SavedAdd your journal

Journals / Ekonomi Politika ve Finans Araştırmaları Dergisi / 2026 / Cilt: 11 Sayı: 3

How Does the IPO Index in Türkiye React to Risks? ARDL and NARDL Approach

Türkiye’de Halka Arz Endeksi Risklere Nasıl Tepki Verir? ARDL ve NARDL Yaklaşımı

N. Serap Vurur(AFYON KOCATEPE ÜNİVERSİTESİ)0000-0003-4339-6474
Pages
1036–1055
Publication Date
2026-09-30
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

ARDL results show that increases in sovereign credit risk (CDS) significantly reduce IPO activities, while geopolitical risk and domestic investor risk appetite create long-term positive effects.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This study investigates the effects of global and domestic risk factors on the initial public offering (IPO) market in Türkiye using both linear and nonlinear time-series approaches.
📊
Key Findings & Data:Monthly data from June 2012 to January 2026 are analyzed using the ARDL and NARDL frameworks to examine the long-run and short-run relationships between IPO activity and selected risk indicators.
💡
Conclusion & Impact:ARDL results show that increases in sovereign credit risk (CDS) significantly reduce IPO activities, while geopolitical risk and domestic investor risk appetite create long-term positive effects.
🔬Design:Araştırma Makalesi
📍Scope:2012 Verileri
⚙️Variables:Halka Arz · Kredi Temerrüt Swapları · Volatilite Endeksi

Abstract

This study investigates the effects of global and domestic risk factors on the initial public offering (IPO) market in Türkiye using both linear and nonlinear time-series approaches. Monthly data from June 2012 to January 2026 are analyzed using the ARDL and NARDL frameworks to examine the long-run and short-run relationships between IPO activity and selected risk indicators. ARDL results show that increases in sovereign credit risk (CDS) significantly reduce IPO activities, while geopolitical risk and domestic investor risk appetite create long-term positive effects. NARDL results reveal that IPO activity responds asymmetrically to global market volatility (VIX) and domestic investor risk appetite (RISKD), while CDS follows a symmetric long-term correction process despite exhibiting significant short-term asymmetry. Foreign investor risk appetite does not have a statistically significant effect. Overall, the results suggest that considering asymmetric risk dynamics, particularly those related to global market uncertainty and domestic investor behavior, provides a more comprehensive understanding of IPO activity in emerging capital markets and offers important implications for policymakers, regulators, and market participants.

Özet

Bu çalışma, hem doğrusal hem de doğrusal olmayan zaman serisi yaklaşımlarını kullanarak, küresel ve yerel risk faktörlerinin Türkiye'deki halka arz (IPO) piyasası üzerindeki etkilerini araştırmaktadır. Haziran 2012 ile Ocak 2026 arasındaki aylık veriler, IPO aktivitesi ile seçilen risk göstergeleri arasındaki uzun vadeli ve kısa vadeli ilişkileri incelemek için ARDL ve NARDL çerçeveleri içinde analiz edilmiştir. ARDL sonuçları, ülke kredi riskindeki (CDS) artışların halka arz faaliyetlerini önemli ölçüde azalttığını, jeopolitik riskin ve yerli yatırımcı risk iştahının ise uzun vadeli olumlu etkiler yarattığını göstermektedir. NARDL sonuçları, halka arz faaliyetinin küresel piyasa oynaklığının (VIX) ve yurt içi yatırımcı risk iştahına (RISKD) asimetrik tepki verdiğini, CDS'nin ise önemli kısa vadeli asimetri sergilemesine rağmen simetrik bir uzun vadeli düzeltme süreci izlediğini ortaya koymaktadır. Yabancı yatırımcı risk iştahının ise istatistiksel olarak anlamlı bir etkisi bulunmamaktadır. Genel olarak, sonuçlar asimetrik risk dinamiklerini, özellikle de küresel piyasa belirsizliği ve yerli yatırımcı davranışıyla ilgili olanları dikkate almanın, gelişmekte olan sermaye piyasalarındaki halka arz faaliyetlerine ilişkin daha kapsamlı bir anlayış sağladığını ve politika yapıcılar, düzenleyiciler ve piyasa katılımcıları için önemli çıkarımlar sunduğunu göstermektedir.

🔖

Cite This Article

Vurur, N. S., *, N. S. V. (2026). How Does the IPO Index in Türkiye React to Risks? ARDL and NARDL Approach. Ekonomi Politika ve Finans Araştırmaları Dergisi, Cilt: 11 Sayı: 3, 1036–1055. https://doi.org/10.30784/epfad.1951521

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (42)

  1. Açıkgöz, Ş. and Karataş, C.O. (2024). Economic policy uncertainty and fluctuations in monthly IPO volume: Evidence from the US. Business and Economics Research Journal, 15(4), 331-354. https://doi.org/10.20409/berj.2024.448
  2. Andersen, T.G., Bollerslev, T., Diebold, F.X. and Vega, C. (2007). Real-time price discovery in global stock, bond, and foreign exchange markets. Journal of International Economics, 73(2), 251-277. https://doi.org/10.1016/j.jinteco.2007.02.004
  3. Avcı, P. and Çınar, U. (2024). The impact of changes in domestic and foreign investors’ risk appetite on BIST indices: evidence from Fourier tests. Karamanoğlu Mehmetbey University Journal of Social and Economic Research, 26(46), 567-584. https://izlik.org/JA23SB48KT
  4. Beaulieu, M.-C. and Bouden, H.M. (2015). Firm-specific risk and IPO market cycles. Applied Economics, 47(50), 5354-5377. https://doi.org/10.1080/00036846.2015.1047091
  5. Bozdağ, R. and Polat, M. (2025). The impact of the VIX volatility index on financial markets. Journal of Accounting and Finance Review, 8(1), 103-118. https://doi.org/10.32951/mufider.1605548
  6. Brennan, M.J. and Cao, H.H. (1997). International portfolio investment flows. The Journal of Finance, 52(5), 1851-1880. https://doi.org/10.1111/j.1540-6261.1997.tb02744.x
  7. Caldara, D. and Iacoviello, M. (2022). Measuring geopolitical risk. American Economic Review, 112(4), 1194-1225. https://doi.org/10.1257/aer.20191823
  8. Caldara, D. and Iacoviello, M. (n.d.). Country-specific geopolitical risk index [Data set]. Retrieved from https://www.matteoiacoviello.com/gpr_country.htm
  9. Campbell, J.Y. and Viceira, L.M. (2002). Strategic asset allocation: Portfolio choice for long-term investors. https://doi.org/10.1093/0198296940.001.0001
  10. Ceyhan, İ.F. (2025). Investigating the impact of global and Türkiye-specific geopolitical risks on BIST indices. Business & Management Studies: An International Journal, 13(3), 1376-1390. https://doi.org/10.15295/bmij.v13i3.2569
  11. Chandio, A.A., Jiang, Y., Rauf, A., Ahmad, F., Amin, W. and Shehzad, K. (2020). Assessment of formal credit and climate change impact on agricultural production in Pakistan: A time series ARDL modeling approach. Sustainability, 12(13), 5241. https://doi.org/10.3390/su12135241
  12. Chiu, H.H. (2008). Investor preferences, mutual fund flows, and the timing of IPOs (Working paper, Chapman University). Retrieved from https://www.efmaefm.org/0efmameetings/EFMA%20ANNUAL%20MEETINGS/2008-Athens/papers/Chiu.pdf
  13. Çelik, Ü.M.S. (2025). The impact of investor risk appetite on the Borsa Istanbul-100 index. Mali Çözüm Dergisi, 35(190), 1227-1243. Retrieved from https://archive.ismmmo.org.tr/
  14. Çetinkaya, M. and Üçler, G. (2024). The impact of credit default swaps (CDS) and volatility index (VIX) on Borsa Istanbul indices. Journal of the Faculty of Political Science (NEUSBF), 6(1), 33-52. https://doi.org/10.51124/jneusbf.2024.95
  15. Goyal, A., Lasfer, M. and Gounopoulos, D. (2025). Geopolitical risk and IPO outcomes. Paper presented at the 2nd International Banking & Finance Research Conference (IBFRC2025), Agadir, Morocco. Retrieved from https://ibfrc25.sciencesconf.org/data/pages/GGL_2025_Geopolitical_Risk_and_IPO_Outcomes.pdf
  16. Herley, M.D. (2026). Has IPO market structure fundamentally changed? Evidence from negative binomial regression with structural breaks. International Journal of Financial Studies, 14(1), 6. https://doi.org/10.3390/ijfs14010006
  17. Hong, H. and Stein, J.C. (1999). A unified theory of underreaction, momentum trading, and overreaction in asset markets. The Journal of Finance, 54(6), 2143-2184. https://doi.org/10.1111/0022-1082.00184
  18. Hull, J., Predescu, M. and White, A. (2004). The relationship between credit default swap spreads, bond yields, and credit rating announcements. Journal of Banking & Finance, 28(11), 2789-2811. https://doi.org/10.1016/j.jbankfin.2004.06.010
  19. İlarslan, K. and Yıldız, M. (2020). An analysis of the effects of terrorism on financial markets using the ARDL bounds testing approach: Evidence from the Turkish banking sector for the period 1974-2017. Turkish Studies Economics, Finance, Politics, 15(4), 2131-2150. Retrieved from https://turkishstudies.net/
  20. Investing.com. (n.d.-a). BIST IPO historical data (XHARZ) [Data set]. Retrieved February 16, 2026, from https://www.investing.com/indices/bist-halka-arz-historical-data
  21. Investing.com. (n.d.-b). CBOE volatility index historical data (VIX) [Data set]. Retrieved February 16, 2026, from https://www.investing.com/indices/volatility-s-p-500-historical-data
  22. Investing.com. (n.d.-c). Turkey CDS 5 years USD bond historical data [Data set]. Retrieved February 16, 2026, from https://www.investing.com/rates-bonds/turkey-cds-5-year-usd-historical-data
  23. Jamaani, F. and Alidarous, M. (2024). To delay or expedite: Assessing the influence of geopolitical risk on the length of initial public offering listing across global markets (SSRN Working Paper No. 4832638). https://doi.org/10.2139/ssrn.4832638
  24. Karaçayır, E. (2025). Analysis of the relationship between credit default swaps (CDS), the fear index (VIX), and BIST 100 using the wavelet coherence model. Journal of Anadolu University Faculty of Economics and Administrative Sciences, 26(2), 547–568. https://doi.org/10.53443/anadoluibfd.1625517
  25. Koçyiğit, A. and Yaman, S. (2023). The relationship between investor risk appetite and stock market in the framework of behavioral finance: A sectoral research in Borsa Istanbul. In C. Karaca and M.F. Buğan (Eds.), Evolution of financial markets-II (pp. 229-257). Gaziantep: Ozgur Publications. https://doi.org/10.58830/ozgur.pub105.c517
  26. Longstaff, F.A., Mithal, S. and Neis, E. (2005). Corporate yield spreads: Default risk or liquidity? New evidence from the credit default swap market. The Journal of Finance, 60(5), 2213-2253. https://doi.org/10.1111/j.1540-6261.2005.00797.x
  27. Menegaki, A.N. (2019). The ARDL method in the energy-growth nexus field: Best implementation strategies. Economies, 7(4), 105. https://doi.org/10.3390/economies7040105
  28. MKK. (n.d.). REKS–Risk tendency index [Data set]. Retrieved from https://www.vap.org.tr/reks
  29. Nazlıoğlu, E.H. (2025). The impact of global uncertainty and risks on Borsa Istanbul: Evidence from the BIST100 example. Nişantaşı University Journal of Social Sciences, 13(Special Issue), 1-13. https://doi.org/10.52122/nisantasisbd.1809527
  30. O’Brien, R.M. (2007). A caution regarding rules of thumb for variance inflation factors. Quality & Quantity, 41, 673–690. https://doi.org/10.1007/s11135-006-9018-6
  31. Özdemir, L. (2025). Investor risk tendencies and the relationship with BIST sector index returns: Asymmetric interactions. Dumlupınar University Journal of Social Science, 85, 46-67. https://doi.org/10.51290/dpusbe.1631103
  32. Pesaran, M.H. and Shin, Y. (1999). An autoregressive distributed-lag modelling approach to cointegration analysis. In S. Strøm (Ed.), Econometrics and economic theory in the 20th century: The Ragnar Frisch Centennial Symposium (pp. 371-413). Cambridge: Cambridge University Press. https://doi.org/10.1017/CCOL521633230.011
  33. PwC. (2025). Global investor survey 2025. Retrieved from https://www.pwc.com/gx/en/issues/c-suite-insights/global-investor-survey.html
  34. Saparca, Ü. and Yenipazarlı, A. (2023). The causality relationship between CDS premium, exchange rate, and the BIST 100 index: The case of Türkiye. Adnan Menderes University Journal of Social Sciences Institute, 10(2), 30–44. https://doi.org/10.30803/adusobed.1345429
  35. Sever, O. (2025). Dynamic interactions between global risk indicators and the Turkish stock market. Izmir Democracy University Social Sciences Journal, 8(2), 299–322. https://doi.org/10.61127/idusos.1791105
  36. Shin, Y., Yu, B. and Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In R. C. Sickles and W. C. Horrace (Eds.), Festschrift in honor of Peter Schmidt: Econometric methods and applications (pp. 281–314). New York: Springer. https://doi.org/10.1007/978-1-4899-8008-3_9
  37. Topaloğlu, E.E. and Kurt Cihangir, Ç. (2022). The effect of risk appetite on stock market returns and volatility: Evidence from Borsa Istanbul using FIEGARCH, NARDL, and Hatemi-J models. Ankara Hacı Bayram Veli University Journal of the Faculty of Economics and Administrative Sciences, 24(3), 973-1004. https://doi.org/10.26745/ahbvuibfd.1173362
  38. Tunalı, H. and Korkmaz, Y. (2024). The effect of credit risk premium on the IPO index: An analysis on Borsa Istanbul. International Journal of Disciplines in Economics & Administrative Sciences Studies, 10(4), 107-113. https://doi.org/10.5281/zenodo.13608121
  39. Vergili, G. (2023). The relationship between investor risk appetite indices (RISE) and the BIST100 index. In B. Kırcı Altınkeski and M.F. Buğan (Eds.), Evolution of financial markets: Banking, risk management, markets and institutions (pp. 89-104). Gaziantep: Özgür Yayın-Dağıtım Co. Ltd. https://doi.org/10.58830/ozgur.pub67.c322
  40. Whaley, R.E. (2000). The investor fear gauge. The Journal of Portfolio Management, 26(3), 12-17. https://doi.org/10.3905/jpm.2000.319728
  41. Yıldız, M. (2023). The role of economic factors in Türkiye’s carbon neutrality target. Journal of Economy, Policy and Finance Research, 8(1), 102–129. https://doi.org/10.30784/epfad.1207540
  42. Zhang, Y., He, J., He, M. and Li, S. (2023). Geopolitical risk and stock market volatility: A global perspective. Finance Research Letters, 53, 103620. https://doi.org/10.1016/j.frl.2022.103620