Yatırımcı Risk İştahı Endeksleri (RISE) ile BIST100 Endeks İlişkisi
Relationship between Investor Risk Appetite Indices (RISE) and BIST100 Index

Author(s): Gizem Vergili
Subject(s): Economy, International relations/trade, Financial Markets
Published by: Özgür Yayın Dağıtım Ltd. Şti.
Keywords: risk; BIST100 Index; stock market;
Summary/Abstract: The concept of risk, which has an important place in financial decisions and investments, is discussed in different dimensions in the literature. In this study, the relationship between the risk appetite of investors and the stock market is discussed. First of all, the long-term relationship between the investor Risk Appetite Indices (RISE) shared on the Data Analysis Platform by the Central Securities Depository Institution (MKK) and the Borsa Istanbul 100 (BIST100) index was examined for the period between April 1, 2008 and February 24, 2023. The long-term relationship of risk appetite indices, which are announced in seven different categories, including all, domestic, foreign, domestic real, domestic corporate, domestic funds and qualified investors, with BIST100 was investigated with the ARDL (Autoregressive Distributed Lag Model) method and the long-term relationship of the series in other words, cointegrated. It was concluded that the short-term deviations between the Risk Appetite Indices, which have a long-term relationship, and the BIST100 index, re-balanced in a period of 88 weeks. According to Toda Yamamoto causality analysis, it has been determined that there is a one-way causality relationship from BIST100 index to all of the Risk Appetite Indices. In addition, from all investors risk appetite index to domestic and domestic corporate investors risk appetite index; foreign investor risk appetite index to the domestic and domestic corporate investors risk appetite indices one-way causality relationship has been reached.

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