Yatırımcı Risk İştahının Pay Piyasasına Etkisi: BİST Mali Endeksi Üzerine Bir Araştırma
The Effect of Investor's Risk Appetite on the Stock Market: A Study on the BIST Financial Index

Summary/Abstract: In the study, it was aimed to investigate the relationship between the Risk Appetite index (RISE) and BIST Financial Index between 06.06.2008-07.11.2021 with linear ARDL, nonlinear ARDL, Toda ve Yamamoto Granger causality, and Hatemi-J (2012) asymmetric causality tests. As a result of the analysis, it has been determined that there is a long-term cointegration relationship between BIST Financial and RISE indices according to linear ARDL and nonlinear ARDL models. According to the linear ARDL model long-term coefficient, it was observed that the 1% increase in the RISE index caused an approximately 0.44% increase in the BIST Financial index. According to the nonlinear ARDL model results, it is observed that a 1% increase in positive changes in the RISE index causes an approximately 0.46% increase in the BIST Financial index, and a 1% increase in negative changes causes an approximately 0.43% increase in the BIST Financial index. Therefore, it can be said that there is a long-term asymmetric cointegration relationship between the indices. Moreover, according to the results of the Toda ve Yamamoto Granger causality tests, a one-way causality relationship was observed from BIST Financial index to the RISE index. According to Hatemi-J (2012) asymmetric causality test results, from the negative shocks in the RISE index to the negative shocks in the BIST Financial index, from the negative shocks in the RISE index to the positive shocks in the BIST Financial index, from the positive shocks in the BIST Financial index to the positive shocks in the RISE index, and from the negative shocks in the BIST Financial index to the negative shocks in the RISE index causality relationship have been revealed.

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