THE RELATIONSHİP BETWEEN INTERNATIONAL EQUITY INVESTMENTS AND TRADE IN THE FRAMEWORK OF THE RISK HEDGING APPROACH

Year 2021, Volume: 39 Issue: 3, 475 - 490, 29.09.2021

Sinem Atıcı Ustalar

https://doi.org/10.17065/huniibf.794085

Abstract

The aim of the study is to analyze the risk hedging effect of bilateral trade on bilateral equity investment. The analysis is realized with the financial gravity model for 2001-2018 years. Bilateral equity invetment and bilateral export variables of 65 countries and traditional gravity variables are used in the model. The model is estimated with Ordinary Least Squares (OLS) and Poisson-Pseudo Maximum Likelihood (PPML) estimators in the first stage. Two-Stage Least Squares (2SLS) estimator with Instrumental Variables method is used to control the endogeneity problem between export and bilateral equity investment in the second stage. According to the model results, the increasing export between source and destination country decreases the equity risk for foreign investors and raises bilateral equity investment between them. Therefore, bilateral export across countries has risk hedging effect on bilateral equity investment. 

Keywords

International financial asset trade, international goods trade, gravity model, instrumental variables (IV) estimation

RİSKTEN KORUNMA YAKLAŞIMI ÇERÇEVESİNDE ULUSLARARASI HİSSE SENEDİ YATIRIMLARI İLE TİCARET ARASINDAKİ İLİŞKİ

Abstract

Çalışmanın amacı ülkeler arasındaki ikili mal ticaretinin ikili hisse senedi yatırımları üzerindeki riskten korunma etkisini analiz etmektir. Analiz, finansal çekim modeli ile 2001-2018 yılları için gerçekleştirilmiştir. Modelde 65 ülkenin ikili hisse senedi yatırımları, ikili ihracat ve geleneksel çekim değişkenleri kullanılmıştır. Model ilk aşamada En Küçük Kareler (EKK) ve Poisson-Pseudo En Çok Olabilirlik (PPML) tahmincileri ile tahminlenmiştir. İkinci aşamada ise ihracat ve ikili hisse senedi yatırımları arasındaki içsellik probleminin kontrolü için Araç değişkenler yöntemi ile İki Aşamalı EKK (2AEKK) tahmincisi kullanılmıştır. Model sonuçlarına göre, kaynak ve destinasyon ülke arasındaki artan ihracat, yabancı yatırımcı için hisse senedinin riskini azaltmakta ve ikili hisse senedi yatırımını artırmaktadır. Dolayısıyla, ülkeler arasındaki ihracat ikili hisse senedi yatırımı üzerinde riskten korunma etkisine sahiptir.

Keywords

Uluslararası Hisse senedi Ticareti, Uluslararası Mal Ticareti, Çekim Modeli, Araç Değişken (IV) Tahmincisi

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