An Analysis of the Relationship Between Investor Risk Appetite and CDS Premiums in Turkey Using Asymmetric Methods
Yazarlar (2)
Doç. Dr. Yüksel İLTAŞ Kırşehir Ahi Evran Üniversitesi, Türkiye
Adnan Güzel Türk Hava Kurumu Üniversitesi, Türkiye
| Makale Türü |
Özgün Makale
(ESCI dergilerinde yayınlanan tam makale)
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| Dergi Adı | JOURNAL OF MEHMET AKIF ERSOY UNIVERSITY ECONOMICS AND ADMINISTRATIVE SCIENCES FACULTY | ||
| Dergi ISSN | 2149-1658 Dergi Bilgileri (2024) | ||
| Dergi Tarandığı Indeksler | ESCI | ||
| Makale Dili | İngilizce | Basım Tarihi | 12-2024 |
| Cilt / Sayı / Sayfa | 11 / 4 / 1559–1586 | DOI | 10.30798/makuiibf.1511420 |
| Makale Linki | https://dergipark.org.tr/en/pub/makuiibf/issue/89678/1511420 | ||
| UAK Araştırma Alanları |
Finansal Piyasalar ve Kurumlar
İşletme Finansı
Finansal Tahmin ve Modelleme
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| 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. |
| Anahtar Kelimeler |
| The Propensity to Risk Taking | Asymmetric ARDL | Asymmetric Causality |
BM Sürdürülebilir Kalkınma Amaçları
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| Google Scholar | 1 |