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

Yıl 2021, Cilt: 14 Sayı: 2, 536 - 555, 31.12.2021

Gönül Çifçi , Şükriye Gül Reis

https://doi.org/10.17218/hititsbd.1024411

Cited By: 1

Öz

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.

Anahtar Kelimeler

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

YATIRIMCI RİSK TOLERANSI VE PİYASA LİKİDİTESİ İLİŞKİSİ: SEÇİLİ PİYASALARDAN BULGULAR

Öz

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.

Anahtar Kelimeler

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

Kaynakça

• Ajina, A., Lakhal, F. and Sougne D. (2015). Institutional investors, information asymmetry and stock market liquidity in France. International Journal of Managerial Finance 11 (1): 44-59.
• Amihud, Y. (2002). Illiquidity and stock returns: cross- section and time- series effects. Journal of Financial Markets, 5 (1), 31-56.
• Apergis, N., Cooray, A. and Rehman, M.U. (2017). Do Energy Prices Affect U.S. Investor Sentiment? Journal of Behavioral Finance, 19 (2), 125-140. doi:10.1080/15427560.2017.1373354.
• Arrondel, L., Pardo, H.C. and Oliver, X. (2010). Temperance in stock market participation: evidence from France. Economica 77: 314–333.
• Ausburg, G.B. and Spremann, U.K. (1981). Implications of Constant Risk Aversion. Zeitschrift fiir Operations Research 25: 205-224.
• Baker, M. and Wurgler, J. (2006). Investor sentiment and the cross-section of stock return. The Journal of Finance 61 (4): 1645-1680.
• Baltagi, B.H. and Wu, P.X.(1999). Unequally spaced panel data regressions with AR (1) Disturbances. Econometric Theory 15: 814-823
• Bannier, C. E. and Neubert, M. (2016). Gender differences in financial risk taking: The role of financial literacy and risk tolerance. Economics Letters 145: 130-135. doi:10.1016/j.econlet.2016.05.033.
• Barasinska, N. and Schafer, D. (2017). Gender role asymmetry and stock market participation- evidence from four European household surveys. The European Journal of Finance 1-27. doi:10.1080/1351847X.2017.1371622.
• Barber, M.B., Odean, T. and Zhu, N. (2009). Systematic noise. Journal of Financial Markets 12: 547-569.
• Bernoulli, D. “Specimen Theoriae Novae de Mensura Sortis”.Commentarii Academiae Scientiarum Imperialis Petropolitanae 5 (1738): 175–192. Translated by L. Sommer as “Exposition of a New Theory on the Measurement of Risk,”Econometrica 22 (1): 23–36. 1954.
• Bernstein, L.P. (2015). Against the Gods: The Remarkeable Story of Risk. John Wiley& Sons, Inc. New York.
• Bhargava, A., Franzini, L. and Narendranathan, W.M. (1982). Serial correlation and the fixed effects model. The Review of Economic Studies 49 (4): 533-549. Black, F. (1986). Noise. The Journal of Finance 16 (3): 529-543.
• Blanchett D., Finke, M. and Guillemette, M. (2018). The Effect of Advanced Age and Equity Values on Risk Preferences, Journal of Behavioral Finance 19 (4): 434-441. doi: 10.1080/15427560.2018.1431884.
• Bozoklu,Ş. And Yılancı, V. (2013). The causality relation between financial development and economic growth: an analysis for emerging economies. Journal of Dokuz Eylul University Economic and Administrative Sciences Faculty 28 (2): 161-187.
• Breusch, T. S. and Pagan, A.R. (1980). The Lagrange multiplier test and its applications to model specification in econometrics. The Review of Economic Studies 47 (1): 239-253.
• Brown, M.B. and Forsythe, A.B. (1974). Robust tests for the equality of variances. Journal of the American Statistical Association 69: 364-367.
• Canbaş, S. and Kandır, S. (2009). Investor sentiment and stock returns: evidence from Turkey. Emerging Markets Finance and Trade 45 (4): 36-52.
• Castagna, A. and Fede, F. (2013). Measuring and managing liquidity risk. Croydon: John Wiley& Sons Inc.
• Cheng, P.K. and Kim, Y.S. (2017). Speculative bubbles and crashes: fundamentalists and positive-feedback trading. Cogent Economics and Finance 5 (13): 1-28. doi: 10.1080/23322039.2017.1381370.
• Chiang, T.F. and Xiao, J.J. (2017). Household characteristics and the change of financial risk tolerance during the financial crisis in the United States. International Journal of Consumer Studies 41: 484–493.
• Chou, C.P. (2014).“Influences of parental control and decision making on risk-taking behavior: a cross-cultural study in the U.S.A and Taiwan”. PhD diss., University of California, NY USA.
• Correa, R. Goldberg, L.S. and Rice, T. (2015). International banking and liquidity risk transmission: evidence from the United States. IMF. Economic Review 63 (3): 626–643.
• Coudert, V. and Gex, M. (2006). Can risk aversion indicators anticipate financial crises. Financial Stability Review 9: 67-88.
• Cumming, D., Johan, S. and Dan, L. (2011). Exchange trading rules and stock market liquidity. Journal of Financial Economics 99: 651–671.
• Dahir, A.M., Mahat, F.B. and Ali, N.A. (2018). Funding liquidity risk and bank risk-taking in BRICS countries: an application of system GMM approach. International Journal of Emerging Markets 13 (1): 231-248.
• Deuskar, P. and Johnson, T.C. (2011). Market liquidity and flow-driven risk. The Review of Financial Studies 721-753.
• Doğanay, M.A., and Değer, M.K. (2017). Foreign direct investments and export relations in emerging market economies: panel data cointegration analyses (1996-2014). Çankırı Karatekin University Journal of the Faculty of Economics and Administrative Sciences 7 (2): 127-145.
• Dumas, B.,Kurshev, A. and Uppal, R. (2009). Equilibrium portfolio strategies in the presence of sentiment risk and excess volatility. The Journal of Finance 64 (2).
• Dumitrescu, E.I. and Hurlin, C. (2012). Testing for granger non-causality in heterogeneous panels. Economic Modelling 29 (4): 1450-1460.
• Erataş, F., Nur, H.B. and Özçalık, M. (2013). The puzzle of Feldstein-Horioka evaluation of advanced economies: a panel data analysis. Cankırı Karatekin University Journal of the Faculty of Economics and Administrative Sciences 3 (2): 18-33.
• Ernst, C., S. Stange and Kaserer, C. (2009). Measuring market liquidity risk-which model works best. CEFS Working Paper Series 2009 (1): 1-29.
• Fan, J. X. and Xiao, J.J. (2006). Cross-Cultural Differences In Risk Tolerance: A Comparison Between Chinese and Americans. Journal of Personal Finance, 5 (3): 54-75.
• Farboodi, M. and Veldkamp, L. (2017). Financial Technology, Unpredictability and Illiquidity in the Long Run.
• Franklin, S.C. (2007). “Regulatory focus and financial risk aversion”. PhD diss., Columbia University, NY USA.
• Frinjs, B., Gilbert, A., Lehnert, T. and Tourani-Rad, A. (2013). Uncertainty avoidance, risk tolerance and corporate takeover decisions. Journal of Banking& Finance 37: 2457–2471. doi:10.1016/j.jbankfin.2013.02.010
• Froot, K.A. and O'Connell, P.G. (2003). The risk tolerance of international investors. National Bureau of Economic Research W10157. doi: 10.3386/w10157.
• Garcia, D. (2013). Sentiment during recessions. The Journal of Finance 68 (3): 1267-1300. doi: 10.1111/jofi.12027
• Grable, J. (2000). Financial risk tolerance and additional factors that affect risk taking in everyday money matters. Journal of Business and Psychology 14: 625.
• Güriş, S. (2018). Uygulamalı Panel Veri Ekonometrisi [The Applied Panel Data Econometric]. Istanbul: Der Kitapevi
• Hacıhasanoğlu, E. and Soytaş, U. (2009). The impact of global risk perceptions on emerging markets: the case of Turkey. The International Journal of Economic and Social Research 5 (1): 39-50.
• Hurley, P.R. (2005). “An emprical investigation using a real options analysis framework for making the optimal allocations of financial resource and application to investment decisions under uncertainty”. PhD diss., Renssealer Polytechnic Institue, NY USA.
• International Money Funds. (2010). Global financial stability report; sovereigns, funding, systemic liquidity. Washington DC.
• Jain, D. and Mandot, N. (2012). Impact of Demographic Factors on Investment Decision of Investors in Rajasthan. International Refereed Research Journal, 3 (2): 81-92.
• Kahyaoğlu, M. B. (2011). Yatırım Kararlarına Etki Eden Çeşitli Duygusal ve Psikolojik Faktörlere Maruz Kalma Düzeyi Üzerinde Cinsiyetin Rolü: İMKB Bireysel Hisse Senedi Yatırımcıları Üzerine Bir Uygulama [The Role of Gender on the Exposure Level of Various Emotional and Psychological Factors That Affecting Investment Decisions: A Research on Individual Stock Investors of IMKB]. The International Journal of Economic and Social Research, 7 (1): 29-51.
• Keynes, J.M.(1936). The General Theory of Employment, Interest and Money. London: Macmillan.
• Kumar, A. and Lee, C.M. (2006). Retail investor sentiment and return comovements. The Journal of Finance 61(5): 2451-2486.
• Lee, C.M., Shleifer, A. and Thaler, R.H. (1991). Investor sentiment and the closed-end fund puzzle.The Journal of Finance 46 (1): 75-109.
• Levene, H. (1960). Robust test for equality of variances, contributions to probability and statistics: essays in honor of Harold Hotteling. Stanford University Press 278-292.
• Lin,M. (2011).Investor sentiment and the fragility of liquidity. doi:10.2139/ssrn.1956315.
• Liu, S. (2015). Investor sentiment and stock market liquidity. Journal of Behavioral Finance 16 (1): 51-67.
• Markowitz, H. (1952). The utility of wealth. Journal of political Economy, 60 (2): 151-158.
• Muktadir-Al-Mukit, D. (2020). Do sociodemographic factors have influence on risk tolerance level of stock market investors? An analysis from a developing country perspective. South Asian Journal of Business Studies. doi:10.1108/SAJBS-11-2019-0193.
• Pesaran, M.H. (2006). Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica 74 (4): 967-1012.
• Reis, Pedro M.N. and Pinho, C. (2021). A Reappraisal of the Causal Relationship between Sentiment Proxies and Stock Returns, Journal of Behavioral Finance, 22 (4): 420-442, doi: 10.1080/15427560.2020.1792910.
• Rui, M., Hamish, A.D. and Marshall, B.R. (2016). International stock market liquidity: a review. Managerial Finance 42 (2): 118-135. doi: 10.1108/MF-04-2015-0096
• Saraç, T.B., İskenderoğlu, Ö. and Akdağ, S. (2016). Investigation of domestic and foreign investors’ risk appetite: the case of Turkey. Sosyoekonomi 24 (30): 29- 44. doi:10.17233/se.2016.10.002
• Stange, S. (2009). “Market Liquidity Risk”. PhD diss., Technische Universität München, Münih Germany.
• Subrahmanyam, A. (1991). Risk aversion, market liquidity and price efficiency. The Review of Financial Studies 4 (3): 417- 441.
• Subramanian, A. and Jarrow, R.A. (2001). The liquidity discount. Mathematical Finance 11 (4): 447- 474.
• Sun, M.U. (2016). Interaction among funding liquidity, liquidity creation and stock liquidity of banks: evidence from BRICS countries. Journal of Financial Regulation and Compliance 24 (4): 430-452.
• Swamy, Paravastu. A.V.B. (1970). Efficient inference in a random coefficient regression model. Econometrica 38: 311-323.
• Tetlock, P.C. (2007). Giving content to investor sentiment the role of media in the stock market. The Journal of Finance 62 (3): 1139-1168.
• Tobin, J. (1958). Liquidity preference as behavior towards risk. The Review of Economic Studies, 26 (1): 65-86.
• Usul, H., Bekçi, I. and Eroğlu, A. Hüsrev (2002). Bireysel Yatırımcıların Hisse Senedi Edinimine Etki Eden Sosyo-Ekonomik Etkenler [The Socio-Economic Factors’ Effects on the Individual Investors Share Investments]. Erciyes University Journal of Economics and Administrative Sciences 2002 (19): 135-150.
• Westerlund, J. (2006). Testing for panel cointegration with multiple structural breaks. Oxford Bulletin of Economics and Statistics 68 (1): 101-132.
• Yıldırım, B.D. (2011). Measuring and analyzing fınancial market liquidity of Turkey. Central Bank Review 11:11-28.