In the long and shortterm forecast results, it was determined that the BIST-100 index is positively related to inflation and the RISE index, and negatively related to the interest rate.
📌 3 Key Takeaways
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Objective & Hypothesis:In this study, the relationship between Borsa Istanbul 100 Index (BIST-100), Investor Risk Appetite Index (RISE), and macroeconomic indicators are tried to be determined using Autoregressive Distributed Lag (ARDL) Bounds Testing Approach with monthly data covering the periods 01/2011-08/2022.
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Key Findings & Data:Inflation and interest rate are used as macroeconomic indicators.
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Conclusion & Impact:In the long and shortterm forecast results, it was determined that the BIST-100 index is positively related to inflation and the RISE index, and negatively related to the interest rate.
🔬Design:Modeling & Simulation
📍Scope:2011 Verileri
⚙️Variables:BIST-100 · Investor Appetite Index (RISE) · Inflation Rate
Abstract
In this study, the relationship between Borsa Istanbul 100 Index (BIST-100), Investor Risk Appetite Index (RISE), and macroeconomic indicators are tried to be determined using Autoregressive Distributed Lag (ARDL) Bounds Testing Approach with monthly data covering the periods 01/2011-08/2022. Inflation and interest rate are used as macroeconomic indicators. By taking into account the unit root test results related to the stationary conditions of the series, an econometric model is founded in which the BIST-100 was selected as a dependent variable, and a cointegration relationship was determined. In addition, the parameters of the models were estimated and evaluated. In the long and shortterm forecast results, it was determined that the BIST-100 index is positively related to inflation and the RISE index, and negatively related to the interest rate.
SÖZEN, Ç., İSPİROĞLU, F., ŞEYRANLIOĞLU, O. (2022). Investigation of the Effect of Investor Risk Appetite Index and Macroeconomic Indicators on the BIST-100 Index. Bulletin of Economic Theory and Analysis, Cilt: 7 - Sayı: 2, 355–378. https://ajindex.com/articles/876316
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