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

Authors : Çağlar SÖZEN, Ferhat İSPİROĞLU, Onur ŞEYRANLIOĞLU

Pages : 355-378

Doi:10.25229/beta.1188081

View : 20 | Download : 8

Publication Date : 2022-12-31

Article Type : Research Paper

Abstract :In this study, the relationship between Borsa Istanbul 100 Index insert ignore into journalissuearticles values(BIST-100);, Investor Risk Appetite Index insert ignore into journalissuearticles values(RISE);, and macroeconomic indicators are tried to be determined using Autoregressive Distributed Lag insert ignore into journalissuearticles values(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