Türkiye’de Halka Arz Endeksi Risklere Nasıl Tepki Verir? ARDL ve NARDL Yaklaşımı

Öz

Bu çalışma, hem doğrusal hem de doğrusal olmayan zaman serisi yaklaşımlarını kullanarak, küresel ve yerel risk faktörlerinin Türkiye'deki halka arz (IPO) piyasası üzerindeki etkilerini araştırmaktadır. Haziran 2012 ile Ocak 2026 arasındaki aylık veriler, IPO aktivitesi ile seçilen risk göstergeleri arasındaki uzun vadeli ve kısa vadeli ilişkileri incelemek için ARDL ve NARDL çerçeveleri içinde analiz edilmiştir. ARDL sonuçları, ülke kredi riskindeki (CDS) artışların halka arz faaliyetlerini önemli ölçüde azalttığını, jeopolitik riskin ve yerli yatırımcı risk iştahının ise uzun vadeli olumlu etkiler yarattığını göstermektedir. NARDL sonuçları, halka arz faaliyetinin küresel piyasa oynaklığının (VIX) ve yurt içi yatırımcı risk iştahına (RISKD) asimetrik tepki verdiğini, CDS'nin ise önemli kısa vadeli asimetri sergilemesine rağmen simetrik bir uzun vadeli düzeltme süreci izlediğini ortaya koymaktadır. Yabancı yatırımcı risk iştahının ise   istatistiksel olarak anlamlı bir etkisi bulunmamaktadır. Genel olarak, sonuçlar asimetrik risk dinamiklerini, özellikle de küresel piyasa belirsizliği ve yerli yatırımcı davranışıyla ilgili olanları dikkate almanın, gelişmekte olan sermaye piyasalarındaki halka arz faaliyetlerine ilişkin daha kapsamlı bir anlayış sağladığını ve politika yapıcılar, düzenleyiciler ve piyasa katılımcıları için önemli çıkarımlar sunduğunu göstermektedir.

Anahtar Kelimeler

• Halka Arz
• Kredi Temerrüt Swapları
• Volatilite Endeksi
• Jeopolitik Risk
• Risk İştahı
• ARDL
• NARDL

How Does the IPO Index in Türkiye React to Risks? ARDL and NARDL Approach

Öz

This study investigates the effects of global and domestic risk factors on the initial public offering (IPO) market in Türkiye using both linear and nonlinear time-series approaches. Monthly data from June 2012 to January 2026 are analyzed using the ARDL and NARDL frameworks to examine the long-run and short-run relationships between IPO activity and selected risk indicators. ARDL results show that increases in sovereign credit risk (CDS) significantly reduce IPO activities, while geopolitical risk and domestic investor risk appetite create long-term positive effects. NARDL results reveal that IPO activity responds asymmetrically to global market volatility (VIX) and domestic investor risk appetite (RISKD), while CDS follows a symmetric long-term correction process despite exhibiting significant short-term asymmetry. Foreign investor risk appetite does not have a statistically significant effect. Overall, the results suggest that considering asymmetric risk dynamics, particularly those related to global market uncertainty and domestic investor behavior, provides a more comprehensive understanding of IPO activity in emerging capital markets and offers important implications for policymakers, regulators, and market participants.

Anahtar Kelimeler

• Initial Public Offering
• Credit Default Swap
• Volatility Index Geopolitical Risk
• Risk Appetite
• ARDL
• NARDL

Kaynakça

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