Yıl 2008,
Cilt: 22 Sayı: 2, 331 - 338, 27.11.2010
Öz
Bu çalışmada net yabancı işlem hacmiyle hisse senedi getirileri
arasında uzun dönemli bir ilişkinin var olup olmadığı araştırılmıştır. Çalışmada
İstanbul Menkul Kıymetler Borsası Ocak 1997 ve Eylül 2005 tarihleri arası
aylık kapanış değerleri ile yabancıların alış ve satış işlem hacimleri
kullanılmıştır. İki değişken arasındaki ilişki sınır testi ve dağıtılmış gecikme
modeli yardımıyla araştırılmıştır. Sonuçlar hisse senedi getirileriyle net yabancı
işlem hacmi arasında uzun dönemli anlamlı bir ilişki olmadığını göstermektedir.
Kısa dönemde ise pozitif yönlü istatistiksel olarak anlamlı bir ilişki tespit
edilmiştir.
Anahtar Kelimeler
Kaynakça
- Brennan, M. ve H. Cao, (1997), “International Portfolio Investment Flows”, Journal of Finance, 52, 1851-80.
- Choe, Hyuk, Bong-Chan Kho, ve René M. Stulz, (1999), “Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997”, Journal of Financial Economics, 227-264.
- Clark, J., ve E. Berko, (1997) “Foreign Investment Fluctuations and Emerging Market Stock Returns: The Case of Mexico,” Federal Reserve Bank of New York Staff Reports, No.24, May 1997.
- Dahlquist, M., ve G. Robertsson,(2004) “A Note on Foreigners’ Trading and Price Effects Across Firms,” Journal of Banking and Finance, 28 (March 2004), 615-632.
- Griffin JM, F Nardari ve RM Stulz (2003), “Daily Cross-Border Equity Flows: Pushed or Pulled?”, European Finance Association 2003 Annual Conference Paper No. 893,
- Grinblatt, Mark, ve Matti Keloharju, (2000), “The Investment Behavior and Performance of Various Investor Types: A Study of Finland’s Unique Data Set”, Journal of Financial Economics, 55, 43-67
- Karolyi, G. A., (2002), “Did the Asian Financial Crisis Scare Foreign Investors out of Japan?” Pasific Basin Finance Journal, 10,September, 411-442
- Kim, W., ve S. Wei, (2002), “Foreign Portfolio Investors Before and During a Crisis”, Journal of International Economics, 56, January, 77-96
- Pesaran, M. H. Shin, Y. and Smith, R.J., (2001) Bounds Testing Approaches to the Analysis of Level Relationships, Journal of Applied Econometrics, 16, pp.289-326
- Richards, A. (2003) “Big Fish in Small Ponds: The Trading Behavior and Price Impact of Foreign Investors in Asian Emerging Markets,” Federal Reserve Bank of Australia Working Paper, December 2003
- Usta, Murat (2003) “The Role of Foreign Investors in the İstanbul Stock Exchange”, Ortadoğu Teknik Üniversitesi, Basılmamış Yüksek Lisans Tezi.
Yıl 2008,
Cilt: 22 Sayı: 2, 331 - 338, 27.11.2010
Öz
Kaynakça
- Brennan, M. ve H. Cao, (1997), “International Portfolio Investment Flows”, Journal of Finance, 52, 1851-80.
- Choe, Hyuk, Bong-Chan Kho, ve René M. Stulz, (1999), “Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997”, Journal of Financial Economics, 227-264.
- Clark, J., ve E. Berko, (1997) “Foreign Investment Fluctuations and Emerging Market Stock Returns: The Case of Mexico,” Federal Reserve Bank of New York Staff Reports, No.24, May 1997.
- Dahlquist, M., ve G. Robertsson,(2004) “A Note on Foreigners’ Trading and Price Effects Across Firms,” Journal of Banking and Finance, 28 (March 2004), 615-632.
- Griffin JM, F Nardari ve RM Stulz (2003), “Daily Cross-Border Equity Flows: Pushed or Pulled?”, European Finance Association 2003 Annual Conference Paper No. 893,
- Grinblatt, Mark, ve Matti Keloharju, (2000), “The Investment Behavior and Performance of Various Investor Types: A Study of Finland’s Unique Data Set”, Journal of Financial Economics, 55, 43-67
- Karolyi, G. A., (2002), “Did the Asian Financial Crisis Scare Foreign Investors out of Japan?” Pasific Basin Finance Journal, 10,September, 411-442
- Kim, W., ve S. Wei, (2002), “Foreign Portfolio Investors Before and During a Crisis”, Journal of International Economics, 56, January, 77-96
- Pesaran, M. H. Shin, Y. and Smith, R.J., (2001) Bounds Testing Approaches to the Analysis of Level Relationships, Journal of Applied Econometrics, 16, pp.289-326
- Richards, A. (2003) “Big Fish in Small Ponds: The Trading Behavior and Price Impact of Foreign Investors in Asian Emerging Markets,” Federal Reserve Bank of Australia Working Paper, December 2003
- Usta, Murat (2003) “The Role of Foreign Investors in the İstanbul Stock Exchange”, Ortadoğu Teknik Üniversitesi, Basılmamış Yüksek Lisans Tezi.
Toplam 11 adet kaynakça vardır.
Ayrıntılar
| Birincil Dil | tr;en |
|---|---|
| Bölüm | Makaleler |
| Yazarlar | |
| Yayımlanma Tarihi | 27 Kasım 2010 |
| Yayımlandığı Sayı | Yıl 2008 Cilt: 22 Sayı: 2 |
