Investigation of the Effect of Investor Risk Appetite Index and Macroeconomic Indicators on the BIST-100 Index-Reference-Cited by-同舟云学术

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

Published:2022-11-14 Issue: Volume: Page:
ISSN:2548-0707
Container-title:Bulletin of Economic Theory and Analysis
language:en
Short-container-title:beta

Author:

SÖZEN Çağlar¹^ORCID,İSPİROĞLU Ferhat¹^ORCID,ŞEYRANLIOĞLU Onur¹^ORCID

Affiliation:

1. Giresun University

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 Auto Regressive Distributed Lag Bounds Testing Approach (ARDL) with monthly data covering the periods 01/2011-08/2022. Inflation and interest rate are used as macroeconomic indicators. In statistical analysis, the natural logarithm of the series was taken. By taking into account the unit root test results related to the stationary conditions of the series, a mathematical 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.

Publisher

Bulletin of Economic Theory and Analysis

Subject

Industrial and Manufacturing Engineering,Environmental Engineering

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