THE INVESTOR RISK TOLERANCE AND MARKET LIQUIDITY CONNECTION: EVIDENCE FROM THE SELECTED MARKETS

Abstract

This study investigated in what ways the stock market liquidity and the investor risk tolerance has a relation over the developed and developing countries. Seven developed and six developing countries were selected from the International Monetary Fund’s counrty list for the sample. Dataset was consisted of the stock markets’ weekly data. Some interesting outputs were gotten.The investors’ risk tolerance and the market liquidity had a long-run relation in the all markets. The variables moved together. However, the cointegration regression coefficients were different in the markets. The coefficients could be estimated just for the USA, UK and Indonesia within the confidence intervals. Neverthlessly, the variables did not have any relation in short-run in spite of the long-run relation. Those results implied other variable(s) may cause a long-run relation between the tolerance and liquidity. Also, the variable(s) may affect the markets not in same strength. It caused a positive and different degree relation in the USA and UK, while it was negative in Indonesia.

Keywords

• Market liquidity
• Liquidity risk
• Amihud illiquidity ratio
• Risk
• Investor risk tolerance

YATIRIMCI RİSK TOLERANSI VE PİYASA LİKİDİTESİ İLİŞKİSİ: SEÇİLİ PİYASALARDAN BULGULAR

Abstract

Bu çalışma, gelişmiş ve gelişmekte olan ülke piyasalarının likiditesi ile yatırımcı risk toleransının ne şekilde birbiri ile ilişkili olduğunu incelemiştir. Örneklem olarak Uluslararası Para Fonu’ nun ülkeler listesinden yedi gelişmiş ve altı gelişmekte olan ülke seçilmiştir. Veri seti haftalık verileri kapsamaktadır. Çalışmadan enteresan sonuçlar elde edilmiştir. Tüm piyasalarda, yatırımcı risk toleransı ile piyasa likiditesi arasında uzun dönemli bir ilişki bulunmuştur. Değişkenlerin birlikte hareket ettiği görülmüştür. Ancak eşbütünleşme regresyon katsayıları piyasalarda değişkenlik göstermiştir. Eşbütünleşme regresyon katsayısı, belirlenmiş güven aralığında, sadece Amerika, İngiltere ve Endonezya için tahmin edilebilmiştir. Ayrıca, uzun dönemli ilişkinin varlığına rağmen değişkenler arasında kısa dönemli bir ilişki bulunamamıştır. Bu sonuçlar, piyasa likiditesi ile yatırımcı risk toleransı arasında uzun dönemli ilişkiye yol açan başka değişken(ler) olabileceğini göstermektedir. Ayrıca bu değişken (ler) piyasaları farklı düzey ve yönde etkilemiş olabilirler. Söz konusu değişkenin (değişkenlerin) Amerika ve İngiltere’de pozitif yönlü ilişki sağlarken, Endonezya’da negatif yönlü bir ilişkiye yol açtığı gözlenmiştir.

Keywords

• Piyasa likiditesi
• Likidite riski
• Amihud likidite yetersizlik oranı
• Risk
• Yatırımcı risk toleransı

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