Research Article
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Year 2022, Volume: 7 Issue: 2, 355 - 378, 31.12.2022
https://doi.org/10.25229/beta.1188081

Abstract

References

  • Ahmed, S. F., Islam, K.M. Z., & Khan, Md. R. (2015). Relationship between Inflation and Stock Market Returns: Evidence from Bangladesh. Daffodil International University Journal of Business and Economics, 9(1), 1-12.
  • Ali, H. (2014). “Impact of Interest Rate on Stock Market; Evidence from Pakistani Market”. IOSR Journal of Business and Management, 16(1), 64-69.
  • Attari, M. I. J., & Safdar, L. (2013). The relationship between macroeconomic volatility and the stock market volatility: Empirical evidence from Pakistan. Pakistan Journal of Commerce and Social Sciences (PJCSS), 7(2), 309-320.
  • Ayaydın, H., Baltacı, N., & Hayaloğlu, P. (2013). “Hisse Senedi Piyasasının Gelişmesinin Makroekonomik ve Kurumsal Belirleyicileri”. The Journal of Academic Social Science Studies, 6(4), 125-142.
  • Bahmani-Oskooee, M., & Chi Wing Ng, R. (2002). Long-Run Demand for Money in Hong Kong: An Application of the ARDL Model. International Journal of Business and Economics, 1, 147-155.
  • Balat, A. (2020). Türkiye’nin hisse senedi piyasası ile yerli ve yabancı yatırımcı risk iştah endeksi ilişkisi: Eşbütünleşme ve nedensellik analizi. Erciyes Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, XLIX, 162-171.
  • Banerjee, A., Dolado, J., & Mestre, R. (1998). Error-correction Mechanism Tests for Cointegration in A Single-Equation Framework. Journal of Time Series Analysis, 267-283.
  • Banerjee, P. K., & Adhikary, B. K. (2009). Dynamic effects of changes in interest rates and exchange rates on the stock market return in Bangladesh. Ritsumeikan Journal of Asia Pacific Studies, 25, 119-133.
  • Ben Naceur, S. & Ghazouani, S. (2005). Does Inflation Impact Financial Sector Performance in the MENA Region? Panel Data Evidence (SSRN Scholarly Paper ID 856344). Social Science Research Network.
  • Bhanja, N., Dar, A. B., & Tiwari, A. K. (2012). Are Stock Prices Hedge Against Inflation? A Revisit Over Time and Frequencies In India, Central European Journal of Economic Modelling and Econometrics, 4(3), 199-213.
  • Cherif, M., & Gazdar, K. (2010). “Institutional and Macroeconomic Determinants of Stock Market Development in Mena Region: New Results From a Panel Data Analysis”. The International Journal of Banking and Finance, 7(1), 139-159.
  • Chopin Marc, & Maosen Zhong, (2020) “Stock Returns, Inflation, and Macroeconomy: The Long- and Short-Run Dynamics”.
  • Çağlayan, E. (2014). Enflasyon, Faiz Oranı ve Büyümenin Yurtiçi Tasarruflar Üzerindeki Etkileri. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 21(1), 423-438.
  • Çelik, S., Dönmez, E., & Acar, B. (2017). Risk iştahının belirleyicileri: Türkiye örneği. Uşak Üniversitesi Sosyal Bilimler Dergisi, 10(Özel Sayı), 153-162.
  • Çulha, E. (2019). Faiz Oranları, BİST-100 Endeksi ve BİST Sektör Endeksleri Arasındaki İlişki. Pamukkale Üniversitesi.
  • Demirez, D. & Kandır, S. Y. (2020). Risk İştahının Pay Getirileri Üzerindeki Etkisinin İncelenmesi. Ç.Ü. Sosyal Bilimler Enstitüsü Dergisi, 29(4), 92-102.
  • Dinh Nguyen, P., & Vo Thi Ha, H. (2012). “Determinants of Stock Market Development in Southeast Asian Countries”. Journal of Economics and Development, 14(1), 101-112.
  • Eyüboğlu, S., & Eyüboğlu, K. 2019. “Bileşik Öncü Göstergeler ile Borsa İstanbul Sektör Endeksleri Arasındaki İlişkinin İncelenmesi”, Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 35, 285-298.
  • Fama Eugene F. (1981). The American Economic Review, Sep., 1981, Vol. 71, No. 4, pp. 545-565.
  • Fettahoğlu, S. (2019). Relationship between credit default swap premium and risk appetite according to types of investors: Evidence from Turkish stock exchange.
  • Muhasebe ve Finansman Dergisi, 84, 265-278.
  • Fisher, I. (1930). The Theory of Interest. New York: Macmillan.
  • Garcia, V. F., & Liu, L. (1999). “Macroeconomic Determinants of Stock Market Development”. Journal of Applied Economics, 2(1), 29-59.
  • Gazel, S. (2017). Stratejik Emtialar ve Finansal Değişkenler: Türkiye İçin Bir ARDL Sınır Testi Yaklaşımı. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 19 (2), 544-563.
  • Gontarek, W. (2016). Risk governance of financial institutions: The growing importance of risk appetite and culture. Journal of Risk Management in Financial Institutions, 9(2), 120-129.
  • Groenewold, N., O’Rourke, G., & Stephen T. (1997). Stock Returns and Inflation: A Macro Analysis. Applied Financial Economics, 7 (2), 127-136.
  • Gunasekarage, A., Pisedtasalasai, A., & Power, D.M. (2004). Macroeconomic Influence on the Stock Market: Evidence from an Emerging Market in South Asia. Journal of Emerging Market Finance, 3 (3), 285-304.
  • Hsing, Y., & Hsieh, W. jen. (2012). Impacts of macroeconomic variables on the stock market index in Poland: New evidence. Journal of Business Economics and Management, 13(2), 334–343. https://doi.org/10.3846/16111699.2011.620133. Ilgın, K. S., & Sarı, S. S. (2020) Döviz Kuru, Faiz Oranı ve Enflasyon İle BİST Tüm ve BİST Sektörel Endeksler Arasındaki İlişkinin Ampirik Analizi, Ekonomi Politika ve Finans Araştırmaları Dergisi, 5(3), 485-510.
  • Karamustafa, O., & Karakaya, A. (2004). Enflasyonun Borsa Performansı Üzerindeki Etkisi, Kocaeli Üniversitesi Sosyal Bilimler Dergisi, (7), 23-35.
  • Kaya, A. & Coşkun, A. (2015). VIX endeksi menkul kıymet piyasalarının bir nedeni midir? Borsa İstanbul örneği. C.Ü. İktisadi ve İdari Bilimler Dergisi, 16(1), 175-186.
  • Khalid, W. (2017). “Effects of Interest Rate and Exchange Rate on the Stock Market Performance of Pakistan: A Cointegration Approach”. Journal of Finance and Economics, 5(5), 219-232.
  • Kim Jeong-Reyol, (2003). “The Stock Return-Inflation Puzzle and The Asymmetric Causality in Stock Return, Inflatin and Real Activity”, Economics Letters, Vol: 8, No:2, pp: 155–160.
  • Köycü, E. (2022). Risk iştah endeksi ile BİST100 endeksi arasındaki ilişki: Covid-19 öncesi ve sonrası döneme yönelik bir araştırma. Finans Ekonomi ve Sosyal Araştırmalar Dergisi, 7(1), 1-11.
  • Lin, S. C. (2009). Inflation and Real Stock Returns Revisited, Economic Inquiry, 47(4), 783-795.
  • Misina, M. (2003). What does the risk-appetite index measure? (Bank of Canada Working Paper No. 2003-23).
  • Mok, H. M. (1993). “Causality of Interest Rate, Exchange Rate and Stock Prices at Stock Market Open and Close in Hong Kong”. Asia Pacific Journal of Management, 10(2), 123-143.
  • Nelson, C. R., (1976), “Inflation and rates of return on common stocks” Journal of Finance, 31(2), ss.471-483.
  • Nur, T. (2022). Yatırımcı Risk İştahının Pay Piyasasına Etkisi: BİST Mali Endeksi Üzerine Bir Araştırma . Fiscaoeconomia , 6 (3) , 1103-1125 . DOI: 10.25295/fsecon.1095329.
  • Özdemir, L., & Kula, V. (2021). Döviz Piyasa Oynaklığı ile Vadeli İşlem Piyasası Arasındaki Nedensellik İlişkisi. İşletme Araştırmaları Dergisi, 9(3), 618–636.
  • Peiró, A. (2016). Stock prices and macroeconomic factors: some European evidence. International Review of Economics & Finance, 41, 287-294. https://doi.org/10.1016/j.iref.2015.08.004.
  • Sevüktekin, M. ve Nargeleçekenler, M. (2010). Ekonometrik Zaman Serileri Analizi EViews Uygulamalı. Ankara: Nobel Yayın Dağıtım.
  • Sharpe Steven A., (1999). “Stock Prices, Expected Returns, and Inflation”, Finance and Economics Discussion Series Working Paper, No:99–2.
  • Shen, D. & Ve Hu, K. Hua (2007). Bank risk appetite measurement and the relationship with macroeconomic factors: Case of Taiwan’s banks. International Journal of Information Systems for Logistics and Management, 3(1), 25-39.
  • So, S. M. S. & Lei, V. U. T. (2015). On the relationship between ınvestor sentiment, VIX and trading volume. Risk Governance & Control: Financial Markets & Institutions, 5(4): 114-122.
  • Spyrou S. I. (2001). Stock Returns and Inflation: Evidence From an Emerging Market. Applied Economics Letters, 8, 447-50.
  • Şahin, C. (2018). Korku endeksi hisse senedi piyasaları üzerinde etkili midir? Borsa İstanbul üzerine bir uygulama. TURAN Stratejik Araştırmalar Merkezi, 10(37), 11-18. Tarı, R. (2014). Ekonometri, 9. Baskı, İstanbul: Umuttepe Yayınları.
  • Tobias, A., Erkko, E. & Hyun Song, S. (2009). Risk appetite and exchange rates. Federal Reserve Bank of New York Staff Reports, 361, 1-43.
  • Tripathi, V., & Kumar, A. (2014). Relationship between Inflation and Stock Returns – Evidence from BRICS Markets Using Panel Cointegration Test. International Journal of Accounting and Financial Reporting, 4 (2), 647-658.
  • Uyar, A., & Uzuner M., 2015. “Türkiye’de Altın Piyasasının Zayıf Formda Etkinliğinin Koşu Testi Uygulaması ile Sınanması.” Finansal Araştırmalar ve Çalışmalar Dergisi 7(12): 197-208.
  • Wahlroos B., & Tom B., (1986). “Stock Returns, Inflationary Expectations and Real Activity New Evidence”, Journal of Banking&Finance, Vol:10, No:3, pp:377–389.
  • Wongbampo, P., & Sharma, S.C., (2002). Stock Market and Macroeconomic Fundamental Dynamic Interactions: ASEAN-5 Countries. Journal of Asian Economics, 13, 27-51.
  • Yang, E., Kim, S.H., Kim, M.H., & Ryu, D. 2018. “Macroeconomic Shocks and Stock Market Returns:Turkey’s The Case of Korea”, Applied Economics, 50(7), 757-773.
  • Zivot, E., & Andrews D., (1992). “Further Evidence On The Great Grash, The Oil-Price Shock, And The Unit-Root Hypothesis”, Journal Of Business And Economic Statistics, Vol. 10(3), 251-270.

Investigation of the Effect of Investor Risk Appetite Index and Macroeconomic Indicators on the BIST-100 Index

Year 2022, Volume: 7 Issue: 2, 355 - 378, 31.12.2022
https://doi.org/10.25229/beta.1188081

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.

References

  • Ahmed, S. F., Islam, K.M. Z., & Khan, Md. R. (2015). Relationship between Inflation and Stock Market Returns: Evidence from Bangladesh. Daffodil International University Journal of Business and Economics, 9(1), 1-12.
  • Ali, H. (2014). “Impact of Interest Rate on Stock Market; Evidence from Pakistani Market”. IOSR Journal of Business and Management, 16(1), 64-69.
  • Attari, M. I. J., & Safdar, L. (2013). The relationship between macroeconomic volatility and the stock market volatility: Empirical evidence from Pakistan. Pakistan Journal of Commerce and Social Sciences (PJCSS), 7(2), 309-320.
  • Ayaydın, H., Baltacı, N., & Hayaloğlu, P. (2013). “Hisse Senedi Piyasasının Gelişmesinin Makroekonomik ve Kurumsal Belirleyicileri”. The Journal of Academic Social Science Studies, 6(4), 125-142.
  • Bahmani-Oskooee, M., & Chi Wing Ng, R. (2002). Long-Run Demand for Money in Hong Kong: An Application of the ARDL Model. International Journal of Business and Economics, 1, 147-155.
  • Balat, A. (2020). Türkiye’nin hisse senedi piyasası ile yerli ve yabancı yatırımcı risk iştah endeksi ilişkisi: Eşbütünleşme ve nedensellik analizi. Erciyes Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, XLIX, 162-171.
  • Banerjee, A., Dolado, J., & Mestre, R. (1998). Error-correction Mechanism Tests for Cointegration in A Single-Equation Framework. Journal of Time Series Analysis, 267-283.
  • Banerjee, P. K., & Adhikary, B. K. (2009). Dynamic effects of changes in interest rates and exchange rates on the stock market return in Bangladesh. Ritsumeikan Journal of Asia Pacific Studies, 25, 119-133.
  • Ben Naceur, S. & Ghazouani, S. (2005). Does Inflation Impact Financial Sector Performance in the MENA Region? Panel Data Evidence (SSRN Scholarly Paper ID 856344). Social Science Research Network.
  • Bhanja, N., Dar, A. B., & Tiwari, A. K. (2012). Are Stock Prices Hedge Against Inflation? A Revisit Over Time and Frequencies In India, Central European Journal of Economic Modelling and Econometrics, 4(3), 199-213.
  • Cherif, M., & Gazdar, K. (2010). “Institutional and Macroeconomic Determinants of Stock Market Development in Mena Region: New Results From a Panel Data Analysis”. The International Journal of Banking and Finance, 7(1), 139-159.
  • Chopin Marc, & Maosen Zhong, (2020) “Stock Returns, Inflation, and Macroeconomy: The Long- and Short-Run Dynamics”.
  • Çağlayan, E. (2014). Enflasyon, Faiz Oranı ve Büyümenin Yurtiçi Tasarruflar Üzerindeki Etkileri. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 21(1), 423-438.
  • Çelik, S., Dönmez, E., & Acar, B. (2017). Risk iştahının belirleyicileri: Türkiye örneği. Uşak Üniversitesi Sosyal Bilimler Dergisi, 10(Özel Sayı), 153-162.
  • Çulha, E. (2019). Faiz Oranları, BİST-100 Endeksi ve BİST Sektör Endeksleri Arasındaki İlişki. Pamukkale Üniversitesi.
  • Demirez, D. & Kandır, S. Y. (2020). Risk İştahının Pay Getirileri Üzerindeki Etkisinin İncelenmesi. Ç.Ü. Sosyal Bilimler Enstitüsü Dergisi, 29(4), 92-102.
  • Dinh Nguyen, P., & Vo Thi Ha, H. (2012). “Determinants of Stock Market Development in Southeast Asian Countries”. Journal of Economics and Development, 14(1), 101-112.
  • Eyüboğlu, S., & Eyüboğlu, K. 2019. “Bileşik Öncü Göstergeler ile Borsa İstanbul Sektör Endeksleri Arasındaki İlişkinin İncelenmesi”, Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 35, 285-298.
  • Fama Eugene F. (1981). The American Economic Review, Sep., 1981, Vol. 71, No. 4, pp. 545-565.
  • Fettahoğlu, S. (2019). Relationship between credit default swap premium and risk appetite according to types of investors: Evidence from Turkish stock exchange.
  • Muhasebe ve Finansman Dergisi, 84, 265-278.
  • Fisher, I. (1930). The Theory of Interest. New York: Macmillan.
  • Garcia, V. F., & Liu, L. (1999). “Macroeconomic Determinants of Stock Market Development”. Journal of Applied Economics, 2(1), 29-59.
  • Gazel, S. (2017). Stratejik Emtialar ve Finansal Değişkenler: Türkiye İçin Bir ARDL Sınır Testi Yaklaşımı. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 19 (2), 544-563.
  • Gontarek, W. (2016). Risk governance of financial institutions: The growing importance of risk appetite and culture. Journal of Risk Management in Financial Institutions, 9(2), 120-129.
  • Groenewold, N., O’Rourke, G., & Stephen T. (1997). Stock Returns and Inflation: A Macro Analysis. Applied Financial Economics, 7 (2), 127-136.
  • Gunasekarage, A., Pisedtasalasai, A., & Power, D.M. (2004). Macroeconomic Influence on the Stock Market: Evidence from an Emerging Market in South Asia. Journal of Emerging Market Finance, 3 (3), 285-304.
  • Hsing, Y., & Hsieh, W. jen. (2012). Impacts of macroeconomic variables on the stock market index in Poland: New evidence. Journal of Business Economics and Management, 13(2), 334–343. https://doi.org/10.3846/16111699.2011.620133. Ilgın, K. S., & Sarı, S. S. (2020) Döviz Kuru, Faiz Oranı ve Enflasyon İle BİST Tüm ve BİST Sektörel Endeksler Arasındaki İlişkinin Ampirik Analizi, Ekonomi Politika ve Finans Araştırmaları Dergisi, 5(3), 485-510.
  • Karamustafa, O., & Karakaya, A. (2004). Enflasyonun Borsa Performansı Üzerindeki Etkisi, Kocaeli Üniversitesi Sosyal Bilimler Dergisi, (7), 23-35.
  • Kaya, A. & Coşkun, A. (2015). VIX endeksi menkul kıymet piyasalarının bir nedeni midir? Borsa İstanbul örneği. C.Ü. İktisadi ve İdari Bilimler Dergisi, 16(1), 175-186.
  • Khalid, W. (2017). “Effects of Interest Rate and Exchange Rate on the Stock Market Performance of Pakistan: A Cointegration Approach”. Journal of Finance and Economics, 5(5), 219-232.
  • Kim Jeong-Reyol, (2003). “The Stock Return-Inflation Puzzle and The Asymmetric Causality in Stock Return, Inflatin and Real Activity”, Economics Letters, Vol: 8, No:2, pp: 155–160.
  • Köycü, E. (2022). Risk iştah endeksi ile BİST100 endeksi arasındaki ilişki: Covid-19 öncesi ve sonrası döneme yönelik bir araştırma. Finans Ekonomi ve Sosyal Araştırmalar Dergisi, 7(1), 1-11.
  • Lin, S. C. (2009). Inflation and Real Stock Returns Revisited, Economic Inquiry, 47(4), 783-795.
  • Misina, M. (2003). What does the risk-appetite index measure? (Bank of Canada Working Paper No. 2003-23).
  • Mok, H. M. (1993). “Causality of Interest Rate, Exchange Rate and Stock Prices at Stock Market Open and Close in Hong Kong”. Asia Pacific Journal of Management, 10(2), 123-143.
  • Nelson, C. R., (1976), “Inflation and rates of return on common stocks” Journal of Finance, 31(2), ss.471-483.
  • Nur, T. (2022). Yatırımcı Risk İştahının Pay Piyasasına Etkisi: BİST Mali Endeksi Üzerine Bir Araştırma . Fiscaoeconomia , 6 (3) , 1103-1125 . DOI: 10.25295/fsecon.1095329.
  • Özdemir, L., & Kula, V. (2021). Döviz Piyasa Oynaklığı ile Vadeli İşlem Piyasası Arasındaki Nedensellik İlişkisi. İşletme Araştırmaları Dergisi, 9(3), 618–636.
  • Peiró, A. (2016). Stock prices and macroeconomic factors: some European evidence. International Review of Economics & Finance, 41, 287-294. https://doi.org/10.1016/j.iref.2015.08.004.
  • Sevüktekin, M. ve Nargeleçekenler, M. (2010). Ekonometrik Zaman Serileri Analizi EViews Uygulamalı. Ankara: Nobel Yayın Dağıtım.
  • Sharpe Steven A., (1999). “Stock Prices, Expected Returns, and Inflation”, Finance and Economics Discussion Series Working Paper, No:99–2.
  • Shen, D. & Ve Hu, K. Hua (2007). Bank risk appetite measurement and the relationship with macroeconomic factors: Case of Taiwan’s banks. International Journal of Information Systems for Logistics and Management, 3(1), 25-39.
  • So, S. M. S. & Lei, V. U. T. (2015). On the relationship between ınvestor sentiment, VIX and trading volume. Risk Governance & Control: Financial Markets & Institutions, 5(4): 114-122.
  • Spyrou S. I. (2001). Stock Returns and Inflation: Evidence From an Emerging Market. Applied Economics Letters, 8, 447-50.
  • Şahin, C. (2018). Korku endeksi hisse senedi piyasaları üzerinde etkili midir? Borsa İstanbul üzerine bir uygulama. TURAN Stratejik Araştırmalar Merkezi, 10(37), 11-18. Tarı, R. (2014). Ekonometri, 9. Baskı, İstanbul: Umuttepe Yayınları.
  • Tobias, A., Erkko, E. & Hyun Song, S. (2009). Risk appetite and exchange rates. Federal Reserve Bank of New York Staff Reports, 361, 1-43.
  • Tripathi, V., & Kumar, A. (2014). Relationship between Inflation and Stock Returns – Evidence from BRICS Markets Using Panel Cointegration Test. International Journal of Accounting and Financial Reporting, 4 (2), 647-658.
  • Uyar, A., & Uzuner M., 2015. “Türkiye’de Altın Piyasasının Zayıf Formda Etkinliğinin Koşu Testi Uygulaması ile Sınanması.” Finansal Araştırmalar ve Çalışmalar Dergisi 7(12): 197-208.
  • Wahlroos B., & Tom B., (1986). “Stock Returns, Inflationary Expectations and Real Activity New Evidence”, Journal of Banking&Finance, Vol:10, No:3, pp:377–389.
  • Wongbampo, P., & Sharma, S.C., (2002). Stock Market and Macroeconomic Fundamental Dynamic Interactions: ASEAN-5 Countries. Journal of Asian Economics, 13, 27-51.
  • Yang, E., Kim, S.H., Kim, M.H., & Ryu, D. 2018. “Macroeconomic Shocks and Stock Market Returns:Turkey’s The Case of Korea”, Applied Economics, 50(7), 757-773.
  • Zivot, E., & Andrews D., (1992). “Further Evidence On The Great Grash, The Oil-Price Shock, And The Unit-Root Hypothesis”, Journal Of Business And Economic Statistics, Vol. 10(3), 251-270.
There are 53 citations in total.

Details

Primary Language English
Subjects Business Administration
Journal Section Articles
Authors

Çağlar Sözen 0000-0002-3732-5058

Ferhat İspiroğlu 0000-0003-4374-5988

Onur Şeyranlıoğlu 0000-0002-1105-4034

Early Pub Date August 3, 2022
Publication Date December 31, 2022
Submission Date October 12, 2022
Acceptance Date November 14, 2022
Published in Issue Year 2022 Volume: 7 Issue: 2

Cite

APA Sözen, Ç., İspiroğlu, F., & Şeyranlıoğlu, 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, 7(2), 355-378. https://doi.org/10.25229/beta.1188081