Yabancı Hisse Senedi Yatırımcıları Türkiye’de Döviz Kuru Volatilitesini Şiddetlendiriyor Mu?

Year 2007, Volume: 62 Issue: 04, 83 - 107, 01.04.2007

Macide Çiçek Feride Öztürk

https://doi.org/10.1501/SBFder_0000002094

Cited By: 6

Abstract

Keywords

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YABANCI HİSSE SENEDİ YATIRIMCILARI TÜRKİYE’DE DÖVİZ KURU VOLATİLİTESİNİ ŞİDDETLENDİRİYOR MU?

Abstract

Bu çalışmada Türkiye’de net yabancı hisse senedi yatırımlarının YTL/ABD Doları döviz kurunun düzeyi ve volatilitesi üzerindeki etkisi Çok Değişkenli GARCH (1,1)-M modeli kullanılarak, dalgalı kur sistemine geçiş sonrası 23.02.2001-29.12.2006 dönemine ait günlük verilerle incelenmiştir. Model bağımsız değişkenler olarak net yabancı hisse senedi yatırımlarını, net uluslararası rezervleri ve Japon Yeni/ABD Doları döviz kurunu, bağımlı değişken olarak YTL/ABD Doları döviz kurunu kapsamaktadır. Ampirik sonuçlar şu şekilde özetlenebilir: i) Net yabancı hisse senedi yatırımları döviz kuru volatilitesini anlamlı bir şekilde etkilememesine karşılık; net yabancı hisse senedi yatırımlarındaki belirsizlik döviz kuru düzeyi üzerinde anlamlı ve negatif bir etki yapmaktadır. Bu etki sıfırdan farksızdır, ii) YTL/Dolar döviz kuru düzeyi net uluslararası rezervlerdeki volatiliteye yüksek derecede duyarlıdır, fakat net uluslararası rezervlerin döviz kuru volatilitesi üzerine etkisi sıfıra yakındır. Modelde YTL/Dolar döviz kuru düzeyinin en önemli belirleyicisi, net uluslararası rezervlerdeki belirsizliktir, iii) Yen/Dolar döviz kuru YTL/Dolar kuru üzerinde anlamlı bir etkiye sahip değildir.

Keywords

Yabancı hisse senedi yatırımları, döviz kuru volatilitesi, İMKB volatilitesi, finansal piyasalar, Türkiye

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