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Impact of domestic and foreign investors on Borsa Istanbul's market efficiency: Fourier cointegration approach

Year 2024, Volume: 13 Issue: 1, 66 - 81, 30.06.2024
https://doi.org/10.47934/tife.13.01.05

Abstract

The study aims to investigate the effect of domestic and foreign investors on the efficiency of the XU100. First, the sample entropy is used to calculate the informational efficiency of the XU100. Second, the effect of portfolio values of domestic and foreign investors on efficiency is analyzed by employing the Fourier Autoregressive Distributed Lag cointegration test (FADL). The findings indicate that XU100 is partially efficient. Since the COVID-19 period, XU100 has experienced the lowest level of efficiency. The efficiency of XU100 has not reached the pre-pandemic level. The results of the FADL test indicate that there is a long-run relationship between the portfolio values of both domestic and foreign investors and the efficiency of the XU100. The results suggest that foreign investors have a positive impact on the efficiency of the XU100, while domestic investors have a negative impact. These results can be explained by the fact that foreign investors are institutional investors. As they trade in international markets, they have superior investment experience and are better at processing information. For domestic investors, behavioral factors have an impact on market efficiency.

References

  • Ajmal, S., Mufti, M. ve Shah, Z. A. (2011). Impact of illusion of control on perceived efficiency in Pakistani financial markets. Abasyn Journal of Social Sciences, 5(2), 100-110.
  • Albulescu, C. T. (2015). Do foreign direct and portfolio investments affect long-term economic growth in Central and Eastern Europe?. Procedia Economics and Finance, 23, 507-512
  • Alkan, S. (2023). Multi-scale sample entropy analysis of the Turkish stock market efficiency. Nicel Bilimler Dergisi, 5(1), 51-63.
  • Alvarez-Ramirez, J., Rodriguez, E. Ve Alvarez, J. (2012). A multiscale entropy approach for market efficiency. International Review of Financial Analysis, 21:64–69. https://doi.org/10.1016/j.irfa.2011.12.001.
  • Anees, Y. (2022). Foreign portfolio investment in developing countries: Determinants and impact. Journal of International Economics, 13(2), 34-55.
  • Bae, K.-H., Ozoguz, A., Tan, H. ve Wirjanto, T. S. (2012). Do foreigners facilitate information transmission in emerging markets?. Journal of Financial Economics, 105(1), 209–227.
  • Bailey, W., Mao, C. X. ve Sirodom, K. (2007). Investment restrictions and the cross-border flow of information: Some empirical evidence. Journal of International Money and Finance, 26(1), 1-25.
  • Bakar, S. ve Yi, A. N. C. (2016). The impact of psychological factors on investors’ decision making in Malaysian stock market: A case of Klang Valley and Pahang. Procedia Economics and Finance, 35, 319-328.
  • Baker, H. K. ve Nofsinger, J. R. (2002). Psychological biases of investors. Financial Services Review, 11(2), 97-116.
  • Banerjee, P., Arčabić, V. ve Lee, H. (2017). Fourier ADL cointegration test to approximate smooth breaks with new evidence from crude oil market. Economic Modelling, 67, 114-124.
  • Barber, B. M. ve Odean, T. (2008). All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. The review of financial studies, 21(2), 785-818.
  • Barber, B. M., Odean, T., ve Zhu, N. (2009). Do Retail trades move markets? Review of Financial Studies, 22(1), 151 186.
  • Bariviera, A. F. (2011). The influence of liquidity on informational efficiency: The case of the Thai Stock Market. Physica A: Statistical Mechanics and its Applications, 390(23-24), 4426-4432.
  • Bariviera, A. F. (2017). The inefficiency of Bitcoin revisited: A dynamic approach. Economics Letters, 161, 1-4.
  • Bariviera, A. F., Guercio, M. B. ve Martinez, L. B. (2014). Informational efficiency in distressed markets: The case of European corporate bonds. The Economic and Social Review, 45(3, Autumn), 349-369.
  • Bekaert, G., ve Harvey, C. R. (2000). Foreign speculators and emerging equity markets. The Journal Of Finance, 55(2), 565-613.
  • Bekaert, G., Harvey, C. R. ve Lundblad, C. (2005). Does financial liberalization spur growth?. Journal of Financial Economics, 77(1), 3-55.
  • Cajueiro, D. O., Gogas, P. ve Tabak, B. M. (2009). Does financial market liberalization increase the degree of market efficiency? The case of the Athens stock exchange. International Review of Financial Analysis, 18(1-2), 50-57.
  • Cao, H. H., Han, B., Hirshleifer, D. ve Zhang, H. H. (2011). Fear of the unknown: Familiarity and economic decisions. Review of finance, 15(1), 173-206.
  • Chan, K., Covrig, V., ve Ng, L. (2009). Does home bias affect firm value? Evidence from holdings of mutual funds worldwide. Journal of international economics, 78(2), 230-241.
  • Chari, A. ve Henry, P. B. (2004). Risk sharing and asset prices: evidence from a natural experiment. The Journal of Finance, 59(3), 1295-1324.
  • Choe, H., Kho, B. C. ve Stulz, R. M. (2005). Do domestic investors have an edge? The trading experience of foreign investors in Korea. The Review of Financial Studies, 18(3), 795-829.
  • Coşkun, M., Bozkurt, G. ve Yavuz, M. S. (2023). Borsa İstanbul 100 endeksini etkileyen yatırımcı profilleri: Yerliler mi yabancılar mı?. Ekonomi Politika ve Finans Araştırmaları Dergisi, 8 (2), 263-282. DOI: 10.30784/epfad.1284498
  • Dvořák, T. (2005). Do domestic investors have an information advantage? Evidence from Indonesia. The Journal of Finance, 60(2), 817-839.
  • Enders, W. ve Lee, J. (2012). The flexible fourier form and Dickey–Fuller type unit root tests. Economics Letters, 117(1), 196-199.
  • Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The journal of Finance, 25(2), 383-417.
  • Ferreira, M. A. ve Matos, P. (2008). The colors of investors’ money: The role of institutional investors around the world. Journal of financial economics, 88(3), 499-533.
  • Froot, K. A., O’connell, P. G. ve Seasholes, M. S. (2001). The portfolio flows of international investors. Journal of financial Economics, 59(2), 151-193.
  • Gallant, A. R. (1981). On the bias in flexible functional forms and an essentially unbiased form: The fourier flexible form. Journal of Econometrics, 15(2), 211-245.
  • Gallant, A. R. ve Souza, G. (1991). On the asymptotic normality of Fourier flexible form estimates. Journal of Econometrics, 50(3), 329-353.
  • Grinblatt, M. ve Keloharju, M. (2000). The investment behavior and performance of various investor types: a study of Finland's unique data set. Journal of financial economics, 55(1), 43-67.
  • Grossman, S. J. ve Stiglitz, J. E. (1980). On the impossibility of informationally efficient markets. The American economic review, 70(3), 393-408.
  • Gupta, N. ve Yuan, K. (2009). On the growth effect of stock market liberalizations. The Review of Financial Studies, 22(11), 4715-4752.
  • Hau, H. (2001). Location matters: An examination of trading profits. The Journal of Finance, 56(5), 1959-1983.
  • He, W. ve Shen, J. (2014). Do foreign investors improve informational efficiency of stock prices? Evidence from Japan. Pacific-Basin Finance Journal, 27, 32-48.
  • Henry, P. B. (2000). Stock market liberalization, economic reform, and emerging market equity prices. The Journal of Finance, 55(2), 529–564. doi:10.1111/0022-1082.00219
  • Huang, R. D. ve Shiu, C. Y. (2009). Local effects of foreign ownership in an emerging financial market: Evidence from qualified foreign institutional investors in Taiwan. Financial Management, 38(3), 567-602.
  • Kahneman, D., & Tversky, A. (1973). On the psychology of prediction. Psychological review, 80(4), 237.
  • Kalev, P. S., Nguyen, A. H. ve Oh, N. Y. (2008). Foreign versus local investors: Who knows more? Who makes more?. Journal of Banking & Finance, 32(11), 2376-2389.
  • Kang, H. C., Lee, D. W. ve Park, K. S. (2010). Does the difference in valuation between domestic and foreign investors help explain their distinct holdings of domestic stocks?. Journal of Banking & Finance, 34(12), 2886-2896.
  • Korkmaz, T., Çevik, E. I. ve Kırcı Çevik, N. (2017). Yatırımcı ilgisi ile pay piyasası arasındaki ilişki: BİST-100 endeksi üzerine bir uygulama. İşletme ve Ekonomi Araştırmaları Dergisi, 8(2), 203-215.
  • Kumar, A. S. ve Kamaiah, B. (2014). Wavelet based sample entropy analysis: A new method to test weak form market efficiency. Fundamental transfers, 19.
  • Leuz, C., Lins, K. V. ve Warnock, F. E. (2009). Do foreigners invest less in poorly governed firms?. The Review of Financial Studies, 22(8), 3245-3285.
  • Lim, K. P., Hooy, C. W., Chang, K. B. ve Brooks, R. (2016). Foreign investors and stock price efficiency: Thresholds, underlying channels and investor heterogeneity. The North American Journal of Economics And Finance, 36, 1-28.
  • Mike, F. ve Alper, A. E. (2020). Gelişmiş ve gelişmekte olan ülkeler için işsizlik histerisinin incelenmesi: Fourier ADF test bulguları. Çankırı Karatekin Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 10(1), 1-14.
  • Mohamed, S. M. A. G., Fayed, M. E. ve Hassouba, T. A. A. (2023). Investigating the impact of foreign portfolio investment on macro-economic stability: Empirical evidence from Egypt. Integrated Journal for Research in Arts and Humanities, 3(2), 17-27.
  • Ng, L., Wu, F., Yu, J. ve Zhang, B. (2016). Foreign investor heterogeneity and stock liquidity around the world. Review of Finance, 20(5), 1867-1910.
  • Obenpong Kwabi, F., Owusu-Manu, S., Boateng, A., Ezeani, E. B. ve Du, M. (2022). Economic policy uncertainty and cost of capital: The mediating effects of foreign equity portfolio flow. Review of Quantitative Finance and Accounting, 59(2), 457-481.
  • Oh, G., Kim, S., Eom C (2007) Market efficiency in foreign exchange markets. Physica A: Statistical Mechanics and its Applications 382(1), 209-212. https://doi.org/10.1016/j.physa.2007.02.032.
  • Olbryś, J. ve Majewska, E. (2022). Regularity in stock market indices within turbulence periods: The sample entropy approach. Entropy, 24(7), 921.
  • Ortiz-Cruz, A., Rodriguez, E., Ibarra-Valdez, C. ve Alvarez-Ramirez, J. (2012). Efficiency of crude oil markets: Evidences from informational entropy analysis. Energy Policy, 41, 365–373. https://doi.org/10.1016/j.enpol.2011.10.057.
  • Pata, U. K. (2021). Linking renewable energy, globalization, agriculture, CO2 emissions and ecological footprint in BRIC countries: A sustainability perspective. Renewable Energy, 173, 197-208.
  • Phillips, P. C. ve Hansen, B. E. (1990). Statistical inference in instrumental variables regression with I (1) processes. The Review of Economic Studies, 57(1), 99-125.
  • Richman, J.S., Moorman, J.R. (2000). Physiological time-series analysis using approximate entropy and sample entropy. American Journal of Physiology-Heart and Circulatory Physiology, 278(6), H2039–H2049, https://doi.org/10.1152/ajpheart.2000.278.6.H2039.
  • Shah, S. Z. A., Ahmad, M. ve Mahmood, F. (2018). Heuristic biases in investment decision-making and perceived market efficiency: A survey at the Pakistan stock exchange. Qualitative Research in Financial Markets, 10(1), 85-110.
  • Sugisaki, K. ve Ohmori, H. (2008, August). Realtime estimation of the degree of market efficiency using variable weighted Sample Entropy. In 2008 SICE Annual Conference (pp. 1415-1418). IEEE.
  • Tan, S. D. ve Taş, O. (2019). Investor attention and stock returns: Evidence from Borsa Istanbul. Borsa Istanbul Review, 19(2), 106-116.
  • Umutlu, M., Akdeniz, L. ve Altay-Salih, A. (2010). The degree of financial liberalization and aggregated stock-return volatility in emerging markets. Journal of Banking & Finance, 34(3), 509–521. doi:10.1016/j.jbankfin.2009.08.010
  • Wang, G. J., Xie, C. ve Han, F. (2012). Multi-scale approximate entropy analysis of foreign exchange markets efficiency. Systems Engineering Procedia 3, 201–208. https://doi.org/10.1016/j.sepro.2011.10.030.
  • Wang, J. ve Wang, X. (2021). COVID-19 and financial market efficiency: Evidence from an entropy- based analysis. Finance Research Letters. 42, 1-7. https://doi.org/10.1016/j.frl.2020.101888.

Yerli ve yabancı yatırımcıların Borsa İstanbul’un piyasa etkinliğine etkisi: Fourier eşbütünleşme yaklaşımı

Year 2024, Volume: 13 Issue: 1, 66 - 81, 30.06.2024
https://doi.org/10.47934/tife.13.01.05

Abstract

Çalışmada XU100 endeksi bazındaki yerli ve yabancı yatırımcıların XU100 endeksinin etkinliğine olan etkisinin araştırılması amaçlanmaktadır. Çalışmada ilk olarak Sample Entropi kullanılarak XU100 endeksinin bilgisel etkinlik seviyesi hesaplanmıştır. İkinci olarak Fourier Otoregresif Gecikmesi Dağıtılmış eşbütünleşme testi (FADL) ile yerli ve yabancı yatırımcıların portföy değerlerinin etkinlik üzerindeki etkisi araştırılmıştır. Bulgular, XU100’ün kısmı etkin olduğunu göstermektedir. Covid-19 Dönemininden itibaren XU100, etkinlik seviyesinin en düşük olduğu zamanları yaşamakta olup, XU100’ün etkinliği pandemi öncesi seviyelere ulaşamamıştır. FADL test sonuçları ise yerli ve yabancı yatırımcıların portföy değerleri ile XU100 endeksinin etkinliği arasında uzun dönemli ilişki olduğu yönündedir. Elde edilen bulgular, yabancı yatırımcıların XU100 endeksinin etkinliğini pozitif yönde, yerli yatırımcıların ise negatif yönde etkilediğini göstermektedir. Bu sonuçlar, yabancı yatırımcıların kurumsal yatırımcılardan oluşması ve bu yatırımcıların uluslararası piyasalarda işlem yapmaları nedeniyle üstün yatırım deneyimlerine ve bilgiyi daha iyi işleme konusundaki tecrübelerine sahip olması olarak açıklanabilir. Yerli yatırımcılarda ise davranışsal faktörlerin piyasa etkinliği üzerinde etkili olduğunu göstermektedir.

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References

  • Ajmal, S., Mufti, M. ve Shah, Z. A. (2011). Impact of illusion of control on perceived efficiency in Pakistani financial markets. Abasyn Journal of Social Sciences, 5(2), 100-110.
  • Albulescu, C. T. (2015). Do foreign direct and portfolio investments affect long-term economic growth in Central and Eastern Europe?. Procedia Economics and Finance, 23, 507-512
  • Alkan, S. (2023). Multi-scale sample entropy analysis of the Turkish stock market efficiency. Nicel Bilimler Dergisi, 5(1), 51-63.
  • Alvarez-Ramirez, J., Rodriguez, E. Ve Alvarez, J. (2012). A multiscale entropy approach for market efficiency. International Review of Financial Analysis, 21:64–69. https://doi.org/10.1016/j.irfa.2011.12.001.
  • Anees, Y. (2022). Foreign portfolio investment in developing countries: Determinants and impact. Journal of International Economics, 13(2), 34-55.
  • Bae, K.-H., Ozoguz, A., Tan, H. ve Wirjanto, T. S. (2012). Do foreigners facilitate information transmission in emerging markets?. Journal of Financial Economics, 105(1), 209–227.
  • Bailey, W., Mao, C. X. ve Sirodom, K. (2007). Investment restrictions and the cross-border flow of information: Some empirical evidence. Journal of International Money and Finance, 26(1), 1-25.
  • Bakar, S. ve Yi, A. N. C. (2016). The impact of psychological factors on investors’ decision making in Malaysian stock market: A case of Klang Valley and Pahang. Procedia Economics and Finance, 35, 319-328.
  • Baker, H. K. ve Nofsinger, J. R. (2002). Psychological biases of investors. Financial Services Review, 11(2), 97-116.
  • Banerjee, P., Arčabić, V. ve Lee, H. (2017). Fourier ADL cointegration test to approximate smooth breaks with new evidence from crude oil market. Economic Modelling, 67, 114-124.
  • Barber, B. M. ve Odean, T. (2008). All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. The review of financial studies, 21(2), 785-818.
  • Barber, B. M., Odean, T., ve Zhu, N. (2009). Do Retail trades move markets? Review of Financial Studies, 22(1), 151 186.
  • Bariviera, A. F. (2011). The influence of liquidity on informational efficiency: The case of the Thai Stock Market. Physica A: Statistical Mechanics and its Applications, 390(23-24), 4426-4432.
  • Bariviera, A. F. (2017). The inefficiency of Bitcoin revisited: A dynamic approach. Economics Letters, 161, 1-4.
  • Bariviera, A. F., Guercio, M. B. ve Martinez, L. B. (2014). Informational efficiency in distressed markets: The case of European corporate bonds. The Economic and Social Review, 45(3, Autumn), 349-369.
  • Bekaert, G., ve Harvey, C. R. (2000). Foreign speculators and emerging equity markets. The Journal Of Finance, 55(2), 565-613.
  • Bekaert, G., Harvey, C. R. ve Lundblad, C. (2005). Does financial liberalization spur growth?. Journal of Financial Economics, 77(1), 3-55.
  • Cajueiro, D. O., Gogas, P. ve Tabak, B. M. (2009). Does financial market liberalization increase the degree of market efficiency? The case of the Athens stock exchange. International Review of Financial Analysis, 18(1-2), 50-57.
  • Cao, H. H., Han, B., Hirshleifer, D. ve Zhang, H. H. (2011). Fear of the unknown: Familiarity and economic decisions. Review of finance, 15(1), 173-206.
  • Chan, K., Covrig, V., ve Ng, L. (2009). Does home bias affect firm value? Evidence from holdings of mutual funds worldwide. Journal of international economics, 78(2), 230-241.
  • Chari, A. ve Henry, P. B. (2004). Risk sharing and asset prices: evidence from a natural experiment. The Journal of Finance, 59(3), 1295-1324.
  • Choe, H., Kho, B. C. ve Stulz, R. M. (2005). Do domestic investors have an edge? The trading experience of foreign investors in Korea. The Review of Financial Studies, 18(3), 795-829.
  • Coşkun, M., Bozkurt, G. ve Yavuz, M. S. (2023). Borsa İstanbul 100 endeksini etkileyen yatırımcı profilleri: Yerliler mi yabancılar mı?. Ekonomi Politika ve Finans Araştırmaları Dergisi, 8 (2), 263-282. DOI: 10.30784/epfad.1284498
  • Dvořák, T. (2005). Do domestic investors have an information advantage? Evidence from Indonesia. The Journal of Finance, 60(2), 817-839.
  • Enders, W. ve Lee, J. (2012). The flexible fourier form and Dickey–Fuller type unit root tests. Economics Letters, 117(1), 196-199.
  • Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The journal of Finance, 25(2), 383-417.
  • Ferreira, M. A. ve Matos, P. (2008). The colors of investors’ money: The role of institutional investors around the world. Journal of financial economics, 88(3), 499-533.
  • Froot, K. A., O’connell, P. G. ve Seasholes, M. S. (2001). The portfolio flows of international investors. Journal of financial Economics, 59(2), 151-193.
  • Gallant, A. R. (1981). On the bias in flexible functional forms and an essentially unbiased form: The fourier flexible form. Journal of Econometrics, 15(2), 211-245.
  • Gallant, A. R. ve Souza, G. (1991). On the asymptotic normality of Fourier flexible form estimates. Journal of Econometrics, 50(3), 329-353.
  • Grinblatt, M. ve Keloharju, M. (2000). The investment behavior and performance of various investor types: a study of Finland's unique data set. Journal of financial economics, 55(1), 43-67.
  • Grossman, S. J. ve Stiglitz, J. E. (1980). On the impossibility of informationally efficient markets. The American economic review, 70(3), 393-408.
  • Gupta, N. ve Yuan, K. (2009). On the growth effect of stock market liberalizations. The Review of Financial Studies, 22(11), 4715-4752.
  • Hau, H. (2001). Location matters: An examination of trading profits. The Journal of Finance, 56(5), 1959-1983.
  • He, W. ve Shen, J. (2014). Do foreign investors improve informational efficiency of stock prices? Evidence from Japan. Pacific-Basin Finance Journal, 27, 32-48.
  • Henry, P. B. (2000). Stock market liberalization, economic reform, and emerging market equity prices. The Journal of Finance, 55(2), 529–564. doi:10.1111/0022-1082.00219
  • Huang, R. D. ve Shiu, C. Y. (2009). Local effects of foreign ownership in an emerging financial market: Evidence from qualified foreign institutional investors in Taiwan. Financial Management, 38(3), 567-602.
  • Kahneman, D., & Tversky, A. (1973). On the psychology of prediction. Psychological review, 80(4), 237.
  • Kalev, P. S., Nguyen, A. H. ve Oh, N. Y. (2008). Foreign versus local investors: Who knows more? Who makes more?. Journal of Banking & Finance, 32(11), 2376-2389.
  • Kang, H. C., Lee, D. W. ve Park, K. S. (2010). Does the difference in valuation between domestic and foreign investors help explain their distinct holdings of domestic stocks?. Journal of Banking & Finance, 34(12), 2886-2896.
  • Korkmaz, T., Çevik, E. I. ve Kırcı Çevik, N. (2017). Yatırımcı ilgisi ile pay piyasası arasındaki ilişki: BİST-100 endeksi üzerine bir uygulama. İşletme ve Ekonomi Araştırmaları Dergisi, 8(2), 203-215.
  • Kumar, A. S. ve Kamaiah, B. (2014). Wavelet based sample entropy analysis: A new method to test weak form market efficiency. Fundamental transfers, 19.
  • Leuz, C., Lins, K. V. ve Warnock, F. E. (2009). Do foreigners invest less in poorly governed firms?. The Review of Financial Studies, 22(8), 3245-3285.
  • Lim, K. P., Hooy, C. W., Chang, K. B. ve Brooks, R. (2016). Foreign investors and stock price efficiency: Thresholds, underlying channels and investor heterogeneity. The North American Journal of Economics And Finance, 36, 1-28.
  • Mike, F. ve Alper, A. E. (2020). Gelişmiş ve gelişmekte olan ülkeler için işsizlik histerisinin incelenmesi: Fourier ADF test bulguları. Çankırı Karatekin Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 10(1), 1-14.
  • Mohamed, S. M. A. G., Fayed, M. E. ve Hassouba, T. A. A. (2023). Investigating the impact of foreign portfolio investment on macro-economic stability: Empirical evidence from Egypt. Integrated Journal for Research in Arts and Humanities, 3(2), 17-27.
  • Ng, L., Wu, F., Yu, J. ve Zhang, B. (2016). Foreign investor heterogeneity and stock liquidity around the world. Review of Finance, 20(5), 1867-1910.
  • Obenpong Kwabi, F., Owusu-Manu, S., Boateng, A., Ezeani, E. B. ve Du, M. (2022). Economic policy uncertainty and cost of capital: The mediating effects of foreign equity portfolio flow. Review of Quantitative Finance and Accounting, 59(2), 457-481.
  • Oh, G., Kim, S., Eom C (2007) Market efficiency in foreign exchange markets. Physica A: Statistical Mechanics and its Applications 382(1), 209-212. https://doi.org/10.1016/j.physa.2007.02.032.
  • Olbryś, J. ve Majewska, E. (2022). Regularity in stock market indices within turbulence periods: The sample entropy approach. Entropy, 24(7), 921.
  • Ortiz-Cruz, A., Rodriguez, E., Ibarra-Valdez, C. ve Alvarez-Ramirez, J. (2012). Efficiency of crude oil markets: Evidences from informational entropy analysis. Energy Policy, 41, 365–373. https://doi.org/10.1016/j.enpol.2011.10.057.
  • Pata, U. K. (2021). Linking renewable energy, globalization, agriculture, CO2 emissions and ecological footprint in BRIC countries: A sustainability perspective. Renewable Energy, 173, 197-208.
  • Phillips, P. C. ve Hansen, B. E. (1990). Statistical inference in instrumental variables regression with I (1) processes. The Review of Economic Studies, 57(1), 99-125.
  • Richman, J.S., Moorman, J.R. (2000). Physiological time-series analysis using approximate entropy and sample entropy. American Journal of Physiology-Heart and Circulatory Physiology, 278(6), H2039–H2049, https://doi.org/10.1152/ajpheart.2000.278.6.H2039.
  • Shah, S. Z. A., Ahmad, M. ve Mahmood, F. (2018). Heuristic biases in investment decision-making and perceived market efficiency: A survey at the Pakistan stock exchange. Qualitative Research in Financial Markets, 10(1), 85-110.
  • Sugisaki, K. ve Ohmori, H. (2008, August). Realtime estimation of the degree of market efficiency using variable weighted Sample Entropy. In 2008 SICE Annual Conference (pp. 1415-1418). IEEE.
  • Tan, S. D. ve Taş, O. (2019). Investor attention and stock returns: Evidence from Borsa Istanbul. Borsa Istanbul Review, 19(2), 106-116.
  • Umutlu, M., Akdeniz, L. ve Altay-Salih, A. (2010). The degree of financial liberalization and aggregated stock-return volatility in emerging markets. Journal of Banking & Finance, 34(3), 509–521. doi:10.1016/j.jbankfin.2009.08.010
  • Wang, G. J., Xie, C. ve Han, F. (2012). Multi-scale approximate entropy analysis of foreign exchange markets efficiency. Systems Engineering Procedia 3, 201–208. https://doi.org/10.1016/j.sepro.2011.10.030.
  • Wang, J. ve Wang, X. (2021). COVID-19 and financial market efficiency: Evidence from an entropy- based analysis. Finance Research Letters. 42, 1-7. https://doi.org/10.1016/j.frl.2020.101888.
There are 60 citations in total.

Details

Primary Language Turkish
Subjects Behavioural Finance, Finance, Financial Econometrics
Journal Section Research Article
Authors

Aynur Süsay 0000-0003-0935-7375

Early Pub Date June 12, 2024
Publication Date June 30, 2024
Submission Date January 14, 2024
Acceptance Date May 8, 2024
Published in Issue Year 2024 Volume: 13 Issue: 1

Cite

APA Süsay, A. (2024). Yerli ve yabancı yatırımcıların Borsa İstanbul’un piyasa etkinliğine etkisi: Fourier eşbütünleşme yaklaşımı. Trakya Üniversitesi İktisadi Ve İdari Bilimler Fakültesi E-Dergi, 13(1), 66-81. https://doi.org/10.47934/tife.13.01.05

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