THE IMPACT OF CHANGES IN RISK APPETITE OF DOMESTIC AND FOREIGN INVESTORS ON BIST INDICES: EVIDENCE FROM FOURIER TESTS

Yıl 2024, Cilt: 26 Sayı: 46, 567 - 584, 30.06.2024

Pınar Avcı , Uğur Çınar

Öz

A positive or elevated level of investor sentiment in the market encourages investors to buy risky stocks and sell safe ones. Investor's risk appetite, which is defined as the investor's sensitivity to risk, whether they are willing to carry it or not, is an important factor in the prediction of financial markets and investors' decision to invest in stocks. Therefore, the aim of this study is to examine the relationship between Borsa Istanbul indices and Risk Appetite indices in Turkey during the period June 2016 - December 2022. The current unit root test, cointegration test and causality analysis developed by adding Fourier function are conducted in the study. Empirical findings show that the model variables are stationary at the first difference level. There is a long-run relationship between BIST30, BIST50 and BIST indices and Risk Appetite indices. Moreover, the findings reveal that there is a causality relationship running from BIST30, BIST50 and BIST indices to TRISE, YERRISE and YABRISE Risk Appetite indices. In conclusion, the findings of the study provide important recommendations for investors and policy makers.

Anahtar Kelimeler

Stock prices, Risk Appetite index, Investor sentiment, Fourier tests

YERLİ VE YABANCI YATIRIMCILARA AİT RİSK İŞTAHLARINDAKİ DEĞİŞİMLERİN BIST ENDEKSLERİNE ETKİSİ: FOURİER TESTLERİNDEN KANITLAR

Öz

Piyasadaki yatırımcı duyarlılık düzeyinin olumlu olması ya da bu duyarlılığın yükselmesi, yatırımcıları riskli hisse senetleri satın almaya ve güvenli olanları satmaya teşvik etmektedir. Yatırımcının riske karşı duyarlılığı, risk bağlantısı ya da riski taşımak isteyip istememesi olarak ifade edilen risk iştahı, finansal piyasaların tahmininde ve yatırımcıların hisse senedine yatırım kararı vermesinde önemli bir unsurdur. Dolayısıyla bu çalışmanın amacı, Haziran 2016- Aralık 2022 döneminde Türkiye’deki Borsa İstanbul endeksleri ile Risk İştahı endeksleri arasındaki ilişkiyi incelemektir. Çalışmada Fourier fonksiyonu eklenerek geliştirilen güncel birim kök testi, eşbütünleşme testi ve nedensellik analizi yapılmaktadır. Ampirik bulgular, model değişkenlerinin birinci fark düzeyinde durağan olduğunu göstermektedir. BİST30, BİST50 ve BİST endeksleri ile Risk İştah endeksleri arasında uzun dönemli ilişki olduğu elde edilmektedir. Ayrıca, bulgular BİST30, BİST50 ve BİST endekslerinden TRİSE, YERRİSE ve YABRİSE Risk İştah endekslerine doğru uzanan nedensellik ilişkisi olduğunu ortaya çıkarmaktadır. Sonuç olarak, çalışma bulguları yatırımcılar ve politik yapıcılar için önemli tavsiyeler sunmaktadır.

Anahtar Kelimeler

Hisse senedi fiyatları, Risk İştah endeksi, Yatırımcı duyarlılığı, Fourier testleri

Etik Beyan

“Yerli ve Yabancı Yatırımcılara Ait Risk İştahlarındaki Değişimlerin BIST Endekslerine Etkisi: Fourier Testlerinden Kanıtlar” başlıklı araştırmanın hazırlanması ve yayınlanması süreçlerinde Araştırma ve Yayın Etiği kurallarına uyulmuştur. Çalışma için etik kurul izni gerekmemektedir.

Kaynakça

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