İMKB'de yatırımcı risk iştahı borsa krizleri arasındaki ilişkinin analizi

Bu çalışmada Kumar ve Persaud (2002)'un metodolojisinden yararlanılarak tahmin edilen risk iştahı endeksinin İMKB'de 08.07.1994-04.10.2011 döneminde yaşanan borsa krizleri ile ilişkisi analiz edilmektedir. Borsa krizleri, İMKB'de yaşanan stresli günlerin CMAX yöntemi ile tespit edilmesi ile belirlenmiştir. İMKB'de işlem gören hisse senetlerinin aşırı getiri oranlarının 66 günlük geçmiş standart sapmaları ile hesaplanan riskleriyle 5 günlük ortalama aşırı getiri oranları arasındaki sıra korelasyonları ile ölçülen risk iştahı endeksinden türetilen 4 değişken ile uzun ve kısa vadeli faiz oranı arasındaki fark, kriz olasılığının tahmin edilmesinde kullanılmıştır. Probit modeli ile %50 sinyal seviyesinde örnek dönemde yaşanan borsa kriz günlerinin %74,21'i doğru olarak tahmin edilmiştir. Tahmin edilen kriz olasılıklarının 22 günlük ortalamasına dayalı sinyallerle yapılan tahminlere göre ise aynı eşik değer seviyesinde borsa kriz günlerinin %67,30'u doğru olarak tahmin edilmiştir.

the analysis of the relation between invetor risk appetite and stock market crises in İstanbul stock exchange

This research analyzes the relation between investor risk appetite and stock market crises in ISE during the 08.07.1994-04.10.2011 period by utilizing the methodology of Kumar and Persaud (2002). Stock market crises are determined by the CMAX method which identifies the stress days in ISE. The investor risk appetite index, which is measured by the rank correlation between the standard deviation of past 66 days excess returns and the average of the preceeding 5 days excess returns of the stocks listed in ISE, is used to produce 4 explanatory variables for the probit models to estimate the probability of the stock market crises. These 4 risk appetite indicators and the spread between long and short term interest rates are employed into the probit models in order to estimate the probability of crisis. Probit model correctly estimated 74,21 % of the stock market crisis days at 50% threshold level. The signals based on the 22 days average of the estimated crisis probability also estimated 67,30% of the stock market crisis days in ISE at the same threshold level.

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