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

Yüksel İltaş; Adnan Güzel

Makale detayları

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

Yazarlar:

Yüksel İltaş | Adnan Güzel

Yayıncı:

Burdur Mehmet Akif Ersoy University

Ana Başlıklar:

Financial Forecast and Modelling

Dergi:

Journal of Mehmet Akif Ersoy University Economics and Administrative Sciences Faculty Vol.11 Issue 4, pp.1559-1586

Belge Tipi:

Makale

Yayın Tarihi:

12/2024

Belge Dili:

İngilizce

Document ID (Org No.):

2001338065

pISSN:

2149-1658

Anahtar kelimeler:

Özet:

 In this study, the asymmetric relationship between the Risk Tendency Indices calculated for each investor type and Turkeys 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.

 In this study, the asymmetric relationship between the Risk Tendency Indices calculated for each investor type and Turkeys 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.

 In this study, the asymmetric relationship between the Risk Tendency Indices calculated for each investor type and Turkeys 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.

 In this study, the asymmetric relationship between the Risk Tendency Indices calculated for each investor type and Turkeys 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.

Makale detayları

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

Yazarlar:

Yüksel İltaş | Adnan Güzel

Yayıncı:

Burdur Mehmet Akif Ersoy University

Ana Başlıklar:

Financial Forecast and Modelling

Dergi:

Journal of Mehmet Akif Ersoy University Economics and Administrative Sciences Faculty Vol.11 Issue 4, pp.1559-1586

Belge Tipi:

Makale

Yayın Tarihi:

12/2024

Belge Dili:

İngilizce

Document ID (Org No.):

2001338065

pISSN:

2149-1658

The Propencity to Risk Taking

Asymmetric ARDL

Asymmetric CausalityThe Propensity to Risk Taking

Asymmetric ARDL

Asymmetric Causality

Sayı

Makale detayları

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

Yazarlar: Yüksel İltaş | Adnan Güzel

Yayıncı: Burdur Mehmet Akif Ersoy University

Ana Başlıklar: Financial Forecast and Modelling

Dergi: Journal of Mehmet Akif Ersoy University Economics and Administrative Sciences Faculty Vol.11 Issue 4, pp.1559-1586

Belge Tipi: Makale

Yayın Tarihi: 12/2024

Belge Dili: İngilizce

Document ID (Org No.): 2001338065

pISSN: 2149-1658

The Propencity to Risk Taking

Asymmetric ARDL

Asymmetric CausalityThe Propensity to Risk Taking

Asymmetric ARDL

Asymmetric Causality

Sayı

Yazarlar:

Yüksel İltaş | Adnan Güzel

Yayıncı:

Burdur Mehmet Akif Ersoy University

Ana Başlıklar:

Financial Forecast and Modelling

Dergi:

Journal of Mehmet Akif Ersoy University Economics and Administrative Sciences Faculty Vol.11 Issue 4, pp.1559-1586

Belge Tipi:

Makale

Yayın Tarihi:

12/2024

Belge Dili:

İngilizce

Document ID (Org No.):

2001338065

pISSN:

2149-1658