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

Year 2022, Volume: 11 Issue: 3, 320 - 328, 17.09.2022

İnci Merve Altan

Abstract

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

Keywords

Stock Exchange, Maki Structural Break Test, foreing investment

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

Abstract

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.

Keywords

Borsa, Maki Yapısal Kırılma Testi, Yabancı yatırım

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