Parkinson Volatilitesi
• Amihud likidite azlığı
• Yerli ve Yabancı Yatırımcı Risk Eğilimi
• XU100

Destekleyen Kurum

Yoktur

Etik Beyan

Etik kurul izni gerektirmeyen araştırmalar kapsamındadır.

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