ANALYZING IMPACT OF NON-RESIDENTS' HOLDINGS OF EQUITIES ON BIST (ISTANBUL STOCK EXCHANGE) 100 INDEX 

Abstract

Foreign portfolio investments and international capital flows have crucial effects on stock market indexes and economic performance of a country. In this article, the effects of foreign portfolio investments on fluctuations of BIST100 index were examined. In this context, data of 522 weekly time series between 07.01.2005 and 02.01.2015 were used. For stock certificates of people living abroad and the BIST100 index, time series econometrics was applied and it was tested with VAR method. In this article, in order to define the direction of causality between variables, Granger causality test, action-reaction function and variant discretisation techniques were used. “It was concluded that in BIST100 index as more foreign investors buy the stocks, the index navigates in higher levels. So foreign portfolio investments and international capital flows have impact on BIST100 index.

Keywords

• Financial liberalization, foreign portfolio inflows, BIST100

References

1. Acikgoz, E. 2006. “International Capital Flows Interest Relations: The Case of Turkey.” Karaelmas University Master's Thesis, pp.2-6.
2. Adabag, C. M., and Ornelas, J. R. 2004. “Behavior and Effects of Foreign Portfolio Investors on Istanbul Stock Exchange.” http://papers.ssrn.com/sol3/papers.cfm?abstract_id=656442. pp.13-14
3. Adrian, C., and Darnell, A. 1990. “Dictionary of Econometrics.” Edward Elgar Publications, pp.330-332, England.
4. Agarwal, R. 1997. “Foreign Portfolio Investment in some Developing Countries:A Study of Determinants and Macroeconomic Impact.”
5. Indian Economic Review, pp.217-220. Ahmed,F.; Arezki,R.; Funke,N. 2005. “The Composition of Capital Flows: Is South Africa Different?”, IMF Working Paper.
6. Akar, C. 2008. “Stocks Prices Causality Between Foreign Trade Volume: Toda-Yamamato Perspective.” Journal of Accounting and Finance , pp.185-191.
7. Albayrak,A.S.; Ozturk,N.; and Tuyluoglu,S. 2012. “The movement of capital and macroeconomic variables examined the impact of the IMKB-100 index.” Journal of Economic and Social Research, pp.15-17.
8. Arin, T. 2011. “Accumulation of the real break from each other by the Financial Globalization and Financial Accumulation in Turkey.” A. H.

9. Kose, F. Senses, & E. Yeldan, Essays on Economics I-Global Order: Accumulation State and Classes, pp. 571-575 ,Ankara,Iletisim Publisher. Baklaci, H. 2007. “Do Foreign Investors Chase or Impact Returns in Turkey? .” International Conference on Globalization and Its Discontents. Cortland.
10. Barisik, S., and Acıkgoz, E. 2007. “International Capital Flows Interest Relations in Turkey.” 1992-2005 Tisk Publication 2 , no.3:198-219
11. Basoglu, U. 2000. “Financial Liberalization and International Portfolio Investment.” Balikesir University Journal of the Institute of Social Sciences,pp.89-95.
12. Bekaert, G., and Harvey, C. R. 1998. “Capital Flows and The Behavior of Emerging Market Equity Returns.” NBER Working Series.
13. Boratav, K. 2004. “Economic History of Turkey (1908-2002).” pp. 107-117, Ankara: Imge Publisher.
14. Boyer, B., and Zheng, L. 2009. “Investor Flows and Stock Market Returns.” Journal of Empirical Finance, no. 16, pp.87-100.
15. Clark, J., and Berko, E. 1996. “Foreign Investment Fluctitions and Emerging Market Stock Returns: The Case of Mexico.” New York: Federal
16. Reserve Bank of New York , pp. 2-11. Dogukanli, H., and Cetenak, E. 2008. “Foreign Portfolio Investment with The Relationship Between Stock Returns: IMKB Test.” Cukurova
17. University Journal of Faculty of Economics,pp.40-45
18. Elmas B. 2012. “Istanbul Stock Exchange Effects of Foreign Portfolio Investment:A Study Based on the Istanbul Stock Exchange Index.”
19. Journal of IMKB , Volume 12, No 47,pp.1-18. Evans, K. 2002. “Foreign Portfolio And Direct Investment Complementarity,Differences and Integration.” Global Forum On International Investment. Shanghai.
20. Gozgur, G., and Erzurumlu, Y. 2010. “Causality Relations Between Foreign Direct Investment And Portfolio Investment Volatility.” Middle
21. Eastern Finance and Economics,pp.172-178
22. Hepsag, A. 2009. “Testing the Validity of Financial Liberalization McKinnon Policy Framework of Complementarity Hypothesis: The Case of
23. Turkey.” BDDK Banking and Financial Markets,pp.67-68. Inadİm, S. 2005. “Short-Term Capital Movements and Real Exchange Rate Interaction: The Case of Turkey.” CBRT ExpertThesis,pp.22-25.
24. Jun, K. W. 1995. “Effects of capital market liberalization in Korea. In The U.S.-Korea economic partnership.”, Avebury Press.
25. Keating, J. 1990. “Identifying VAR Models Under Rational Expectations.” Journal of Monetary Economics, pp.453-476.
26. Keskin, N. 2008. “Macroeconomic Effects of Financial Liberalization Process of Capital Movements in Turkey.”, Journal of Finance Political
27. & Economic, Volume 45, No 526,pp.17-38
28. Kumar, V.; Leone,Robert P.; and Gaskins,John N. 1995. “Aggregate and Disaggregate Sector Forecasting Using Consumer Confidence
29. Measures.” International Journal of Forecasting Elsevier,pp.361-377
30. Levine, R. and Zervos,S. 1998. “Stok Market Development And Long Run Growth.” World Bank Economic Review 10.
31. McLean, B. and Shrestha, S. 2002. “International Financial Liberalization and Economic Growth.” Reserve Bank of Australia, Research Discussion Papers.
32. Moreno, R. 2000. “What Explains Capital Flows.” FRBSF Economic Letter.
33. Mucuk,M.,Alptekin,V. 2008. “Taxes and Economic Growth Relationship in Turkey: VAR Analysis (1975 - 2006).” Journal of Maliye No 155, pp.159-174
34. Okuyan, H., and Erbaykal, E. 2011. “Foreign operations and stock returns in relation to the IMKB.” Journal of .Dogus University 12,no. 2: 264
35. Ozmen, C. 2011. “Effects of the Financial Crisis in the financial market liberalization and Situation in Turkey.” Ankara University Institute of
36. Social Sciences, Master Thesis. Oztekin, D., and Eratas, F. 2009. “Net Portfolio Investment and Real Interest Evaluation of the Relationship Between the Global Crisis
37. Framework: Turkey Practice.” ,Anatolia International Conference in Economics,. Eskisehir. Pazarlioglu, M., and Gulay, E. 2007. “Net Portfolio Investment and Real Interest Relationship Between: The Case of Turkey.” Dokuz Eylul
38. University Journal of the Institute of Social Sciences, pp.208-209. Poshakwale,S. and Thapa,C. 2007. “Impact Of Foreign Portfolio İnvestments On Market Comovements: Evidence From The Emerging
39. Indian Stock Market.” Emerging Market Group ESRC Seminar on International Equity Markets Comovements and Contagion, pp.17- ,London. Pramod Kumar ,N., and Puja, P. 2015. “An Empirical Evidence of Dynamic Interaction between Institutional Fund Flows and Stock Market
40. Returns in India.” Indian Journal of Finance, Volume 9,Issue 4. Rogoff, K. 1999. “International Institutions For Reducing Global Financial Iinstability.” Journal of Economic Perspectives 13, no. 4 : 21-42
41. Sevil,G.; Ozer,M.;and Kulali,G. 2012. “Foreign Investors and Noise Trade in Istanbul Stock Exchange.” International Journal of Business and Social Science, Vol. 3, No. 4 : 93-101
42. Sims, C. 1980. “Macroeconomics and Reality.” Econometrica 48, no.1 : 1-48
43. Somuncu,M. and Karan,M.B. 2010. “The Impacts Of Internatıonal Portfolio Investments On Istanbul Stock Exchange Market.” Journal of
44. Turkish Court of Accounts,no.77: 149-167. Stock,H.J., and Watson,M.W. 2007. “Introduction to Econometrics.” , pp.112-114 Prentice Hall.
45. Turgut, A. 2006. “Financial Integration and Financial Crisis in Turkey Example: 1994,2000,2001 Crisis.” pp.108-110, PhD Thesis.
46. Vergil,H., and Karaca,C. 2010. “Impact on Economic Growth of the International Capital Flows Towards Emerging Country: Panel Data
47. Analysis.” Ege Academic Review, Volume 10, No 4:1207-1216
48. Williamson, J. 2002. “Financial Liberalization an Examination (Translation book).” Liberte Publisher.
49. Yeldan,E.,Balkan,E. and Bicer,F.G. 2002. “Patterns of Financial Capital Flows and Accumulation in the post-1990 Turkish Economy.” METU
50. International Conference.