Relationship between Return and Risk Rates in The Turkish Banking Sector and Foreign Direct Investment

Abstract

Foreign direct investment (FDI) affects both real activity and financial markets in host countries. Especially, the relationship between stock markets and foreign capital investments is an important research subject. In addition, the interaction of global capital with local political fluctuations, economic and financial risks has increased day by day. In this study, the relationship between the stock returns and systematic risks of nine banks operating in the Turkish banking sector and DYSY was examined. While selecting the banks, the number of branches, their deposit collection capacity and their activities in the market were taken into consideration. The variables used are stock returns, bank betas representing market risks and FDI net inflows. In the study, the period during 2006-2019 of the variables was analyzed by applying Kao (1999) and PMG-ARDL method. Analysis results showed that there is a negative and significant relationship between FDI and stock returns and banking betas. At the same time, the causality relationship between variables was estimated using Emirmahmutoğlu and Köse (2011) causality test.

Keywords

• Foreign Direct Investment
• Stock Returns
• Systematic Risks

Türk Bankacilik Sektöründeki Getiri ve Risk Oranları ile Doğrudan Yabancı Sermaye Yatırımları İlişkisi

Abstract

Doğrudan yabancı sermaye yatırımları (DYSY), ev sahibi ülkelerde hem reel aktiviteyi hem de finansal piyasaları etkilemektedir. Özellikle, hisse senedi piyasalarının yabancı sermaye yatırımlarıyla olan ilişkisi önemi bir araştırma konusudur. Bunun yanında, küresel sermayenin, yerel politik dalgalanmalar, ekonomik ve finansal riskler ile olan etkileşimi gün geçtikçe artmıştır. Bu araştırmada Türk Bankacılılık sektöründe faaliyet gösteren dokuz bankanın hisse senedi getirileri ve sistematik riskler ile DYSY arasındaki ilişki incelenmiştir. Bankalar seçilirken, şube sayıları, mevduat toplama kapasiteleri ve piyasadaki faaliyetleri göz önüne alınmıştır. Kullanılan değişkenler ise hisse senedi getirileri, piyasa risklerini temsilen banka betaları ve DYSY net girişleri kullanılmıştır. Araştırmada, değişkenlerinin 2006-2019 arasındaki dönemi Kao (1999) ve PMG-ARDL yöntemi uygulanarak analiz edilmiştir. Analiz sonuçları, DYSY ile hisse senedi getirileri ve bankacılık betaları arasında negatif yönlü ve anlamlı bir ilişki olduğunu göstermiştir. Aynı zamanda, değişkenler arasındaki nedensellik ilişkisi Emirmahmutoğlu ve Köse (2011) nedensellik testi kullanılarak tahmin edilmiştir.

Keywords

• Doğrudan Yabancı Sermaye Yatırımları
• Hisse Senedi Getirileri
• Sistematik Riskler

Thanks

Sayın editör ve değerli yardımcıları size şimdiden çok teşekkür ederim.

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