Gelişmekte Olan Ülkelerde Borsa Getirileri, Net Yabancı Alımları ve Döviz Kurları Arasındaki İlişki

Yıl 2020, Cilt 4, Sayı 9, 23 - 43, 28.06.2020

Fevzi ÇEVİK Serkan ÇANKAYA

Öz

Çalışmada, gelişmekte olan altı ülkenin borsa getirileri, döviz kurları ve net yabancı alımları arasındaki ilişkiler, 2008-2019 dönemi haftalık verileriyle, Sınır Testi ve ARDL yöntemiyle incelenmiştir. Uzun dönemde; Hindistan ve G. Afrika’da “uncovered equity parity”’nin geçerli olduğu, Türkiye’de borsa ile döviz kuru arasında pozitif ilişki bulunurken, Brezilya’da yabancıların “portföy yeniden dengeleme” stratejisini takip ettikleri görülmüştür. Kısa dönemdeyse; tüm borsalarda getiriler arttığında net yabancı alımları da artmaktadır. Yani yabancılar tüm ülkelerde “getiri peşinde olma” stratejisini izlemektedir. Elde edilen bulgulara göre; portföy yöneticilerinin, gelişmekte olan ülkeleri tek bir sepet olarak görmeyip, yönettikleri portföylerde her ülke için farklı stratejiler geliştirmelerinin, portföy performanslarına olumlu katkı sağlayacağı düşünülmektedir.

Anahtar Kelimeler

Borsa Getirisi, Net Yabancı Alımları, Döviz Kuru

Kaynakça

• Andriansyah, A. & Messinisa, G. (2015). Stock Prices, Exchange Rates and Portfolio Equity Flows: Toda-Yamamoto Approach for Granger Non-Causality Test in Heterogeneous Panels. The 44th Australian Conference of Economists (ACE 2015), At QUT Gardens Point Brisbane, Australia.
• Baydaş, Y. & Polat, M. (2018). Doğrudan Yabancı Sermaye Yatırımlarının Borsa İstanbul’a Etkisinin Belirlenmesi. Bingöl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 2(2), 37 – 46.
• Bekaert, G. & Harvey, C. R. (2002). Foreign Speculators and Emerging Equity Markets, Journal of Finance, 55, 565 - 614.
• Brennan, M. J. & Cao, H. (1997). International Portfolio Flows. Journal of Finance, 52, 1851–1880.
• Cappiello, L. & De Santis, R. A. (2005). Explaining Exchange Rate Dynamics: The Uncovered Equity Return Parity Condition. ECB Working Paper, No. 529.
• Cappiello, L. & De Santis, R. A. (2007). The Uncovered Return Parity Condition. ECB Working Paper, No. 812.
• Cenedese, G., Payne, R., Sarno, L. &Valente, G. (2016). What do Stock Markets Tell us About Exchange Rates? Review of Finance, 20(3), 1045 – 1080.
• Cottrell, A. (2015). The Error Correction Model. Erişim Tarihi: 09.05.2020, http://ricardo.ecn.wfu.edu/~cottrell/ ecn215/extra/error_corr_2004.pdf.
• Curcuru, S., Thomas, C., Warnock, F. & J., Wongswan (2014). Uncovered Equity Parity and Rebalancing in International Portfolios. Journal of International Money, 47, 86 – 99.
• Dickey, D. A. & Fuller, W. A. (1981). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Econometrica, 49, 1057-72.
• Dikmen, N. (2012). Ekonometri Temel Kavramlar ve Uygulamalar. 2. Baskı, Dora Yayınevi, Bursa.
• Dunne, P., Hau, H. & Moore, M. (2010). International Order Flows: Explaining Equity and Exchange Rate Returns. Journal of International Money and Finance, 29(2), 358-386.
• Engle, R. & Granger, C. (1987). Co-Integration and Error Correction Representation: Estimation and Testing. Econometrica, 55, 251–276.
• Erkan, N. (2005). Finansal Bütünleşme. Sermaye Piyasası Kurulu Araştırma Raporu, Araştırma Dairesi. French, J. J. (2011). The Dynamic Interaction between Foreign Equity Flows and Returns: Evidence from The Johannesburg Stock Exchange. The International Journal of Business and Finance Research, 5(4), 45-56.
• Fuertes, A. M., Phylaktis, K. & Yan, C. (2019). Uncovered Equity “Disparity” in Emerging Markets. Journal of International Money and Finance, 98, 1 – 22. Granger, C. W. J. & Newbold, P. (1974). Spurious Regressions in Econometrics. Journal of Econometrics, 2(2), 111-120.
• Griffin, J. M., Nardari, F. & Stulz, R. (2004). Are Daily Cross-Border Equity Flows Pushed or Pulled? The Review of Economics and Statistics, 86(3), 641 – 657. Hau, H. & Rey, H. (2004). Can Portfolio Rebalancing Explain The Dynamics of Equity Returns, Equity Flows, and Exchange Rates? American Economic Review, 94(2), 126 – 133.
• Johansen, S. ( 1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics Control, 12(2–3), 231–254.
• Johnston, J. & Dinardo, J. (1997). Econometric Methods. Fourth Edition, McGraw-Hill Companies, United States.
• Kwiatkowski, D., Phillips, P. C.B., Schmidt, P. & Shin, Y. (1992). Testing The Null Hypothesis of Stationarity Against The Alternative of a Unit Root: How Sure are We That Economic Time Series Have a Unit Root? Journal of Econometrics, 54, 159-178.
• Nkoro, E. & Uko, A. K. (2016). Autoregressive Distributed Lag (ARDL) Cointegration Technique: Application and Interpretation. Journal of Statistical and Econometric Methods, 5(4), 63 – 91.
• Pesaran, H. M. & Shin, Y. (1998). An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis. Econometncs and Economic Theory in the 20st Century: The Ragnar Frisch Centennial Symposium.
• Pesaran, H. M., Shin, Y. & Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics. 16(3), 289 - 326.
• Pham-Gia, T. & Choulakian, V. (2014). Distribution of The Sample Correlation Matrix and Applications. Open Journal of Statistics, 4(5), 330 – 344.
• Phillips, P. C. B. & Perron, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75(2), 335 - 346.
• Richards, A. (2005). Big Fish in Small Ponds: The Trading Behavior and Price Impact of Foreign Investors in Asian Emerging Equity Markets. Journal of Financial and Quantitative Analysis, 40, 1–27.
• Schober, P. & Boer, C. (2018). Correlation Coefficients: Appropriate Use and Interpretation. Anesthesia & Analgesia, 126(5), 1763 – 1768.
• Sevüktekin, M. & Çınar, M. (2014). Ekonometrik Zaman Serileri Analizi Eviews Uygulamalı. 4. Baskı, Dora Yayınevi, Bursa.
• Şimşek, M. & Kadılar. C. (2006). Fisher Etkisinin Türkiye Verileri ile Testi. Doğuş Üniversitesi Dergisi, 7(1), 99 – 111.
• Türsoy, T. (2017). Causality between Stock Prices and Exchange Rates in Turkey: Empirical Evidence from The ARDL Bounds Test and a Combined Cointegration Approach. International Journal of Financial Studies, 5(8), 1 – 10.
• World Population Review (2020). GDP Ranked by Country 2020. Erişim Tarihi: 01.04.2020, https://worldpopulationreview.com/countries/countries-by-gdp/.
• Yan, C. (2015). Essays in International Finance: International Capital Flows, Equity and FX Markets. Unpublished Doctoral thesis, City University London.