TÜRKİYE'DE SICAK PARA HAREKETLERİ İLE BORSA GETİRİSİ VE LİKİDİTESİ ARASINDA ASİMETRİK VE NEDENSELLİK İLİŞKİNİN ANALİZİ

Year 2023, Volume: 10 Issue: 1, 530 - 559, 29.03.2023

Tuncer Yılmaz

https://doi.org/10.30798/makuiibf.1218997

Abstract

Makalede, kısa vadede daha iyi bir getiri arayan "sıcak para" veya spekülatif sermaye akışı ile Türkiye'nin borsa getirisi ve likiditesi arasındaki ilişkinin boyutu araştırılmıştır. Çalışmanın verileri NARDL ve Granger nedensellik testleri ile analiz edilmiştir. Elde edilen bulgularda, borsa getirisi ve likiditesi ile sıcak para bileşenleri arasında eşbütünleşik ve asimetirk bir ilişkinin olduğu görülmüştür. Granger nedensellik testinde ise, borsa likiditesi ile portföy yatırımları arasında iki yönlü nedenselliğin var olduğu görülmüştür.

Keywords

Sıcak para, Getiri, Likidite, NARDL, Granger Nedensellik., Hot money, Return, Liquidity, Granger Causality.

ANALYSIS OF THE RELATIONSHIP BETWEEN HOT MONEY MOVEMENTS AND STOCK RETURNS AND LIQUIDITY IN TURKEY

Abstract

The degree of the connection between "hot money", speculative capital flow looking for a faster returns in the near term, and the performance and liquidity of Turkey's stock market have been looked into in this article. NARDL and Granger causality tests were used to assess the study's data. The results showed that the stock market return and the liquidity and hot money components are related in a cointegrated and asymmetrical way. It was found through the Granger causality test that there is a bidirectional causal relationship between stock market liquidity and portfolio investments.

Keywords

Hot money, Return, Liquidity, Granger Causality.

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