Yatirimci Ri̇sk Toleransi Ve Pi̇yasa Li̇ki̇di̇tesi̇ İli̇şki̇si̇: Seçi̇li̇ Pi̇yasalardan Bulgular

Abstract

This study searched in what ways the stock market liquidity and the investor risk tolerance has a relation over the developed and developing countries. Seven developed and six developing countries were selected from the International Monetary Fund's counrty list for the sample. Dataset was consisted of the stock markets' weekly data. Some interesting results were found. The investors' risk tolerance and the market liquidity had a long-run relation in the all markets. The variables changed together. However, the cointegration regression coefficients were not same in the markets. The coefficients could be estimated just for the USA, UK and Indonesia within the confidence intervals.Neverthlessly, the variables did not have any short-run relation in spite of the long-run relation. Those results implied other variable(s) may cause a long-run relation between the tolerance and liquidity. Also, the variable(s) may affect the markets in different strength. It caused a positive and different degree relation in the USA and UK, while it was negative in Indonesia.