Article 2026 · 1 atıf

Testing the Relationship between Investor Risk Appetite and Country Risk: The Case of Turkey

Kaya, Abdulkadir, Gulhan, Unal, Gungor, Bener

Özet

Country risk is an important factor affecting the risk appetite of investors who want to create an optimal portfolio by minimizing their risks. Investor risk appetite can affect country risk as a factor contributing to the development of financial markets and the country's economy. The aim of this study is to determine the relationship between investor risk appetite and country risk. Hatemi-J cointegration and Hatemi-J asymmetric causality tests were used to determine the relationship between CDS premium, which is frequently preferred to represent country risk, and domestic and foreign investor risk appetite variables. As a result of the analysis, it has been determined that CDS premium and domestic and foreign investor risk appetite variables are cointegrated, a positive causality from increases in both local and foreign investor risk appetite to CDS premium and a negative or positive causality from decreases in CDS variables to both local and foreign investor risk appetite.

Anahtar Kelimeler

Risk Risk appetite CDS premium Hatemi-J cointegration Hatemi-J asymmetric causality SOVEREIGN CDS MARKET COINTEGRATION MODELS

WoS Kategorileri

Economics

Künye

Dergi: PANOECONOMICUS
Yıl: 2026
Cilt: 73
Sayı: 2
ISSN: 1452-595X
eISSN: 2217-2386
DOI: 10.2298/PAN220824008K
WoS UID: WOS:001702453900006

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