Cointegration Relationship between Portfolio Investments and Investment Instruments in Türkiye

Abstract

As a result of globalization, the removal of barriers to international capital has created a source for countries in need of capital. These capital sources referred to as short-term capital movements or simply portfolio investments, provide significant benefits to the economy when they first enter the country. Investment instruments are instruments used by those who have excess capital in their hands in order to make a profit. The aim of this study is to reveal the cointegration relationships between portfolio investments and investment instruments in Türkiye. The motivation for this study is that there are few studies in the literature that examine cointegration relationships between all investment instruments and portfolio investments. The study comprises quarterly data covering the period from 2009Q1 to 2023Q2. The data has been obtained from the CBRT EVDS system. According to the results of ARDL cointegration analysis; there is a cointegration relationship between the variables both in the short and long run. According to these results, in Türkiye, investment instruments do not significantly affect portfolio investments, but portfolio investments significantly affect investment instruments.

Keywords

• Portfolio Investments
• Investment Instruments
• Cointegration Analysis
• Causality Analysis

Türkiye’de Portföy Yatırımları ile Yatırım Araçları Arasındaki Eşbütünleşme İlişkisi

Abstract

Küreselleşmenin bir sonucu olarak uluslararası sermayenin önündeki engellerin kalkması sermaye ihtiyacı çeken ülkeler için bir kaynak yaratmıştır. Kısa vadeli sermaye hareketleri ya da kısaca portföy yatırımları olarak ifade edilen bu sermaye kaynakları ülkeye ilk girişlerinde ekonomiye ciddi faydalar sağlamaktadır. Yatırım araçları ellerinde sermaye fazlası olanların kar elde etmek amacıyla kullandığı araçlardır. Bu çalışmanın amacı, Türkiye’de portföy yatırımları ile yatırım araçları arasındaki eşbütünleşme ilişkilerini ortaya koyabilmektir. Literatürde tüm yatırım araçları ile portföy yatırımları arasındaki eşbütünleşme ilişkilerini inceleyen çalışma sayısının az olması çalışmanın motivasyonunu oluşturmaktadır. Çalışma, 2009Q1-2023Q2 dönemini kapsayan çeyreklik verilerden oluşmaktadır. Veriler TCMB EVDS sisteminden elde edilmiştir. ARDL eşbütünleşme analizi sonuçlarına göre; değişkenler arasında hem kısa hem de uzun dönemde bir eşbütünleşme ilişkisi mevcuttur. Bu sonuçlara göre Türkiye’de yatırım araçları portföy yatırımlarını değil portföy yatırımları yatırım araçlarını önemli ölçüde etkilemektedir.

Keywords

• Portföy Yatırımları
• Yatırım Araçları
• Eşbütünleşme Analizi
• Nedensellik Analizi

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