YABANCI PORTFÖY YATIRIMLARI, BORSA VE MAKROEKONOMİK DEĞİŞKENLER ARASI İLİŞKİLERİN VAR YÖNTEMİYLE ANALİZİ: TÜRKİYE ÖRNEĞİ

Year 2018, Issue: 21, 1 - 20, 14.02.2018

Zekai Şenol Selahattin Koç

https://doi.org/10.18092/ulikidince.358108

Cited By: 4

Abstract

Gelişmekte olan
ekonomiler için yabancı sermaye yatırımlarının çok önemli olduğu bilinen bir
konudur. Ülkelere sağlanan sermaye akımlarının ülkelerin kalkınması, cari
açıklarının azalması, yatırımlarının artırılması ve buna bağlı olarak
istihdamlarının azaltılması gibi konularda pozitif katkılarının olduğu
görülmektedir. Bu çalışmanın amacı, yabancı portföy yatırımı girişi ile borsa
ve makro ekonomik faktörler arasındaki ilişkinin analiz edilmesidir. Bu
çalışmada, 2006:Q1 – 2016:Q4 yıllarını kapsayan çeyrek dönemlik veriler ile  Otoregresif model (VAR) kullanılmıştır. Bu
çalışmada elde edilen sonuçlara göre, yabancı portföy yatırımlarından (DYPYG);
Borsa İstanbul (DBIST), faiz oranı (DFAIZ) ve döviz kuruna (DKUR) doğru tepkiler
görülmüştür. Diğer taraftan döviz kurundan da (DKUR) yabancı portföy yatırımlarına
(DYPYG) yönelik tepkinin varlığı tespit edilmiştir. Varyans ayrıştırmasında
ise, yabancı portföy yatırımlarında meydana gelen değişimlerin döviz kuru,
borsa ve faiz oranı tarafından açıklandığı belirlenmiştir.

Keywords

Yabancı Portföy yatırımları, Menkul Kıymet Borsası, Vektör Otoregresif Model

ANALYSIS WITH VAR METHOD RELATIONSHİP BETWEEN FOREIGN PORTFOLIO INVESTMENTS, STOCK EXCHANGE AND MACROECONOMIC FACTORS: CASE OF TURKEY

Abstract

It is a well-known fact that foreign
investment is very important for emerging economies. It is known that the
capital flows provided to the countries have a positive contribution to the
development countries, the decrease of the current account deficits, the
increase of investments and accordingly the decrease of their employment. The
purpose of this study is to analyze the relationship between foreign portfolio
investment inflows and stock market and macroeconomic factors. In this study,
the autoregressive model (VAR) was used with quarterly data covering 2006: Q1 -
2016: Q4 years. According to the results of this study, it was seen that the
reaction from foreign portfolio investments (DFPI) to Istanbul Stock Exchange
(DSTE), interest rate (DINT) and foreign exchange rate (DEXC). On the other
hand, the existence of a response to foreign portfolio investments (DFPI) has
also been determined from the exchange rate (DEXC). In the variance analysis,
it is determined that the changes in foreign portfolio investments (DFPI) are
explained by exchange rate (DEXC), Istanbul Stock Exchange (BSTE) and interest
rate (DINT). 

Keywords

Foreign Portfolio Investments, Stock Exchange, Autoregressive Model, Macro Economic Factors

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