Investigating the Risk Appetite Index with Markov Regime Model: Case of Turkey

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dc.contributor.authorAkdag, Saffet
dc.contributor.authorIskenderoglu, Omer
dc.date.accessioned2024-11-07T13:25:26Z
dc.date.available2024-11-07T13:25:26Z
dc.date.issued2019
dc.departmentNiğde Ömer Halisdemir Üniversitesi
dc.description.abstractFinancial markets changes dynamically along with many internal and external factors. Investors' risk appetite is one of the key elements of volatility in financial markets. Risk appetite indexes are data published by the Central Securities Depository Institution having importance in terms of positioning besides determination for markets and investors. In this study, it is examined whether or not the calculated risk appetite index of all investors in Turkey is separated into regimes parametrically. On this respect, an analysis of Markov Regime Model has been employed on riskappetite index of all investors utilizing the weekly frequency data spanning from 2008 to 2016. The results from the study reveals that the risk appetite can be divided into high volatility and low volatility regimes parametrically. In addition, the economic crisis, political instability, increasing terror attacks in the World and Turkey are found to occur during the period of high volatility regime of risk apetite.
dc.identifier.doi10.21121/eab.556341
dc.identifier.endpage275
dc.identifier.issn1303-099X
dc.identifier.issue2
dc.identifier.startpage265
dc.identifier.trdizinid388224
dc.identifier.urihttps://doi.org/10.21121/eab.556341
dc.identifier.urihttps://search.trdizin.gov.tr/tr/yayin/detay/388224
dc.identifier.urihttps://hdl.handle.net/11480/14713
dc.identifier.volume19
dc.identifier.wosWOS:000466578000008
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakTR-Dizin
dc.language.isotr
dc.publisherEge Univ, Fac Economics & Admin Sciences
dc.relation.ispartofEge Academic Review
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_20241106
dc.subjectRisk Appetite
dc.subjectMarkov Regime Model
dc.subjectNonlinear
dc.titleInvestigating the Risk Appetite Index with Markov Regime Model: Case of Turkey
dc.typeArticle

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