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

Aynur Süsay

https://doi.org/10.47934/tife.13.01.05

Cited By: 1

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.

Keywords

Market efficiency, Sample entropy, Fourier ADL

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

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.

Keywords

Piyasa etkinliği, Sample Entropi, Fourier ADL

Thanks

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