THE LONG-RUN IMPACT OF GLOBALIZATION ON PORTFOLIO INVESTMENTS: PANEL EVIDENCE

Öz

Globalization may play an important role in attracting portfolio investment in both short-run and long-run. In order to test the validity of this relation, this study empirically examines the long-run relationship between globalization and portfolio investments by using a balanced panel data of 66 countries covering the period of 2004-2014. The results gathered from panel cointegration tests reveal that there exists a positive statistically significant association between globalization and porfolio investments in both short-run and long-run. According to the findings, if globalization index value goes up by 1% then portfolio investments increase by 5.8% in the long-run whereas this rise is just by 3.9% in the short-run. Besides, panel causality test results show that there is a two-way causality between globalization and portfolio investments.

Anahtar Kelimeler

• Globalization,Porfolio Investment,PMG Method,Panel Causality Test,Panel Cointegration

KÜRESELLEŞMENİN PORTFÖY YATIRIMLARI ÜZERİNDEKİ UZUN DÖNEMLİ ETKİSİ: PANEL ANALİZ

Öz

Küreselleşme kısa ve uzun dönemde portföy yatırımları girişinde önemli bir role sahip olabilmektedir. Çalışmada, sözkonusu ilişkinin geçerliliğini test etmek üzere 66 ülkenin 2004-2014 dönemindeki dengeli panel veri seti kullanılarak; küreselleşme portföy yatırımları arasındaki uzun dönemli ilişki ampirik olarak incelenmektedir. Panel eşbütünleşme testlerinden elde edilen sonuçlar küreselleşme ve portföy yatırımları arasında istatistiksel olarak anlamlı pozitif bir ilişkinin, kısa ve uzun dönemli varlığını ortaya koymaktadır. Bulgulara göre, küreselleşme indeksindeki %1’lik artış, portföy yatırımlarında uzun dönemde %5.8 artış yaratırken; kısa dönemde meydana getirdiği artış ise %3.9’da kalmaktadır. Ayrıca, panel nedensellik testi sonuçları, küreselleşme ve portföy yatırımları arasında çift yönlü nedenselliğin varlığına işaret etmektedir.

Anahtar Kelimeler

• Küreselleşme,Portföy Yatırımı,PMG Metodu,Panel Nedensellik Testi,Panel Eşbütünleşmee

Kaynakça

1. Boyd, John H., and Bruce D. Smith (1997), ‘‘Capital Market Imperfections, International Credit Markets, and Nonconvergence,’’ Journal of Economic Theory, 73, 335-364.
2. Calderón, C. & M. Kubota (2013), ‘‘Sudden stops: Are global and local investors alike?’’ Journal of International Economics, 89, 122-142.
3. Calvo, G.A., L. Leiderman & C.M. Reinhart (1993), ‘‘Capital inflows to Latin America: The role of external factors’’, International Monetary Fund Staff Papers, 40, 108-151.
4. Cavallaro, Eleonora & Eleonora Cutrini (2018), ‘‘Distance and beyond: What drives financial flows to emerging economies?’’, Economic Modelling, https://doi.org/10.1016/j.econmod.2018.06. 001, 1-18.
5. Chang, C.P., C.C. Lee, M.C. Hsieh (2011), ‘‘Globalization, Real Output and Multiple Structural Breaks’’, Global Economic Review, 40(4), 421-444.
6. Cooray, A., I. Gaddis & K.M. Wacker (2012), ‘‘Globalization and female labor force participation in developing countries: An empirical (re-)assessment, Courant Research Centre: Poverty’’, Equity and Growth-Discussion Papers, No. 129.
7. Devereux, M.B., A. Sutherland (2009), ‘‘A portfolio model of capital flows to emerging markets’’, J. Dev. Econ., 89(2), 181-193.
8. Dooley, M., E. Fernandez-Arias & I. Shin (1997), ‘‘Private inflows when crises are anticipated: A case study of Korea’’, Unpublished manuscript.

9. Dreher, A. (2006), ‘‘Does Globalization Affect Growth? Evidence from A New Index of Globalization’’, Applied Economics, 38(10), 1091-1110.
10. Dumitrescu, E.-I., and C. Hurlin (2012), ‘‘Testing for Granger non-causality in heterogeneous panels’’, Economic Modelling, 29, 1450-1460.
11. Friedmann, Yoav & Itay Goldstein (2004), ‘‘Globalization of Capital Movements: Potantial Disadvantages and Their Effect on Israel’’, Israel Economic Review, 2(2), 45-78.
12. Hagen, Jürgen von & Haiping Zhang (2014), ‘‘Financial development, international capital flows, and aggregate output’’, Journal of Development Economic, 106, 66-77.
13. Ju, J., S.J. Wei (2010), ‘‘Domestic institutions and the bypass effect of financial globalization’’, Am. Econ. J. Econ. Policy, 2(4), 173-204.
14. Kim, Suk-Joong & Eliza Wu (2008), ‘‘Sovereign credit ratings, capital flows and financial sector development in emerging markets’’, Emerging Markets Review, 9, 17-39.
15. Koyuncu, Julide Yalcinkaya and Mustafa Unver (2017), ‘‘The Association between Corruption and Globalization in African Countries’’, Social Sciences Research Journal, Volume 6, Issue 4, pp.20-28.
16. Kucera, D. (2001), ‘‘Foreign Trade of manufactures and men and women’s employment and earnings in Germany and Japan’’, International Review of Applied Economics, 15(2), 130-148. doi. 10.1080/02692170151136998.
17. Lane, P., G.M. Milesi-Ferretti (2007a), ‘‘The external wealth of nations mark II: Revised and extended estimates of foreign assets and liabilities’’, Journal of International Economics, 73(2), 223-250.
18. Lane, P., G.M. Milesi-Ferretti (2007b), ‘‘A global perspective on external positions’’, In: Clarida, R. (Ed.), G7 Current Account Imbalances: Sustainability and Adjustment, The University of Chicago Press.
19. Matsuyama, Kiminori (2004), ‘‘Financial Market Globalization, Symmetry-Breaking and Endogenous Inequality of Nations’’, Econometrica, 72, 853-884.
20. Matsuyama, Kiminori (2008), ‘‘Aggregate Implications of Credit Market Imperfections’’, NBER Macroeconomics Annual, 2007, 22, 1-60.
21. Montiel, P. & M.C. Reinhart (2001), ‘‘The dynamics of capital movements to emerging economies during the 1990s’’, UNU/WIDER Project on Short-term Capital Movements and Balance of Payments Crises.
22. Oksak, Yuksel and Julide Yalcinkaya Koyuncu (2017), ‘‘Does Globalization Affect Female Labor Force Participation: Panel Evidence’’, Journal of Economics Bibliography, 4(4), 381-387.
23. Pesaran, M. H. (2007), ‘‘A Simple Panel Unit Root Test In The Presence of Cross-section Dependence’’, Journal of Applied Econometrics, 22, 265-312.
24. Pesaran, H., (2003), ‘‘A Simple Panel Unit Root Test in the Presence of Cross Section Dependence’’, Cambridge Working Papers in Economics, Faculty of Economics (DAE), University of Cambridge.
25. Prasad, E.S., R. Rajan, A. Subramanian (2006), ‘‘Patterns of international capital flows and their implications for economic development’’, Proceedings of the 2006 Jackson Hole Symposium, Federal Reserve Bank, Kansas City, 119-158.
26. Prasad, E.S., R. Rajan, A. Subramanian (2007), ‘‘Foreign capital and economic growth’’, Brook. Pap. Econ. Act., 38(1), 153-230.
27. Schularick, M. (2006), ‘‘A tale of ‘Two Globalizations’: Capital flows from rich to poor in eras of global finance’’, International Journal of Finance and Economics, 11, 339-354.
28. Tille, C., E. van Wincoop (2010), ‘‘International capital flows’’, J. Int. Econ., 80(2), 157-175.
29. Westerlund, J. (2005), ‘‘New simple tests for panel cointegration’’, Econometric Reviews, 24, 297-316.
30. Westerlund, J. (2007), ‘‘Testing for Error Correction in Panel Data’’, Oxford Bulletin of Economics and Statistics, 69(6), 709-748.