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Journals / Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi / 2024 / Volume: 11 Issue: 4

An Analysis of the Relationship Between Investor Risk Appetite and CDS Premiums in Turkey Using Asymmetric Methods

Yüksel İltaş(KIRŞEHİR AHİ EVRAN ÜNİVERSİTESİ, İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ, İŞLETME BÖLÜMÜ)0000-0001-8853-838X
Adnan Güzel(TÜRK HAVA KURUMU ÜNİVERSİTESİ, İŞLETME FAKÜLTESİ)0000-0002-0055-712X
Pages
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Publication Date
2024-12-31
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AI Summary & Key Takeaways

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

These findings reveal that the effects of market risks and uncertainties on investor groups are asymmetric.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In this study, the asymmetric relationship between the Risk Tendency Indices calculated for each investor type and Turkey's CDS premium is investigated.
📊
Key Findings & Data:The data set of the study consists of weekly frequency data covering the period April 2010-December 2023.
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Conclusion & Impact:These findings reveal that the effects of market risks and uncertainties on investor groups are asymmetric.
🔬Design:Research Article
📍Scope:2010 Verileri
⚙️Variables:The Propencity to Risk Taking · Asymmetric ARDL · Asymmetric Causality

Abstract

In this study, the asymmetric relationship between the Risk Tendency Indices calculated for each investor type and Turkey's CDS premium is investigated. The data set of the study consists of weekly frequency data covering the period April 2010-December 2023. Nonlinear ARDL (NARDL) method and Hatemi-J and Roca (2014) asymmetric causality test was used in the empirical analysis of the study. The findings show that in the long run, positive changes in the CDS premium have a greater impact on REKS Domestic and REKS Qualified indices than negative changes, while negative changes in the CDS premium have a greater impact on REKS Domestic Real, REKS Domestic Corporate and REKS Domestic Funds indices than positive changes. These findings reveal that the effects of market risks and uncertainties on investor groups are asymmetric.

Özet

In this study, the asymmetric relationship between the Risk Tendency Indices calculated for each investor type and Turkey's CDS premium is investigated. The data set of the study consists of weekly frequency data covering the period April 2010-December 2023. Nonlinear ARDL (NARDL) method and Hatemi-J and Roca (2014) asymmetric causality test was used in the empirical analysis of the study. The findings show that in the long run, positive changes in the CDS premium have a greater impact on REKS Domestic and REKS Qualified indices than negative changes, while negative changes in the CDS premium have a greater impact on REKS Domestic Real, REKS Domestic Corporate and REKS Domestic Funds indices than positive changes. These findings reveal that the effects of market risks and uncertainties on investor groups are asymmetric.

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Cite This Article

İltaş, Y., Güzel, A. (2024). An Analysis of the Relationship Between Investor Risk Appetite and CDS Premiums in Turkey Using Asymmetric Methods. Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Volume: 11 Issue: 4. https://doi.org/10.30798/makuiibf.1511420

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