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Year 2015, Volume: 4 Issue: 1, 0 - 0, 29.03.2015

Aynur Pala , Bilgin Orhan Orgun

Abstract

References

  • • Ayşe YILDIZ. 2012. Yabancı Portföy Yatırımlarını Etkileyen Faktörlerin Belirlenmesi.Atatürk ÜniversitesiİktisadiveİdariBilimlerDergisi, Cilt: 26, Sayı: 1.
  • • Anne-Sophie Van Royen. 2002. Financial Contagion and Intemational Portfolio Flows. Financial Analysts Jotimal: Ja'n/Feb 2002; 58, 1; ABI/INFORM Global. pg.35.
  • • Baldwin, Richard E. (1997) “The Causes of Regionalism,” The World Economy. Vol. 20, No. 7: 865 888.
  • • Berkel Barbara. 2007. Institutional Determinants of International Equity Portfolios - A Country-Level Analysis. The B.E. Journal of Macroeconomics: Vol. 7: Iss. 1 (Topics), Article 34. Available at: http://www.bepress.com/bejm/vol7/iss1/art34.
  • • Brafu-Insaidoo William Gabriel and Nicholas Biekpe. 2014. Determinants of foreign capital flows:
  • • the experience of selected sub-saharanafrican countries. Journal of Applied Economics. Vol XVII, No. 1 (May 2014), 63-88.
  • • Byrne, J. P., and Fiess, N. 2011. International capital flows to emerging and developing countries: National and global determinants. Working papers 2011_01. Business School – Economics, University of Glasgow.
  • • Brennan Michael J. and H. Henry Cao. 1997. International Portfolio Investment Flows. The Journal of Fınance . Vol. LII, No. 5. December 1997.
  • • Campion, M. K., Neumann, R. M., 2004. Compositional effects of capital controls: evidence from Latin America. The North American Journal of Economics and Finance 15, 161-178.
  • • Cooper, I., Kaplanis, E., 1994. Home bias in equity portfolios, inflation hedging, and international capital market equilibrium. Review of Financial Studies 7, 45– 60.
  • • De Santis Roberto A. and Melanie Lürhmann. 2008. On the determinants of net international portfolio flows: A global perspective. Journal of International Money and Finance 28 (2009) 880–901.
  • • Dogan, E. (2014), Energy Consumption and Economic Growth: Evidence from Low-Income Countries in Sub-Saharan Africa. International Journal of Energy Economics and Policy, 4(2), 154-162.
  • • Eddrief-Cherfi, S., Kourbali, B. (2012), Energy Consumption and Economic Growth in Algeria: Cointegration and Causality Analysis. International Journal of Energy Economics and Policy, 2(4), 238-249.
  • • Elliott James, Kate McLoughlin and Ewan Rankin. 2014. Cross-border Capital Flows since the Global Financial Crisis. Bulletin of Reserve bank of Australia. June quarter 2014.
  • • Emmanuel C. Anoruo, Bansi L. Sawhney, and William R. DiPietro. 2012. Investment and Returns: Canadian Stock Market. SCMS Journal of Indian Management, July - September, 2012.
  • • Eniko Gabor (2011) The interaction between foreign flows and emerging market stock returns: The case of Hungary, Turkey and Poland. Master Degree Thesis. Central European University Department of Economics.
  • • Eratas, F., Oztekin, D. (2010), ‘’Kısa Vadeli Sermaye Akımlarının Belirleyicileri: Türkiye Örneği’’, Ekonomi Bilimleri Dergisi, C. 2, S. 2
  • • Eva Liljeblom and Anders L¨oflund. 2004. Determinants of international portfolio investment flows to a small market: Empirical evidence. Journal of Multinational Financial Management. J. of Multi. Fin. Manag. 15 (2005) 211–233.
  • • Felices, G., and Orskaug, B. 2008. Estimating the determinants of capital flows to emerging market economies: A maximum likelihood disequilibrium approach. Working paper no. 354. Bank of England.
  • • Frankel, J.A., 1991. Quantifying international capital mobility in the 1980s. In: Bernheim, D., Shoven, J.B. (Eds.), National Savings and Economic Performance. University of Chicago Press, Chicago.
  • • French, K.R., Poterba, J.M., 1991. Investor diversification and international equity markets. American Economic Review 81, 222–226.
  • • García-Herrero, A and P Wooldridge (2007): “Global and regional financial integration: progress in emerging markets”, BIS Quarterly Review, September, pp 57–70.
  • • Geert Duysters and Boris Lokshin. 2011. Determinants of Alliance Portfolio Complexity and Its Effect on Innovative Performance of Companies. J. Prod. Innov. Manag. 2011;28:570–585. 2011 Product Development & Management Association DOI: 10.1111/j.1540-5885.2011.00824.x.
  • • Glassman, D.A., Riddick, L.A., 2001. What causes home asset bias and how should it be measured? Journal of Empirical Finance 8, 35–54. • Elliott James, Kate McLoughlin and Ewan Rankin, 2014, Cross-border Capital Flows since the Global Financial Crisis, Reserve Bank of Australia, Bulletin-June Quarter 2014, http://www.rba.gov.au/index.html
  • • Joseph J. French. 2011. The dynamic interaction between foreign equity flows and returns: evidence from the Johannesburg stock exchange. The International Journal of Business and Finance Research.Volume 5.Number 4.
  • • Jun Wu, Shaomin Li, David D. Selover. 2012. Foreign Direct Investment vs. Foreign Portfolio Investment, The Effect of the Governance Environment. Management International Review. ManagInt Rev (2012) 52:643–670 DOI 10.1007/s11575-011- 0121-0
  • • Kaminsky, G., Schmukler, S., 2003, “Short-Run Pain, Long-Run Gain: The Effects of Financial Liberalization,” NBER Working Paper 9787, June.
  • • Kinda Tidiane. 2012. On the Drivers of FDI and Portfolio Investment: A Simultaneous Equations Approach International Economic Journal. Vol. 26, No. 1, March 2012, 1–22.
  • • Knill April M. 2010. Does Foreign Portfolio Investment Reach Small Listed Firms? European Financial Management, 2010. doi: 10.1111/j.1468-036X.2010.00572.x.
  • • Kodongo Odongo and Kalu Ojah. 2012. The dynamic relation between foreign exchange rates and international portfolio flows: Evidence from Africa's capital markets. International Review of Economics and Finance 24 (2012) 71–87.
  • • Kreicher Lawrence L. 1980. International portfolio capital flows and real rates of interests. The Review of Economics and Statistics. 1980.
  • • Levent Korap (2010). Identification of ‘Pull’ & ‘Push’ Factors for the Portfolio Flows: SVAR Evidence from the Turkish Economy, Doğuş University Journal, No. 11/2, pp. 223-32
  • • Michaelides Alexander. 2003. International portfolio choice, liquidity constraints and the home equity bias puzzle. Journal of Economic Dynamics & Control 28 (2003) 555 – 594.
  • • Numan Ülkü, and Enzo Weber. 2014. Identifying the Interaction between Foreign Investor Flows and Emerging Stock Market Returns. Review of Finance (2014) 18 (4):1541-1581.doi: 10.1093/rof/rft029. First publishedonline: July 26, 2013.
  • • Prasad, E., K. Rogoff, S-J. Wei and M. A. Kose. 2003. “Effects of Financial Globalization on Developing Countries: Some Empirical Evidence.” Mimeo, 17 March, Washington D.C.: International Monetary Fund.
  • • Reetıka Garg and Pamı Dua. 2014. Foreign Portfolio Investment Flows to India: Determinants and Analysis. Elsevier, World Development Vol. 59, pp. 16–28, 2014.
  • • http://dx.doi.org/10.1016/j.worlddev.2014.01.030
  • • Schmitz, Martin. 2009. Financial reforms and capital flows to emerging Europe. Discussion Paper 278, Dublin, Institute for International Integration Studies.
  • • Sumera Kirn, (2012), Modelling long run determinants of foreign portfolio investment in Nigeria, Journal of Economics and Sustainable Development, Vol.3, No.8.
  • • Tesar, L.L., Werner, I.M., 1995. Home bias and high turnover. Journal of International Money and Finance 14, 467–492.
  • • Uctum Merih and Remzi Uctum. 2011. Crises, portfolio flows, and foreign direct investment: An application to Turkey. Economic Systems. 35 (2011) 462–480 doi:10.1016/j.ecosys.2010.10.005.
  • • Verma, R., & Prakash, A. 2011. Sensitivity of capital flows to interest rate differentials: An empirical assessment for India. RBI working paper 7/2011.
  • • Xun Cao and Michael D. Ward. 2014. Do Democracies Attract Portfolio Investment? Transnational Portfolio Investments Modeled as Dynamic Network. International Interactions: Empirical and Theoretical Research in International Relations, 40:2, 216-245.
  • • Zivot, E., and Andrews, D.W.K. (1992), Further Evidence on the Great Crash,the Oil-Price Shock, and the Unit-Root Hypothesis. Journal of Business & Economic Statistics, (10), 251-270.

THE EFFECT OF MACRO ECONOMIC VARIABLES ON FOREIGN PORTFOLIO INVESTMENTS: AN IMPLICATION FOR TURKEY

Year 2015, Volume: 4 Issue: 1, 0 - 0, 29.03.2015

Aynur Pala , Bilgin Orhan Orgun

Abstract

 The aim of this study is to determine the effect of macroeconomic variables on foreign portfolio investments (FPI) in Turkey for the period of 1998-2012. We test stationarity of macroeconomic variables by using ADF and Zivot-Andrews unit-root tests with one structural break. We have used factor analysis for both reduction and classification of twenty three variables. To determine cointegration among variables, Johansen cointegration test was applied and we saw that variables are cointegrated. Finally, we used OLS with structural break model. We found that, deposit interest rate, gross national income and current account balance have had a positive effect on foreign portfolio investment. The effect of deposit interest rate on FPI has turned to negative, after 2003, because of structural break resulted from inflation targeting starting with The New Economic Stability Program in Turkey. We saw that with the start of the new economic stability program by Turkish government, dependent variable, average foreign portfolio investment growth has turned to positive post-2003.

References

  • • Ayşe YILDIZ. 2012. Yabancı Portföy Yatırımlarını Etkileyen Faktörlerin Belirlenmesi.Atatürk ÜniversitesiİktisadiveİdariBilimlerDergisi, Cilt: 26, Sayı: 1.
  • • Anne-Sophie Van Royen. 2002. Financial Contagion and Intemational Portfolio Flows. Financial Analysts Jotimal: Ja'n/Feb 2002; 58, 1; ABI/INFORM Global. pg.35.
  • • Baldwin, Richard E. (1997) “The Causes of Regionalism,” The World Economy. Vol. 20, No. 7: 865 888.
  • • Berkel Barbara. 2007. Institutional Determinants of International Equity Portfolios - A Country-Level Analysis. The B.E. Journal of Macroeconomics: Vol. 7: Iss. 1 (Topics), Article 34. Available at: http://www.bepress.com/bejm/vol7/iss1/art34.
  • • Brafu-Insaidoo William Gabriel and Nicholas Biekpe. 2014. Determinants of foreign capital flows:
  • • the experience of selected sub-saharanafrican countries. Journal of Applied Economics. Vol XVII, No. 1 (May 2014), 63-88.
  • • Byrne, J. P., and Fiess, N. 2011. International capital flows to emerging and developing countries: National and global determinants. Working papers 2011_01. Business School – Economics, University of Glasgow.
  • • Brennan Michael J. and H. Henry Cao. 1997. International Portfolio Investment Flows. The Journal of Fınance . Vol. LII, No. 5. December 1997.
  • • Campion, M. K., Neumann, R. M., 2004. Compositional effects of capital controls: evidence from Latin America. The North American Journal of Economics and Finance 15, 161-178.
  • • Cooper, I., Kaplanis, E., 1994. Home bias in equity portfolios, inflation hedging, and international capital market equilibrium. Review of Financial Studies 7, 45– 60.
  • • De Santis Roberto A. and Melanie Lürhmann. 2008. On the determinants of net international portfolio flows: A global perspective. Journal of International Money and Finance 28 (2009) 880–901.
  • • Dogan, E. (2014), Energy Consumption and Economic Growth: Evidence from Low-Income Countries in Sub-Saharan Africa. International Journal of Energy Economics and Policy, 4(2), 154-162.
  • • Eddrief-Cherfi, S., Kourbali, B. (2012), Energy Consumption and Economic Growth in Algeria: Cointegration and Causality Analysis. International Journal of Energy Economics and Policy, 2(4), 238-249.
  • • Elliott James, Kate McLoughlin and Ewan Rankin. 2014. Cross-border Capital Flows since the Global Financial Crisis. Bulletin of Reserve bank of Australia. June quarter 2014.
  • • Emmanuel C. Anoruo, Bansi L. Sawhney, and William R. DiPietro. 2012. Investment and Returns: Canadian Stock Market. SCMS Journal of Indian Management, July - September, 2012.
  • • Eniko Gabor (2011) The interaction between foreign flows and emerging market stock returns: The case of Hungary, Turkey and Poland. Master Degree Thesis. Central European University Department of Economics.
  • • Eratas, F., Oztekin, D. (2010), ‘’Kısa Vadeli Sermaye Akımlarının Belirleyicileri: Türkiye Örneği’’, Ekonomi Bilimleri Dergisi, C. 2, S. 2
  • • Eva Liljeblom and Anders L¨oflund. 2004. Determinants of international portfolio investment flows to a small market: Empirical evidence. Journal of Multinational Financial Management. J. of Multi. Fin. Manag. 15 (2005) 211–233.
  • • Felices, G., and Orskaug, B. 2008. Estimating the determinants of capital flows to emerging market economies: A maximum likelihood disequilibrium approach. Working paper no. 354. Bank of England.
  • • Frankel, J.A., 1991. Quantifying international capital mobility in the 1980s. In: Bernheim, D., Shoven, J.B. (Eds.), National Savings and Economic Performance. University of Chicago Press, Chicago.
  • • French, K.R., Poterba, J.M., 1991. Investor diversification and international equity markets. American Economic Review 81, 222–226.
  • • García-Herrero, A and P Wooldridge (2007): “Global and regional financial integration: progress in emerging markets”, BIS Quarterly Review, September, pp 57–70.
  • • Geert Duysters and Boris Lokshin. 2011. Determinants of Alliance Portfolio Complexity and Its Effect on Innovative Performance of Companies. J. Prod. Innov. Manag. 2011;28:570–585. 2011 Product Development & Management Association DOI: 10.1111/j.1540-5885.2011.00824.x.
  • • Glassman, D.A., Riddick, L.A., 2001. What causes home asset bias and how should it be measured? Journal of Empirical Finance 8, 35–54. • Elliott James, Kate McLoughlin and Ewan Rankin, 2014, Cross-border Capital Flows since the Global Financial Crisis, Reserve Bank of Australia, Bulletin-June Quarter 2014, http://www.rba.gov.au/index.html
  • • Joseph J. French. 2011. The dynamic interaction between foreign equity flows and returns: evidence from the Johannesburg stock exchange. The International Journal of Business and Finance Research.Volume 5.Number 4.
  • • Jun Wu, Shaomin Li, David D. Selover. 2012. Foreign Direct Investment vs. Foreign Portfolio Investment, The Effect of the Governance Environment. Management International Review. ManagInt Rev (2012) 52:643–670 DOI 10.1007/s11575-011- 0121-0
  • • Kaminsky, G., Schmukler, S., 2003, “Short-Run Pain, Long-Run Gain: The Effects of Financial Liberalization,” NBER Working Paper 9787, June.
  • • Kinda Tidiane. 2012. On the Drivers of FDI and Portfolio Investment: A Simultaneous Equations Approach International Economic Journal. Vol. 26, No. 1, March 2012, 1–22.
  • • Knill April M. 2010. Does Foreign Portfolio Investment Reach Small Listed Firms? European Financial Management, 2010. doi: 10.1111/j.1468-036X.2010.00572.x.
  • • Kodongo Odongo and Kalu Ojah. 2012. The dynamic relation between foreign exchange rates and international portfolio flows: Evidence from Africa's capital markets. International Review of Economics and Finance 24 (2012) 71–87.
  • • Kreicher Lawrence L. 1980. International portfolio capital flows and real rates of interests. The Review of Economics and Statistics. 1980.
  • • Levent Korap (2010). Identification of ‘Pull’ & ‘Push’ Factors for the Portfolio Flows: SVAR Evidence from the Turkish Economy, Doğuş University Journal, No. 11/2, pp. 223-32
  • • Michaelides Alexander. 2003. International portfolio choice, liquidity constraints and the home equity bias puzzle. Journal of Economic Dynamics & Control 28 (2003) 555 – 594.
  • • Numan Ülkü, and Enzo Weber. 2014. Identifying the Interaction between Foreign Investor Flows and Emerging Stock Market Returns. Review of Finance (2014) 18 (4):1541-1581.doi: 10.1093/rof/rft029. First publishedonline: July 26, 2013.
  • • Prasad, E., K. Rogoff, S-J. Wei and M. A. Kose. 2003. “Effects of Financial Globalization on Developing Countries: Some Empirical Evidence.” Mimeo, 17 March, Washington D.C.: International Monetary Fund.
  • • Reetıka Garg and Pamı Dua. 2014. Foreign Portfolio Investment Flows to India: Determinants and Analysis. Elsevier, World Development Vol. 59, pp. 16–28, 2014.
  • • http://dx.doi.org/10.1016/j.worlddev.2014.01.030
  • • Schmitz, Martin. 2009. Financial reforms and capital flows to emerging Europe. Discussion Paper 278, Dublin, Institute for International Integration Studies.
  • • Sumera Kirn, (2012), Modelling long run determinants of foreign portfolio investment in Nigeria, Journal of Economics and Sustainable Development, Vol.3, No.8.
  • • Tesar, L.L., Werner, I.M., 1995. Home bias and high turnover. Journal of International Money and Finance 14, 467–492.
  • • Uctum Merih and Remzi Uctum. 2011. Crises, portfolio flows, and foreign direct investment: An application to Turkey. Economic Systems. 35 (2011) 462–480 doi:10.1016/j.ecosys.2010.10.005.
  • • Verma, R., & Prakash, A. 2011. Sensitivity of capital flows to interest rate differentials: An empirical assessment for India. RBI working paper 7/2011.
  • • Xun Cao and Michael D. Ward. 2014. Do Democracies Attract Portfolio Investment? Transnational Portfolio Investments Modeled as Dynamic Network. International Interactions: Empirical and Theoretical Research in International Relations, 40:2, 216-245.
  • • Zivot, E., and Andrews, D.W.K. (1992), Further Evidence on the Great Crash,the Oil-Price Shock, and the Unit-Root Hypothesis. Journal of Business & Economic Statistics, (10), 251-270.
There are 44 citations in total.

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Journal Section Articles
Authors

Aynur Pala

Bilgin Orhan Orgun This is me

Publication Date March 29, 2015
Published in Issue Year 2015 Volume: 4 Issue: 1

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APA Pala, A., & Orgun, B. O. (2015). THE EFFECT OF MACRO ECONOMIC VARIABLES ON FOREIGN PORTFOLIO INVESTMENTS: AN IMPLICATION FOR TURKEY. Journal of Business Economics and Finance, 4(1). https://doi.org/10.17261/Pressacademia.201519962

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