THE RELATION BETWEEN FOREIGN OWNERSHIP AND STOCK RETURNS

Year 2021, , 1 - 21, 31.03.2021

Serkan Unal

https://doi.org/10.11611/yead.730777

Abstract

Foreign investors, compared to domestic investors, manage larger investment funds and can allocate more resources for research. These factors caused a question mark on how effectively the markets operate due to the resulting information asymmetry. In this study, the relationship between the share of foreign investors and stock returns is examined in companies included in the BIST100 index. According to results of the study in which panel data analysis was used over 2015 and 2019, (1) there is no relationship between investment decisions of foreign investors and basic evaluation criteria such as price/earnings and growth of sales or momentum strategies; (2) foreign investors causes a move in stock prices during their position changes; (3) there is no abnormal stock returns in the quarter following the change in the foreign share. There is no evidence that foreign investors earn additional income compared to local investors due to information asymmetry.

Keywords

Foreign Ownership, Information Asymmetry, BIST, Stock Returns

YABANCI YATIRIMCILARIN PAYI İLE HİSSE SENEDİ GETİRİLERİ ARASINDAKİ İLİŞKİ

Abstract

Yabancı yatırımcılar, yerli yatırımcılara kıyasla, daha büyük yatırım fonlarını yönetmekte, araştırma ve firmalardan bilgi toplamak için daha fazla kaynak ayırabilmektedirler. Bu faktörler nedeniyle yabancı yatırımcılar lehine oluşan bilgi asimetrisi, piyasaların ne kadar etkin çalıştığı konusunda soru işareti oluşturmaktadır. Bu çalışmada BIST100 endeksine dahil olan şirketlerde, yabancı yatırımcıların payı ile hisse senedi getirileri arasındaki ilişki incelenmiştir. 2015-2019 yılları arasındaki panel veri analizinin kullanıldığı çalışmada, (1) fiyat / kar ve satışların büyümesi gibi temel değerlendirme kriterleri ya da momentum stratejileri ile yabancı yatırımcıların yatırım kararları arasında ilişki olmadığı, (2) yabancı yatırımcıların yatırım yaptıkları dönemlerde hisse senedi fiyatlarında harekete yol açtığı, (3) yabancı payındaki değişimi takip eden üç aylık dönemde hisse senedi getirilerinde anormal bir durumun olmadığı tespit edilmiştir. Yabancı yatırımcıların bilgi asimetrisi nedeniyle BIST100 endeksine kıyasla ilave kazanç elde ettiklerine dair bulgu elde edilmemiştir.

Keywords

Yabancı Sahipliği, Bilgi Asimetrisi, BIST, Hisse Getirileri

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