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

Year 2018, Issue: 58, 97 - 106, 19.10.2018

Seyfettin Ünal , Cüneyt Koyuncu

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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