ULUSLARARASI PORTFÖY YATIRIMLARININ İMKB ÜZERİNDEKİ ETKİSİ

Year 2010, Issue: 77, 149 - 168, 01.06.2010

Kartal Somuncu Mehmet Baha Karan

Abstract

Bu çalışmanın amacı, uluslararası yatırımcının 2001 finans krizindeki rolünü araştırmaktır. Bu amacı gerçekleştirebilmek için 2001–2004 yılları arasında uluslararası yatırımcıların iki temel yatırım stratejilerinin İstanbul Menkul Kıymetler Borsası üzerindeki etkileri analiz edilmiştir. Bu yatırım stratejileri olumlu geri besleme ticareti ve sürü etkisi davranışıdır. Daha önce yapılmış çalışmalarda yabancı yatırımcıların hisse senetlerini alma ve satma zamanlamalarının daha başarılı olduğunu gösteren sonuçlar elde edilmiştir. Ayrıca sürü etkisi davranışı konusunda yapılan çalışmalarda çok sayıda birbiri ile çelişen sonuçlar elde edilmiştir. Veri seti İstanbul Menkul Kıymetler Borsası, Takasbank ve Finnet Finansal Bilgi Hizmetleri kurumlarından elde edilmiştir. Bu veriler, İMKB’de hala aktif olarak alım satım işlemi yapan 455 adet finans kurumunun ay sonu hisse senedi takas bakiyeleridir. Bulgular, yabancı yatırımcıların kriz süresince olumsuz geri besleme ticareti ile uğraşmalarına rağmen yerli yatırımcıların olumlu geri besleme ticareti ile uğraştıklarını göstermektedir. İkinci bulgu ise hem yabancı yatırımcıların ve hem de yerli yatırımcıların 2001–2004 döneminin tamamında sürü etkisi davranışının etkisinde kaldıklarını göstermektedir. Dolayısı ile kriz dönemi ve sonrası için sürü etkisi davranışı açısından ayırt edici bir bulguya rastlanmamıştır

Keywords

Portföy yatırımı, serbest fonlar, olumlu geri besleme ticareti, olumsuz geri besleme ticareti, sürü etkisi davranışı

THE IMPACTS OF INTERNATIONAL PORTFOLIO INVESTMENTS ON ISTANBUL STOCK EXCHANGE MARKET

Abstract

The aim for this study is to investigate the role of international investors during the financial crisis in 2001. The impacts of two basic investment strategies of international investors on Istanbul Stock Exchange had been analyzed during the crisis and after crisis period that is between 2001-2004. These investment strategies are positive feedback trading and herding. Previous researches have revealed that foreign investors are more successful in timing of buying and selling securities. In addition, there is too much discussion about herding behaviors of the institutional investors. Main data of this study is the monthly stock positions of 455 active financial institutions that are provided from Istanbul Stock Exchange, Takasbank and Finnet Financial Information Company. The findings revealed that the foreign investors was engaged in negative feedback trading activity that was stabilized the financial market during the crisis, whereas domestic investors caused the instability in markets by engaging in positive feedback trading. The second outcome of the study was related with the herding behavior of investors. It is found that the both of investor groups have been participated the herding behavior in the market not only in the peak period of the crisis but also post crises periods

Keywords

Portfolio investment, hedge funds, positive feedback trading, negative feedback trading, herding

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