- Bulletin of Economic Theory and Analysis
- Vol: 7 Issue: 2
- Investigation of the Effect of Investor Risk Appetite Index and Macroeconomic Indicators on the BIST...
Investigation of the Effect of Investor Risk Appetite Index and Macroeconomic Indicators on the BIST-100 Index
Authors : Çağlar Sözen, Ferhat Ispiroğlu, Onur Şeyranlioğlu
Pages : 355-378
Doi:10.25229/beta.1188081
View : 14 | Download : 5
Publication Date : 2022-12-31
Article Type : Research
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.Keywords : BIST-100, Investor Appetite Index (RISE), Inflation Rate, Interest Rate, Autoregressive Distributed Lag (ARDL) Bounds Test.