Türkiye’de Yabancı Yatırımcı Oranının Belirleyicileri: VAR Modeli ile Borsa Endekslerine Dayalı Bir Analiz

Öz

Yabancı portföy yatırımları, gelişmekte olan ülkelerde finansal piyasaların derinleşmesi, likiditenin artması ve ekonomik istikrarın sağlanması açısından kritik bir rol oynamaktadır. Bu çalışmada, Türkiye’de Borsa İstanbul’da işlem gören BIST30, BIST50 ve BIST100 şirketlerinde yabancı yatırımcı oranını etkileyen makroekonomik ve finansal faktörler, 2009:01–2024:06 dönemi için Vektör Otoregresif (VAR) modeli ile analiz edilmiştir. Çalışmada üç farklı bağımlı değişken kullanılarak toplam dokuz model tahmin edilmiştir. Model performans kriterleri dikkate alınarak en iyi sonuçları veren “yabancı yatırımcı oranı” değişkeni üzerinden analizler detaylandırılmıştır. Bulgular, BIST30 ve BIST50 şirketlerinde yabancı yatırımcı oranının döviz kuru, CDS primi ve borsa endeksine anlamlı tepkiler verdiğini göstermektedir. Ancak BIST100 şirketlerinde ülke risk primi (CDS), diğer değişkenlere kıyasla daha baskın bir açıklayıcı değişken olarak öne çıkmaktadır. Bu durum, daha küçük ölçekli firmaların yer aldığı BIST100 grubundaki yabancı yatırımcıların, Türkiye'nin makro-finansal risklerine karşı daha hassas davrandığını ortaya koymaktadır. Ayrıca, varyans ayrıştırma analizleri, tüm endeks gruplarında borsa performansı ve döviz kurunun yabancı yatırımcı oranı üzerinde etkili olduğunu göstermektedir. Elde edilen bulgular, yabancı yatırımcı davranışlarının endeks gruplarına göre farklılık arz ettiğini ve CDS gibi risk göstergelerinin etkisinin şirket segmentine göre değiştiğini ortaya koymaktadır. Bu bağlamda, yatırım ortamının sürdürülebilirliğini sağlamak için ülke riskini azaltıcı yapısal reformlara ağırlık verilmesi gerektiği sonucuna varılmıştır.

Anahtar Kelimeler

• Yabancı Portföy Yatırımı
• CDS Primi
• VAR Modeli
• Borsa İstanbul
• Makroekonomik Belirsizlik

Determinants of Foreign Investor Ratios in Türkiye: A VAR-Based Analysis Across Stock Market Indices

Öz

Foreign portfolio investments play a critical role in deepening financial markets, increasing liquidity, and ensuring economic stability in developing countries. This study analyzes the macroeconomic and financial determinants of foreign investor presence in companies listed on the Borsa Istanbul (BIST30, BIST50, and BIST100) using the Vector Autoregressive (VAR) model over the period 2009:01–2024:06. A total of nine VAR models were estimated based on three different dependent variables representing foreign investor presence. Based on model performance criteria, the variable representing the ratio of foreign investors to total investors was identified as the most appropriate, and the analysis focused on this model. The empirical findings indicate that, in BIST30 and BIST50 companies, the foreign investor ratio responds significantly to exchange rates, credit default swap (CDS) spreads, and stock index movements. However, for BIST100 companies, Turkey’s CDS emerges as the most dominant explanatory variable compared to other factors. This implies that foreign investors in smaller-scale firms included in BIST100 are more sensitive to macro-financial risks in the Turkish economy. Moreover, variance decomposition results show that stock market performance and exchange rates significantly influence the foreign investor ratio across all index groups. These findings reveal that foreign investor behavior varies across market segments, and that the influence of risk indicators like CDS differs depending on the firm scale. Consequently, the study suggests that structural reforms aimed at reducing country risk are essential to sustain a favorable investment climate in emerging markets like Türkiye.

Anahtar Kelimeler

• Foreign Portfolio Investment
• Credit Default Swap (CDS)
• Vector Autoregressive (VAR) Model
• Istanbul Stock Exchange
• Macroeconomic Uncertainty

Kaynakça

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