THE EFFECT OF FOREIGN INVESTMENTS ON THE VOLATILITY OF EMERGING STOCK MARKETS

Yıl 2006, Cilt: 2 Sayı: 3, 15 - 40, 01.06.2006

Turhan Korkmaz

Öz

Foreign investors play an important role in emerging stock markets. When the economic or financial crisis begins in one of the emerging markets, foreign investors react immediately and selI the stocks not only in that country, but also in other emerging markets simultaneously. This causes all the emerging stock markets to spiral down and increases the volatility and foreign currency reserve problem. As a result, foreign investors view emerging market investments as different assets class and make comparison to each other, and not by comparing each market to the world portfolio

Anahtar Kelimeler

Emerging Markets, Foreign Investments, Volatility, And Capital Asset Pricing Model

GELİŞMEKTE OLAN HİSSE SENEDİ PİYASALARINDAKİ DEĞİŞKENLİĞE YABANCI YATIRIMLARIN ETKİSİ

Öz

Foreign investors play an important role in emerging stock markets. When the economic or financial crisis begins in one of the emerging markets, foreign investors react immediately and selI the stocks not only in that country, but also in other emerging markets simultaneously. This causes all the emerging stock markets to spiral down and increases the volatility and foreign currency reserve problem. As a result, foreign investors view emerging market investments as different assets class and make comparison to each other, and not by comparing each market to the world portfolio.

Anahtar Kelimeler

Gelişmekte Olan Piyasalar, Yabancı Yatırımlar, Değişkenlik ve Sermaye Varlıklarını Fiyatlandırma Modeli.

Kaynakça

• http://www.msci.com, 09.09.2005.
• http://www.eerc.kiev.ua/eroc/anconference/alyubych.pdf,Methodology and assumptions used to build the World CAPM, JP Morgan and Bank of America models World CAPM, 12.12.2005.
• Kim, E. H. and V. Singal, (2000); “Stock Market Openings: Experience of Emerging Economies,” Journal of Business, Vol. 73, No. 1. pp. 25-66.
• Tokat, Y. (2004); “International Equity Investing: Investing in Emerging Markets,” https://institutional5.vanguard.com/iip/pdf/emergingmarkets_072004.pdf
• http://www.snee.org/filer/papers/266.pdf#search='emerging%20market%20volatility%2 0and% 20capm', 21.11.2005.