THE LONG-RUN IMPACT OF GLOBALIZATION ON PORTFOLIO INVESTMENTS: PANEL EVIDENCE

Abstract

Globalization may play an important role in attracting portfolio investment in both short-run and long-run. In order to test the validity of this relation, this study empirically examines the long-run relationship between globalization and portfolio investments by using a balanced panel data of 66 countries covering the period of 2004-2014. The results gathered from panel cointegration tests reveal that there exists a positive statistically significant association between globalization and porfolio investments in both short-run and long-run. According to the findings, if globalization index value goes up by 1% then portfolio investments increase by 5.8% in the long-run whereas this rise is just by 3.9% in the short-run. Besides, panel causality test results show that there is a two-way causality between globalization and portfolio investments.

Keywords

• Globalization,Porfolio Investment,PMG Method,Panel Causality Test,Panel Cointegration

KÜRESELLEŞMENİN PORTFÖY YATIRIMLARI ÜZERİNDEKİ UZUN DÖNEMLİ ETKİSİ: PANEL ANALİZ

Abstract

Küreselleşme kısa ve uzun dönemde portföy yatırımları girişinde önemli bir role sahip olabilmektedir. Çalışmada, sözkonusu ilişkinin geçerliliğini test etmek üzere 66 ülkenin 2004-2014 dönemindeki dengeli panel veri seti kullanılarak; küreselleşme portföy yatırımları arasındaki uzun dönemli ilişki ampirik olarak incelenmektedir. Panel eşbütünleşme testlerinden elde edilen sonuçlar küreselleşme ve portföy yatırımları arasında istatistiksel olarak anlamlı pozitif bir ilişkinin, kısa ve uzun dönemli varlığını ortaya koymaktadır. Bulgulara göre, küreselleşme indeksindeki %1’lik artış, portföy yatırımlarında uzun dönemde %5.8 artış yaratırken; kısa dönemde meydana getirdiği artış ise %3.9’da kalmaktadır. Ayrıca, panel nedensellik testi sonuçları, küreselleşme ve portföy yatırımları arasında çift yönlü nedenselliğin varlığına işaret etmektedir.

Keywords

• Küreselleşme,Portföy Yatırımı,PMG Metodu,Panel Nedensellik Testi,Panel Eşbütünleşmee

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