An Analysis of the Relationship Between Investor Risk Appetite and CDS Premiums in Turkey Using Asymmetric Methods
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 Ha...
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Mehmet Akif Ersoy University
2024-12-01
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| Series: | Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi |
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| Online Access: | https://dergipark.org.tr/en/download/article-file/4049389 |
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| author | Adnan Güzel Yüksel İltaş |
| author_facet | Adnan Güzel Yüksel İltaş |
| author_sort | Adnan Güzel |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-485a0ef7a1cf42efa282d52b9210b276 |
| institution | Kabale University |
| issn | 2149-1658 |
| language | English |
| publishDate | 2024-12-01 |
| publisher | Mehmet Akif Ersoy University |
| record_format | Article |
| series | Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi |
| spelling | doaj-art-485a0ef7a1cf42efa282d52b9210b2762025-01-27T12:39:37ZengMehmet Akif Ersoy UniversityMehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi2149-16582024-12-011141559158610.30798/makuiibf.1511420273An Analysis of the Relationship Between Investor Risk Appetite and CDS Premiums in Turkey Using Asymmetric MethodsAdnan Güzel0https://orcid.org/0000-0002-0055-712XYüksel İltaş1https://orcid.org/0000-0001-8853-838XTÜRK HAVA KURUMU ÜNİVERSİTESİ, İŞLETME FAKÜLTESİKIRŞEHİR AHİ EVRAN ÜNİVERSİTESİ, İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ, İŞLETME BÖLÜMÜIn 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.https://dergipark.org.tr/en/download/article-file/4049389the propencity to risk takingasymmetric ardlasymmetric causalitythe propensity to risk takingasymmetric ardlasymmetric causality |
| spellingShingle | Adnan Güzel Yüksel İltaş 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 the propencity to risk taking asymmetric ardl asymmetric causality the propensity to risk taking asymmetric ardl asymmetric causality |
| title | An Analysis of the Relationship Between Investor Risk Appetite and CDS Premiums in Turkey Using Asymmetric Methods |
| title_full | An Analysis of the Relationship Between Investor Risk Appetite and CDS Premiums in Turkey Using Asymmetric Methods |
| title_fullStr | An Analysis of the Relationship Between Investor Risk Appetite and CDS Premiums in Turkey Using Asymmetric Methods |
| title_full_unstemmed | An Analysis of the Relationship Between Investor Risk Appetite and CDS Premiums in Turkey Using Asymmetric Methods |
| title_short | An Analysis of the Relationship Between Investor Risk Appetite and CDS Premiums in Turkey Using Asymmetric Methods |
| title_sort | analysis of the relationship between investor risk appetite and cds premiums in turkey using asymmetric methods |
| topic | the propencity to risk taking asymmetric ardl asymmetric causality the propensity to risk taking asymmetric ardl asymmetric causality |
| url | https://dergipark.org.tr/en/download/article-file/4049389 |
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