Araştırma Makalesi
PDF EndNote BibTex RIS Kaynak Göster

YABANCI YATIRIMCILARIN BORSA İSTANBUL ÜZERİNDEKİ ETKİLERİNİN MAKİ YAPISAL KIRILMALI EŞBÜTÜNLEŞME TESTİ İLE ANALİZİ

Yıl 2022, Cilt 11, Sayı 3, 320 - 328, 17.09.2022

Öz

Yabancı yatırımlar, özellikle finansman ihtiyacı yüksek olan gelişmekte olan ülkeler için büyük önem taşımaktadır. Gelişmekte olan ülkelerin makroekonomik göstergeleri, kendileri için sermaye akımı fırsatı olarak görülen yabancı portföy yatırımlarından etkilenmektedir. Yabancı portföy yatırımlarının etkilediği makroekonomik faktörlerden biri de sermaye piyasalarıdır. Çalışmada Türkiye’ye yönelik yabancı portföy yatırımlarının İstanbul Menkul Kıymetler Borsası üzerine etkisinin olup olmadığı incelenmiştir. Bu bağlamda, 2010-2022 dönemi için BİST100 endeksi, yabancı yatırım hacmi ve yabancı portföy değeri aylık verileri kullanılarak oluşturulan model, Maki (2012) tarafından geliştirilen ve beş kırılmaya kadar izin veren eşbütünleşme testi ile analiz edilmiştir. Maki eşbütünleşme testine göre değişkenler arasında eşbütünleşme ilişkisi olduğu bulunmuştur. FMOLS uzun dönemli katsayı tahmincisinden elde edilen bulgulara göre yabancı yatırımcı sayısının toplam yatırımcılar içindeki payındaki artışın BİST100 endeksini olumsuz etkilediği ancak yabancı yatırımların toplam yatırımlar içindeki payının artmasının BİST100 endeksini olumlu etkilediği sonucuna ulaşılmıştır.

Kaynakça

  • Aksoy, M. (2013). The Analysis of Foreign Investors’ Stock Preferences During Financial Crisis Period in Istanbul Stock Exchange. I.U. Journal of the Faculty of Political Sciences, 48(3), 135-150.
  • Albayrak, A., Öztürk, N. & Tüylüoğlu, Ş. (2012). Investigation of the Effects of Macroeconomic Variables and Capital Movements on the ISE-100 Index, Journal of Economic and Social Research, 8(8), 1-22.
  • Albeni, M., & Demir, Y. (2005). The Effect of Macro Economic Indicators on Financial Sector Stock Prices (IMKB Applied), Muğla University Journal of Social Sciences, Spring Term, 14, 1-18.
  • Alp, A. (2002). Developments in International Financial Markets and Turkey, IMKB Publications.
  • Anayochukwu, O.B. (2012). The Impact of Stock Market Returns on Foreign Portfolio Investments in Nigeria. IOSR Journal of Business and Management, 2(4), 10-19.
  • Arslan, S.& Çiçek, M. (2017). Foreign Portfolio Investments and Exchange Rate Relationship: Taxation of Foreign Capital in Turkey, International Journal of Management, Economics and Business, ICMEB17 Special Issue, 292-299.
  • Atik, M., & Yılmaz, B. (2021). The Effect of Foreign Share Change in Borsa Istanbul on Bist Sector Indices. Journal Of Accounting & Finance, August 2021 Special Issue, 473-490.
  • Ayhan, D. (2014). The Effect of Portfolio Investments for BRICS-T Countries on Current Account Deficit: Dynamic Panel Data Analysis, Niğde University Journal of FEAS, 7 (1), 67-75.
  • Choe, H., Kho, B. & Stulz, R.M. (1999). Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997, Journal of Financial Economics, 54(2), 227-264.
  • Çilingirtürk, A. & Çetiner, M. (2018), The Relationship between Exchange Rates and Portfolio Investments in Emerging Markets: The Case of BRICS Countries and Turkey, Social and Mentality and Researcher Thinkers Journal, 4(8), 64-75.
  • Demireli, E & Hepkorucu, A. (2014). The Perception of Foreign Direct Investors: an Application on Istanbul Stock Exchange. Journal of Academic Researches and Studies, 6(10), 2-22.
  • Doğukanlı, H. & Çetenak, H. (2008). The Relationship Between Foreign Portfolio Investments and Stock Returns: A Test in the ISE. Çukurova University Journal of the Faculty of Economics and Administrative Sciences, 12(2), 37-57.
  • Engle, R.F. & Granger, C.W. (1987), Cointegrationand Error Correction: Representation, Estimation, and Testing, Econometrica, 55, 251-276.
  • Eric, (2022). https://www.aptech.com/blog/a-guide-to-conducting-cointegration-tests/ , Last Access: 30.06.2022
  • Granger, C.W. & Yoon, G. (2002), Hidden Cointegration, University of California, Department of Economics Working Paper. San Diego: University of California.
  • Haider, M. A., Khan, M. A., Saddique, S., & Hashmi, S. H. (2017). The Impact of Stock Market Performance on Foreign Portfolio Investment in China. International Journal of Economics and Financial Issues, 7(2), 460-468.
  • Kaya, E. (2015). The Effect of Country Risk on Foreign Portfolio Investments, Journal of Economics and Administrative Sciences, 29 (4), 611-623.
  • Kılıç, S., Delikanlı, I. U., & Alp, A. (2020). The Effect of Change in Foreign Investor Ownership Rate on Return, Volatility and Liquidity: Panel Data Analysis for BIST REIT Sector. Business and Economics Research Journal, 11(2), 397-411.
  • Karagöl, E., Erbaykal, E. & Ertuğrul, H. M. (2007). The Relationship Between Economic Growth and Electricity Consumption in Turkey: Boundary Test Approach, Doğuş University Journal, 8(1), 72-80.
  • Kula, F. (2003). The Effectiveness of International Capital Movements: Observations on Turkey, Çukurova University Journal of Economics and Administrative Sciences, 4 (2), 141-154.
  • Küreş, O. (2019). Structural Break Tests in Time Series Analysis and an Application, Eskişehir Osmangazi University Institute of Science and Technology, Master Thesis.
  • Lin, A.Y. & Swanson, P.E. (2003). The Behavior and Performance of Foreign İnvestors in Emerging Equity Markets: Evidence from Taiwan. International Review of Finance, 4(3‐ 4), 189-210.
  • Maki, D. (2012). Tests for Cointegration Allowing for an Unknown Number of Breaks, Economic Modelling, 29, 2011–2015.
  • Meurer, R. (2016). Portfolio Investment Flows, GDP, and Investment in Brazil, International Journal of Economics and Finance, 8 (12), 1-9.
  • Pal, P. (2010). Foreign Portfolio Investment, Stock Market and Economic Development: a Case Study of India. Capital Without Borders: Challenges to Development, 1, 115-129.
  • Sandalcılar A.R. (2012). The Relationship Between Paper Consumption and Economic Growth in Turkey: Cointegration and Causality Analysis, C.Ü. Journal of Economics and Administrative Sciences, 13(2), 1-15.
  • Somuncu, K. (2018). Global Portfolio Investments. 1st Edition, Sonçağ Publications, Ankara.
  • Somuncu, K. (2021). Investigation of The Effects of Local and Foreign Investors on BIST100 Index, Journal of Business Research-Turk, 13(4), 2962-2975.
  • Şenol, Z. & Koç, S. (2018). Analysis of Relationships Between Foreign Portfolio Investments, Stock Exchange and Macroeconomic Variables by Var Method: The Case of Turkey, International Journal of Economic and Administrative Studies, 21, 1-20.
  • Şimşek, M. & Behdioğlu, S. (2006). The Effect of Foreign Direct Investments on Economic Growth in Turkey: An Applied Study, Journal of Economics and Administrative Sciences, 20 (2), 47-65.
  • Şit, A., Telek, C. & Danacı, M. C. (2020). The Effect of Foreign Portfolio Investments on The Exchange: The Case of Turkey, Kilis 7 Aralık University Journal of Social Sciences, 10(19), 164-178.
  • Topaloğlu, E.E., Şahin, S. & Ege, İ. (2019), The Effect of Foreign Direct and Portfolio Investments on Stock Market Returns in E7 Countries, Journal of Accounting & Finance, (83), 263-278.
  • VAP (2022). https://www.vap.org.tr/uyruk-bazinda-yatirimci-sayilari, Last Access: 28.07.2022.
  • Yıldız, A. (2012). Determination of Factors Affecting Foreign Portfolio Investments, Atatürk University Journal of Economics and Administrative Sciences, 26(1), 23-37.
  • Yıldız, Y. (2021). Foreign Capital and Stock Return Volatility: An Analysis on Istanbul Stock Exchange. Journal of Business Studies, 9(4), 17–32.
  • Zeren F. and Koç, M. (2013) Analyzing Integration between Stock Market of Turkey and G8 Nations with Maki Cointegration Test, Journal of Applied Finance and Banking, November, 3(6), 135-142.

ANALYSIS OF THE IMPACT OF FOREIGN INVESTORS ON ISTANBUL STOCK EXCHANGE WITH MAKI STRUCTURAL BREAK COINTEGRATION TEST

Yıl 2022, Cilt 11, Sayı 3, 320 - 328, 17.09.2022

Öz

Foreign investments are of great importance for developing countries with high funding needs. Developing countries' macroeconomic elements are crucially affected by foreign portfolios, which are viewed as a capital flow opportunity for developing countries. One of the macroeconomic factors that foreign portfolio investments affect is capital markets. In the study, it has been examined whether foreign portfolio investments made in Turkey have an effect on the Istanbul Stock Exchange. In this regard, the original model generated using the BIST100 index, the foreign investor volume, and foreign portfolio value monthly data for the 2010–2022 period was analyzed with the cointegration test devised by Maki (2012) that allows up to five breaks. According to the Maki cointegration test, it was found that there is a cointegration relationship between the variables. According to the findings obtained from the FMOLS long-term coefficient estimator, it is observed that the increase in the share of foreign investors in the total investors has a negative effect on the BIST100 index, while the increase in the share of the value of foreign portfolios in the total value has a positive effect on the BIST100 index

Kaynakça

  • Aksoy, M. (2013). The Analysis of Foreign Investors’ Stock Preferences During Financial Crisis Period in Istanbul Stock Exchange. I.U. Journal of the Faculty of Political Sciences, 48(3), 135-150.
  • Albayrak, A., Öztürk, N. & Tüylüoğlu, Ş. (2012). Investigation of the Effects of Macroeconomic Variables and Capital Movements on the ISE-100 Index, Journal of Economic and Social Research, 8(8), 1-22.
  • Albeni, M., & Demir, Y. (2005). The Effect of Macro Economic Indicators on Financial Sector Stock Prices (IMKB Applied), Muğla University Journal of Social Sciences, Spring Term, 14, 1-18.
  • Alp, A. (2002). Developments in International Financial Markets and Turkey, IMKB Publications.
  • Anayochukwu, O.B. (2012). The Impact of Stock Market Returns on Foreign Portfolio Investments in Nigeria. IOSR Journal of Business and Management, 2(4), 10-19.
  • Arslan, S.& Çiçek, M. (2017). Foreign Portfolio Investments and Exchange Rate Relationship: Taxation of Foreign Capital in Turkey, International Journal of Management, Economics and Business, ICMEB17 Special Issue, 292-299.
  • Atik, M., & Yılmaz, B. (2021). The Effect of Foreign Share Change in Borsa Istanbul on Bist Sector Indices. Journal Of Accounting & Finance, August 2021 Special Issue, 473-490.
  • Ayhan, D. (2014). The Effect of Portfolio Investments for BRICS-T Countries on Current Account Deficit: Dynamic Panel Data Analysis, Niğde University Journal of FEAS, 7 (1), 67-75.
  • Choe, H., Kho, B. & Stulz, R.M. (1999). Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997, Journal of Financial Economics, 54(2), 227-264.
  • Çilingirtürk, A. & Çetiner, M. (2018), The Relationship between Exchange Rates and Portfolio Investments in Emerging Markets: The Case of BRICS Countries and Turkey, Social and Mentality and Researcher Thinkers Journal, 4(8), 64-75.
  • Demireli, E & Hepkorucu, A. (2014). The Perception of Foreign Direct Investors: an Application on Istanbul Stock Exchange. Journal of Academic Researches and Studies, 6(10), 2-22.
  • Doğukanlı, H. & Çetenak, H. (2008). The Relationship Between Foreign Portfolio Investments and Stock Returns: A Test in the ISE. Çukurova University Journal of the Faculty of Economics and Administrative Sciences, 12(2), 37-57.
  • Engle, R.F. & Granger, C.W. (1987), Cointegrationand Error Correction: Representation, Estimation, and Testing, Econometrica, 55, 251-276.
  • Eric, (2022). https://www.aptech.com/blog/a-guide-to-conducting-cointegration-tests/ , Last Access: 30.06.2022
  • Granger, C.W. & Yoon, G. (2002), Hidden Cointegration, University of California, Department of Economics Working Paper. San Diego: University of California.
  • Haider, M. A., Khan, M. A., Saddique, S., & Hashmi, S. H. (2017). The Impact of Stock Market Performance on Foreign Portfolio Investment in China. International Journal of Economics and Financial Issues, 7(2), 460-468.
  • Kaya, E. (2015). The Effect of Country Risk on Foreign Portfolio Investments, Journal of Economics and Administrative Sciences, 29 (4), 611-623.
  • Kılıç, S., Delikanlı, I. U., & Alp, A. (2020). The Effect of Change in Foreign Investor Ownership Rate on Return, Volatility and Liquidity: Panel Data Analysis for BIST REIT Sector. Business and Economics Research Journal, 11(2), 397-411.
  • Karagöl, E., Erbaykal, E. & Ertuğrul, H. M. (2007). The Relationship Between Economic Growth and Electricity Consumption in Turkey: Boundary Test Approach, Doğuş University Journal, 8(1), 72-80.
  • Kula, F. (2003). The Effectiveness of International Capital Movements: Observations on Turkey, Çukurova University Journal of Economics and Administrative Sciences, 4 (2), 141-154.
  • Küreş, O. (2019). Structural Break Tests in Time Series Analysis and an Application, Eskişehir Osmangazi University Institute of Science and Technology, Master Thesis.
  • Lin, A.Y. & Swanson, P.E. (2003). The Behavior and Performance of Foreign İnvestors in Emerging Equity Markets: Evidence from Taiwan. International Review of Finance, 4(3‐ 4), 189-210.
  • Maki, D. (2012). Tests for Cointegration Allowing for an Unknown Number of Breaks, Economic Modelling, 29, 2011–2015.
  • Meurer, R. (2016). Portfolio Investment Flows, GDP, and Investment in Brazil, International Journal of Economics and Finance, 8 (12), 1-9.
  • Pal, P. (2010). Foreign Portfolio Investment, Stock Market and Economic Development: a Case Study of India. Capital Without Borders: Challenges to Development, 1, 115-129.
  • Sandalcılar A.R. (2012). The Relationship Between Paper Consumption and Economic Growth in Turkey: Cointegration and Causality Analysis, C.Ü. Journal of Economics and Administrative Sciences, 13(2), 1-15.
  • Somuncu, K. (2018). Global Portfolio Investments. 1st Edition, Sonçağ Publications, Ankara.
  • Somuncu, K. (2021). Investigation of The Effects of Local and Foreign Investors on BIST100 Index, Journal of Business Research-Turk, 13(4), 2962-2975.
  • Şenol, Z. & Koç, S. (2018). Analysis of Relationships Between Foreign Portfolio Investments, Stock Exchange and Macroeconomic Variables by Var Method: The Case of Turkey, International Journal of Economic and Administrative Studies, 21, 1-20.
  • Şimşek, M. & Behdioğlu, S. (2006). The Effect of Foreign Direct Investments on Economic Growth in Turkey: An Applied Study, Journal of Economics and Administrative Sciences, 20 (2), 47-65.
  • Şit, A., Telek, C. & Danacı, M. C. (2020). The Effect of Foreign Portfolio Investments on The Exchange: The Case of Turkey, Kilis 7 Aralık University Journal of Social Sciences, 10(19), 164-178.
  • Topaloğlu, E.E., Şahin, S. & Ege, İ. (2019), The Effect of Foreign Direct and Portfolio Investments on Stock Market Returns in E7 Countries, Journal of Accounting & Finance, (83), 263-278.
  • VAP (2022). https://www.vap.org.tr/uyruk-bazinda-yatirimci-sayilari, Last Access: 28.07.2022.
  • Yıldız, A. (2012). Determination of Factors Affecting Foreign Portfolio Investments, Atatürk University Journal of Economics and Administrative Sciences, 26(1), 23-37.
  • Yıldız, Y. (2021). Foreign Capital and Stock Return Volatility: An Analysis on Istanbul Stock Exchange. Journal of Business Studies, 9(4), 17–32.
  • Zeren F. and Koç, M. (2013) Analyzing Integration between Stock Market of Turkey and G8 Nations with Maki Cointegration Test, Journal of Applied Finance and Banking, November, 3(6), 135-142.

Ayrıntılar

Birincil Dil İngilizce
Konular İktisat
Bölüm Makaleler
Yazarlar

İnci Merve ALTAN>
BANDIRMA ONYEDİ EYLÜL ÜNİVERSİTESİ
Türkiye

Yayımlanma Tarihi 17 Eylül 2022
Yayınlandığı Sayı Yıl 2022, Cilt 11, Sayı 3

Kaynak Göster

Bibtex @araştırma makalesi { sid1174806, journal = {Sakarya İktisat Dergisi}, issn = {2147-0790}, eissn = {2147-1126}, address = {Sakarya Üniversitesi İktisat Dergisi Esentepe Kampüsü, İktisadi ve İdari Bilimler Fakültesi B Blok 420}, publisher = {Sakarya Üniversitesi}, year = {2022}, volume = {11}, number = {3}, pages = {320 - 328}, title = {ANALYSIS OF THE IMPACT OF FOREIGN INVESTORS ON ISTANBUL STOCK EXCHANGE WITH MAKI STRUCTURAL BREAK COINTEGRATION TEST}, key = {cite}, author = {Altan, İnci Merve} }
APA Altan, İ. M. (2022). ANALYSIS OF THE IMPACT OF FOREIGN INVESTORS ON ISTANBUL STOCK EXCHANGE WITH MAKI STRUCTURAL BREAK COINTEGRATION TEST . Sakarya İktisat Dergisi , 11 (3) , 320-328 . Retrieved from https://dergipark.org.tr/tr/pub/sid/issue/72576/1174806
MLA Altan, İ. M. "ANALYSIS OF THE IMPACT OF FOREIGN INVESTORS ON ISTANBUL STOCK EXCHANGE WITH MAKI STRUCTURAL BREAK COINTEGRATION TEST" . Sakarya İktisat Dergisi 11 (2022 ): 320-328 <https://dergipark.org.tr/tr/pub/sid/issue/72576/1174806>
Chicago Altan, İ. M. "ANALYSIS OF THE IMPACT OF FOREIGN INVESTORS ON ISTANBUL STOCK EXCHANGE WITH MAKI STRUCTURAL BREAK COINTEGRATION TEST". Sakarya İktisat Dergisi 11 (2022 ): 320-328
RIS TY - JOUR T1 - YABANCI YATIRIMCILARIN BORSA İSTANBUL ÜZERİNDEKİ ETKİLERİNİN MAKİ YAPISAL KIRILMALI EŞBÜTÜNLEŞME TESTİ İLE ANALİZİ AU - İnci MerveAltan Y1 - 2022 PY - 2022 N1 - DO - T2 - Sakarya İktisat Dergisi JF - Journal JO - JOR SP - 320 EP - 328 VL - 11 IS - 3 SN - 2147-0790-2147-1126 M3 - UR - Y2 - 2023 ER -
EndNote %0 Sakarya İktisat Dergisi ANALYSIS OF THE IMPACT OF FOREIGN INVESTORS ON ISTANBUL STOCK EXCHANGE WITH MAKI STRUCTURAL BREAK COINTEGRATION TEST %A İnci Merve Altan %T ANALYSIS OF THE IMPACT OF FOREIGN INVESTORS ON ISTANBUL STOCK EXCHANGE WITH MAKI STRUCTURAL BREAK COINTEGRATION TEST %D 2022 %J Sakarya İktisat Dergisi %P 2147-0790-2147-1126 %V 11 %N 3 %R %U
ISNAD Altan, İnci Merve . "ANALYSIS OF THE IMPACT OF FOREIGN INVESTORS ON ISTANBUL STOCK EXCHANGE WITH MAKI STRUCTURAL BREAK COINTEGRATION TEST". Sakarya İktisat Dergisi 11 / 3 (Eylül 2022): 320-328 .
AMA Altan İ. M. ANALYSIS OF THE IMPACT OF FOREIGN INVESTORS ON ISTANBUL STOCK EXCHANGE WITH MAKI STRUCTURAL BREAK COINTEGRATION TEST. Sakarya İktisat Dergisi. 2022; 11(3): 320-328.
Vancouver Altan İ. M. ANALYSIS OF THE IMPACT OF FOREIGN INVESTORS ON ISTANBUL STOCK EXCHANGE WITH MAKI STRUCTURAL BREAK COINTEGRATION TEST. Sakarya İktisat Dergisi. 2022; 11(3): 320-328.
IEEE İ. M. Altan , "ANALYSIS OF THE IMPACT OF FOREIGN INVESTORS ON ISTANBUL STOCK EXCHANGE WITH MAKI STRUCTURAL BREAK COINTEGRATION TEST", Sakarya İktisat Dergisi, c. 11, sayı. 3, ss. 320-328, Eyl. 2022