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Yerli ve Yabancı Yatırımcılara Ait Risk İştahlarının İncelenmesi: Türkiye Örneği

Taha Bahadır Saraç, Ömer İskenderoğlu and Saffet Akdağ

Sosyoekonomi Journal, 2016, issue 24(30)

Abstract: In this study, the predictability of the risk appetite data published by the Central Registry Agency of Turkey (CRA) on a weekly basis for domestic and foreign investors which are considered as a measure of financial stability is examined. By examining the data of the period between the years 2008 – 2013, Lee and Strazicich (2003) test which takes structural breaks into account and Caner and Hansen (2001) threshold unit root test besides the first-generation unit root tests such as ADF and KPSS are performed in the study. The results obtained from the study reveal that the risk appetite data for domestic investors are linear and that there is no threshold effect. The data series of risk appetite for foreign investors, on the other hand, has been detected to be non-linear along with the existence of threshold effect. Furthermore, foreign investors’ risk appetite can be predicted during the periods of a downward trend, while it cannot be predicted during the periods of an upward trend.

Keywords: Risk; Risk Appetite; Non-Linear Unit Root Test. (search for similar items in EconPapers)
JEL-codes: C22 G12 G17 (search for similar items in EconPapers)
Date: 2016
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