The Effect of Investor's Risk Appetite on the Stock Market: A Study on the BIST Financial Index

TuÄŸba Nur

Fiscaoeconomia, 2022, issue 3

Abstract: In the study, it was aimed to investigate the relationship between Risk Appetite index (RISE) and BIST Financial index between 06.06.2008-07.11.2021 with linear ARDL, nonlinear ARDL, Toda & 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 determined that the 1% increase in the RISE index caused an approximately 44% increase in the BIST Financial index. According to the non-linear ARDL model results, it is observed that a 1% increase in positive changes in the RISE index causes an approximately 46% increase in the BIST Financial index, and a 1% increase in negative changes causes an approximately 43% increase in the BIST Financial index. Therefore, it can be said that there is a long-term asymmetric cointegration relationship between the indices. In addition to the findings, according to the results of the Toda & Yamamoto Granger causality tests, a one-way causality relationship was determined 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 has been determined.

Keywords: Risk Appetite; Stock Market; Asymmetric Causality (search for similar items in EconPapers)
JEL-codes: C22 C58 G12 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:fis:journl:220308

DOI: 10.25295/fsecon.1095329

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