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

Year 2021, Volume: 12 Issue: 3, 742 - 761, 25.09.2021

Hikmet Akyol

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.

References

• Abdouli, M., & Hammami, S. (2017). The Impact of FDI Inflows and Environmental Quality on Economic Growth: an Empirical Study for the MENA Countries. J Knowl Econ, 8, 254–278, DOI 10.1007/s13132-015-0323-y
• Adam, A. M., & Tweneboah, G. (2008a). Do Macroeconomic Variables Play any Role in The Stock Market Movement in Ghana? Munich Personal RePEc Archive, 9301, 1-22.
• Adam, A. M., & Tweneboah, G. (2008b). Foreign Direct Investment and Stock Market Development: Ghana's Evidence. Munich Personal RePEc Archive, 11985, 1-13.
• Alshamsi, K. H., Hussin, M. R. B., & Azam, M. (2015). The impact of inflation and GDP per capita on foreign direct investment: the case of United Arab Emirates. Investment Management and Financial Innovations, 12(3-1), 132-141.
• Baltacı, N., Akyol, H., Kargı, B., & Beken, G. H. (2017). Ülke Riskinin Doğrudan Yabancı Yatırımlar Üzerindeki Etkisinin İncelenmesi. III. IBANESS Kongreler Serisi, Edirne-Türkiye, 04-05 Mart, 862-867.
• Bank For International Settlements (2004). Foreign Direct Investment in The Financial Sector of Emerging Market Economies. Committee on the Global Financial System, 1-34.
• Bank For International Settlements (2005). Foreign Direct Investment in The Financial Sector- Experiences in Asia, Central and Eastern Europe and Latin America. Committee on the Global Financial System, 25, 1-12.
• Baydaş, Y., & Polat, M. (2018). Doğrudan Yabancı Sermaye Yatırımlarının Borsa İstanbul’a Etkisinin Belirlenmesi. Bingöl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 2(2), 37-46.
• Chaudhry, N. I., Mehmood, A., & Mehmood, M. S. (2013). Empirical Relationship Between Foreign Direct Investment and Economic Growth: An ARDL Co‐İntegration Approach for China. China Finance Review International, 3(1),26-41, https://doi.org/10.1108/20441391311290767
• De Santis, R. A., & Ehling, P. (2007). DO International Portfolio Investors Follow Firms’ Foreign Investment Decisions? ECB, Working Paper, 815, 4-43.
• Drew, M. (2003). Beta, Firm Size, Book-to-Market Equity and Stock Returns, Journal of the Asia Pacific Economy, 8(3), 354-379. DOI: 10.1080/13547860306289
• Emirmahmutoğlu, F. (2011). Gelişmekte Olan Ülkelerde Para Krizlerinin Ekonometrik Analizi. Gazi Üniversitesi Sosyal Bilimler Enstitüsü Ekonometri ABD, Yayımlanmamış Doktora Tezi, 1-222.
• Emirmahmutoğlu, F. & Köse, N. (2011). Testing for Granger Causality İn Heterogeneous Mixed Panels. Economic Modelling, 28, 870–876. DOI: 10.1016/j.econmod.2010.10.018
• Gottschalk, S., & Hall, S. (2008). Foreign Direct Investment ,and Exchange Rate Uncertainty in South-East Asia. Int. J. Fin. Econ., 13, 349–359. DOI: 10.1002/ijfe.355
• Gu, Z., & Kim, H. (2002). Determinants of Restaurant Systematic Risk: A Reexamination. Journal of Hospitality Financial Management, 10(1), 1-13.
• Gupta, N., & Gurjar, A. S. (2014). A study of Systematic Risk with reference of Selected Companies. Indıan Journal of Applıed Research, 4(6), 278-282.
• Hermes, N., & Lensink, R. (2003). Foreign Direct Investment, Financial Development and Economic Growth. The Journal of Development Studies, 38, 1-42.
• Hoque, M. E., & Yakob, N. A. (2017). Revisiting Stock Market Development And Economic Growth Nexus: The Moderating Role Of Foreign Capital İnflows And Exchange Rates. Cogent Economics & Finance, 5, 1-17.
• Hoque, M. E., Akhter, T. Ve Yakob, N. A. (2018). Revisiting endogeneity among foreign direct investment, economic growth and stock market development: Moderating role of political instability. Cogent Economics & Finance, 6, 1-21, https://doi.org/10.1080/23322039.2018.1492311
• Iamsiraroj, S., & Ulubaşoğlu, M. A. (2015). Foreign Direct Investment and Economic Growth: A Real Relationship or Wishful Thinking? Economic Modelling, 51, 200–213.
• Issahaku, H., Ustarz, Y., & Domanban, P. B. (2013). Macroeconomıc Varıables And Stock Market Returns In Ghana: Any Causal Lınk? Asian Economic and Financial Review, 3(8), 1044-1062.
• Islam, M. A., Liu, H., Reza, S. M., Yahia, Y. E., & Nasrin, L. (2018). Causal Relationship Between Economıc Growth, Financial Deepening, Foreign Direct Investment And Innovation: Evidence From China. Asian Economic and Financial Review, 8(8), 1086-1101.
• Kao, C. (1999). Spurious Regression and Residual-Based Tests For Cointegration in Panel Data. Journal of Econometrics, 90 (1999) 1-44.
• Karthik, R., & Kannan, N. (2011). Impact of Foreign Direct Investment on Stock Market Development: A Study With Reference to India. International Journal of Management, 2 (2), 75-92.
• Lewandowski, J. P. (1997). Risk and Foreign Direct Investment in Emerging Economıes:Lessons From The Former Sovıet Union. Middle States Geographer, 30, 97-104.
• Li, X. Ve Liu, X. (2005). Foreign Direct Investment and Economic Growth: An Increasingly Endogenous Relationship. World Development, 33(3), 393-407.
• Lintner, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfoliosand Capital Budgets. The Review of Economics and Statistics, 47(1), 13-37.
• Mehrara, M., Falahati, Z., & Zahiri, N. H. (2014). The Relationship between Systematic Risk and Stock Returns in Tehran Stock Exchange Using The Capital Asset Pricing Model (CAPM). International Letters of Social and Humanistic Sciences, 21, 26-35. DOI: 10.18052/www.scipress.com/ILSHS.21.26
• Mossin, J. (1966). Equilibrium in a Capital Asset Market. Econometrica, 34(4), 768-783.
• Musah, A., Gakpetor, E.D., Solomon, S. N., & Akomeah, K. E. (2018). Foreign Direct Investment (FDI), Economic Growth and Bank Performance in Ghana. International Journal of Finance and Accounting, 7(4), 97-107, DOI: 10.5923/j.ijfa.20180704.02
• Nazeer, A. M., & Mansur, M. (2017). Impact of political instability on foreign direct investment and Economic Growth: Evidence from Malaysia. MPRA, 79418, 1-19.
• Omodera, C. O., & Ekwe, M. C. (2017). Impact of Foreign Direct Investmet (FDI) on The Stock Market Perfromance in Nigeria (1985-2014). Applied Finance and Accounting, 3 (1), 2374-2429.
• Osobutey, E. L. C., & Okoro, C. (2015). Political Risk and Foreign Direct Investment in Africa:The Case of the Nigerian Telecommunications Industry. Thunderbird International Business Review, 57(6), 417-429. DOI: 10.1002/tie.21672
• Pesaran, M. H., Shin, Y., & Smith, R. P. (1999) Pooled Mean Group Estimation of Dynamic Heterogeneous Panels, Journal of the American Statistical Association, 94(446), 621-634. DOI: https://doi.org/10.1080/01621459.1999.10474156
• Pesaran, M. H., Shın, Y., & Smıth, R. J. (2001). Bounds Testing Approaches to The Analysis of Level Relationships. Journal Applied Econometrics, 16, 289–326, DOI: 10.1002/jae.616
• Pesaran, M. H., & Yamagata, T. (2008). Testing Slope Homogeneity in Large Panels. Journal of Econometrics, 142, 50–93. DOI: 10.1016/j.jeconom.2007.05.010
• Polat, M. (2018). Doğrudan Yabancı Sermaye Yatırımlarının Borsa ve Reel Sektörde Firmalara Etkisi: Gelişmekte Olan Ülkeler Üzerine Eşbütünleşme ve Nedensellik Analizi. Bingöl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 8 (16), 509-526.
• Puspitaningtyas, Z. (2017). Estimating Systematic Risk for The Best İnvestment Decisions on Manufacturing Company in Indonesia. Investment Management and Financial Innovations, 14(1), 46-54.
• Rajapakse, R. P. C. R. (2018). The Relationship between the Stock Market and Foreign Direct Investment (FDI) in Sri Lanka-Evidence from VAR and Co-Integration Analysis. Global Journal of Management and Business Research: B Economics and Commerce, 18(5), 8-15.
• Ramcharran, H. (1999). Foreign direct investment and country risk: Further empirical evidence. Global Economic Review, 28(3), 49-59. DOI: 10.1080/12265089908449766
• Raza, S. A., & Jawaid, S. T. (2014). Foreign Capital İnflows, Economic Growth and Stock Market Capitalization in Asian Countries: An ARDL Bound Testing Approach. Qual Quant, 48, 375–385, DOI 10.1007/s11135-012-9774-4
• Saqıb, N. (2017). The Role of Acquisitions in FDI: Evidence from the Pakistan Stock Market. International Journal of Economic Perspectives, 11(1), 241-249.
• Schmidt, C. W., & Broll, U. (2008). The Effect of Exchange Rate Risk on U.S. Foreign Direct Investment: An Empirical Analysis. Dresden Discussion Paper in Economics, 09, 1-26.
• Sharifi-Renani, H., & Mirfatah, M. (2012). The Impact of Exchange Rate Volatility on Foreign Direct Investment in Iran. Procedia Economics and Finance, 1, 365 – 373. DOI: 10.1016/S2212-5671(12)00042-1
• Sharpe, W. F. (1964). Capıtal Asset Prıces: A Theory Of Market Equılıbrıum Under Condıtıons Of Rısk. The Journal of Finance, 19(3), 425-442.
• Suliman, A. H., & Elian, M.I. (2014). Foreign Direct Investment, Financial Development, and Economic Growth: A Cointegratıon Model. The Journal of Developing Areas, 48(3), 219-243
• Sultana, S. T., & Pardhasaradhi, S. (2012). Impact of Flow of FDI & FII on Indian Stock Market. Finance Research, 1(3), 4-10.
• Saibu, M. O. (2012). An analysis of causal nexus between foreign direct investment, exchange rate and financial market development in Nigeria (1970 to 2009). African J. Economic and Sustainable Development, 1(1), 95-102.
• TCMB, https://www.tcmb.gov.tr/, Erişim Tarihi: 20.09.2020
• Topaloğlu, E. E., Şahin, S., & Ege, İ. (2019). The Effect of Foreign Direct And Portfolio Investments on Stock Market Returns in E7 Countries. Muhasebe ve Finansman Dergisi, Temmuz, 83, 263-278
• Tsagkanos, A., Siriopoulos, C., & Vartholomatou, K. (2019). Foreign Direct Investment and Stock Market Development Evidence from a “New” Emerging Market. Journal of Economic Studies, 46(1), 55-70.
• Tsaurai, K. (2014). Stock Market And Foreign Direct Investment In Zımbabwe. Risk governance & control: financial markets & institutions, 4(2), 53-60.
• Tsaurai, K. (2018). Investigating the Impact of Inflation on Foreign Direct Investment in Southern Africa. AUDOE, 14 (4), 597-611.
• Veeramani, S., Shukla, A., & Jamaleh, M. (2020). Financial Theories of Foreign Direct Investment: A Review of Literature. Journal of Industrial and Business Economics, 47, 185–217, https://doi.org/10.1007/s40812-019-00144-8
• V-LAB, https://vlab.stern.nyu.edu/ (Erişim Tarihi: 25.06.2020)
• Wang, L. H., Lin, C. H., Fung, H. G., & Kao, T. C. (2019). Foreign direct investment and downside risk: Evidence from Taiwan. Pacific-Basin Finance Journal, 57, 101114, 1-15. DOI: https://doi.org/10.1016/j.pacfin.2019.01.010
• Yıldız, Y. (2017). Yabancı Sermaye ve Hisse Senedi Getiri Oynaklığı: Borsa Istanbul Üzerine Bir İnceleme. İşletme Araştırmaları Dergisi, 9(4), 17-32. DOI: 10.20491/isarder.2017.319
• Yılmaz, Y. (2017). Yabancı Sermaye ve Hisse Senedi Getiri Oynaklığı: Borsa Istanbul Üzerine Bir İnceleme. İşletme Araştırmaları Dergisi, 9 (4), 17-32, DOI: 10.20491/isarder.2017.319
• http://www.borsaistanbul.com/, Erişim Tarihi: 20.09.2020-20.09.2020
• https://tr.investing.com/, Erişim Tarihi: 20.09.2020-20.09.2020
• https://www.worldbank.org/, Erişim Tarihi: 25.06.2020-25.06-2020
• https://finance.yahoo.com/, Erişim Tarihi: 20.09.2020-20.09.2020