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Yatırımcıların Risk İştahı Endeksi İle Korku Endeksleri Arasındaki İlişki: Türkiye’de ARDL İle Ampirik Bir Uygulama

Author

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  • Tuncer Yılmaz
  • Bülent Yıldız

Abstract

Son yıllarda, finansal piyasalarda yatırımcıların risk iştahına yönelik artan bilimsel ilgiye rağmen, risk yönetiminde kilit bir rol oynayan faktörlerin risk iştahı ile ilişkisine dair çalışmaların fazla ilgi gördüğünü söyleyemeyiz. Bu makale, piyasalarda belirsizliği temsil etmek üzere hesaplanan V1XI, V2TX, JNIV, VXN ve VIX korku endekslerinin Türkiye hisse senedi piyasası bağlamında nitelikli yatırımcılar, yabancı yatırımcılar, yerli yatırımcılar, yerli fonlar, yerli gerçek kişiler, yerli tüzel kişiler ve tüm yatırımcıların risk iştahı endeksi (RISE) üzerindeki etkilerini anlamaya katkıda bulunmaktadır. Çalışma, ARDL Sınır Testi, uzun dönem ve kısa dönem regresyon modellerini kullanarak korku endeksleri ile risk iştahı endeksi arasındaki bağlantı hakkında ampirik kanıtlar sağlamaktadır. Makalede Ocak 2008-Nisan 2022 dönemi için aylık veriler kullanılmıştır. Analizlerde elde ettiğimiz sonuçlarda, V2TX endeksinin bütün yatırımcı türlerinin risk iştahı endeksi üzerinde en etkili korku endeksi olduğu görülmüştür. Daha sonra önem sırasına göre, JNIV, VIX ve V1XI endeksleri gelmektedir. Araştırmada, diğer korku endekslerinin regresyon etki katsayıları hiçbir yatırımcı türünde istatistiksel olarak anlamlı sonuçlar vermemiştir. Bu çalışma, Türkiye'deki yatırımcılar için hesaplanan 7 farklı RISE ile birden fazla yurtdışı korku endeksinin ilişkisini ilk kez araştırması bakımından özgündür.

Suggested Citation

  • Tuncer Yılmaz & Bülent Yıldız, 2022. "Yatırımcıların Risk İştahı Endeksi İle Korku Endeksleri Arasındaki İlişki: Türkiye’de ARDL İle Ampirik Bir Uygulama," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 7(3), pages 646-676.
    • Handle: RePEc:ahs:journl:v:7:y:2022:i:3:p:646-676
    DOI: 10.30784/epfad.1121939
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    More about this item

    Keywords

    Risk İştahı Endeksi; Korku Endeksi; ARDL Sınır Testi;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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