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Yıl 2015, Cilt: 29 Sayı: 4, 0 - , 21.10.2015

Emine Kaya

Öz

The aim of this study is to investigate the effect of country risk including economic, financial and political risk on foreign portfolio investment. In the study, covering the period from January 1997 to December 2010, foreign portfolio investments (FPI), economic, financial and politic risk premiums are used. Johansen-Jeselius co-integration tests results show that there is a long run relationship between FPI with financial risk, politic risk and economic risk, however; Granger causality tests show a causality from financial risk to FPI and from FPI to politic risk, and causality is not available between FPI and economic risk. Estimation of regression results show that financial risk affects FPI positively, political risk affects FPI negatively and economic risk does not affect FPI statistically in a meaningful way

Anahtar Kelimeler

Economic Risk Financial Risk Political Risk Foreign Portfolio Investment

Kaynakça

  • Başoğlu, U. (2000), “Finansal Serbestleşme ve Uluslararası Portföy Yatırımları”, Balıkesir Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 3(4), ss. 88-99.
  • Beaulie, M. C., Cosset, J. C. ve Essaddam, N. (2005), “The Impact of Political Risk on The Volatility of Stock Returns: The Case of Canada”, Journal of International Business Studies, 36, ss. 701-718.
  • Bilson, C. M., Brailsford, T. J. ve Hooper, V. C. (2002), “The Explanatory Power of Political Risk in Emerging Markets”, International Review of Financial Analysis, 11, ss. 1-27.
  • Brink, N. ve Viviers, W. (2003), “Obstacles in Attracting Increased Portfolio Investment into Southern Africa”, Development Southern Africa, 20(2), ss. 213-236.
  • Cherian, J. A. ve Perotti, E. (2001), “Option Pricing and Foreign Investment under Political Risk”, Journal of International Economics, 55, ss. 359- 377.
  • Clark, E. ve Kassimatis, K. (2004), “Country Financial Risk and Stock Market Performance: The Case of Latin America”, Journal of Economics and Business, 56, ss. 21-41.
  • Click, R. W. (2005), “Financial and Political Risks in US Direct Foreign Investmet”, Journal of International Business Studies, 36, ss. 559-575.
  • Emirkadı, Ö. (2005), “Gelişmekte Olan Ülkeler ve Parasal Kriz Teorileri Üzerine Bazı Değerlendirmeler”, Sosyo Ekonomi, 1(2), ss. 35-62.
  • Erb, C. B., Harvey, C. R. ve Tadas, E. V. (1996), “Political Risk, Economic Risk And Financial Risk”, Financial Analysts Journal, 52(6), ss, 29- 46.
  • Ferson, W. E. ve Harvey, C. R. (1991), “The Variation of Economic Risk Premiums”, Journal of Political Economy, 99(2), ss. 385-413.
  • Goldberg, C. S. ve Veitch, J. M. (2010), “Country Risk and Financial Integration—A Case Study of South Africa”, Research in International Business and Finance, 24, ss 138-145.
  • Hassan, M. K., Maroney, N. C. ve Telfah, A. (2003), “Country Risk And Stock Market Volatility, Predictability and Diversification in The Middle East and Africa”, Economic Systems, 27, ss. 63-82.
  • Jıménez, A. (2011), “Political Risk as a Determinant of Southern Europen FDI in Neighboring Devoloping Countries”, Emerging Markets, Finance and Trade, 47(4), ss. 59.
  • Karolyi, G. A. ve Sanders, A. B. (1998), “The Variation of Economic Risk Premiums in Real Estate Returns”, Journal of Real Estate Finance and Economics, 17(3), ss. 245-262.
  • Khattab, A. A., Anchor, J. R. ve Davies, E. M. M. (2008), “The Institutionalisation of Political Risk Assessment (IPRA) in Jordanian International Firms”, International Business Review, 17, ss. 688-702.
  • Le, Q. V. ve Paul, J. Z. (2006), “Political Risk and Capital Flight”, Journal of International Money and Finance, 25, ss. 308-329.
  • Nordal, K. B. (2001), “Country Risk, Country Risk Indices And Valuation of FDI: A Real Options Approach”, Emerging Markets Review, 2, ss. 197-217.
  • Oetzel, J. (2005), “Smaller May Be Beautiful But Is It more Risky? Assessing and Managing Political and Economic Risk in Costa Rica”, International Business Review, 14, ss. 765-790.
  • Palacios, A. ve Griffin, T. (2011), “Country Risks and FDI: Empirical Evidence from Latin American Countries”, Journal of International Business Research, 10(1), ss. 9-25.
  • Quer, D., Claver, E. ve Rienda, L. (2011) “Political Risk, Cultural Distance and Outward Foreign Direct Investment: Empirical Evidence from Large Chinese Firms”, Science+Business Media, 7, ss. 47-92.
  • Rajan, M. ve Friedman, J. (1997),“An Examination of The Impact of Country Risk on The International Portfolio Selection Decision”, Global Finance Journal, 8(1), ss. 55-68.
  • Ramcharran, H. (1999), “The Determinants Of Secondary Market Prices for Devoloping Country Loans: The Impact of The Country Risk”, Global Finance Journal, 10, ss. 173-186.
  • Shareef, R. ve Hoti, S. (2005), “Small Island Tourism Economies and Country Risk Ratings”, Mathematics and Computers in Simulation, 68, ss.557- 570.
  • Sanjo, Y. (2012), “Country Risk, Country Size and Tax Competition for Foreign Direct Investment”, International Review of Economics and Finance, 21, ss. 292-301.
  • Shapiro, A. C. (1985), “Currency Risk and Country Risk in International Banking”, The Journal Of Finance, XL(3), ss. 881-891.
  • Rodrik, D. ve Velasco, A. (1999), “Short-Term Capital Flows”, ABCDE Conference Washington: World Bank, ss. 1-44.
  • Verbeník, M., Horváth, J. ve Gazda, V. (2011), “Country Risk in The New EU Member States: A Country Beta Approach”, International Research Journal of Finance and Economics, 80, ss. 148-157.
  • Verma, R. ve Soydemir, G. (2006), “Modeling Country Risk in Latin America: A Country Beta Approach”, Global Finance Journal, 17, ss. 192-213.
  • Virk, N. S. (2012), “Stock Returns and Macro Risks: Evidence from Finland”, Research in International Business and Finance, 26, ss. 47-66.
  • Yapraklı, S. ve Güngör, B. (2007), “Ülke Riskinin Hisse Senedi Fiyatlarına Etkisi: İMKB 100 Endeksi Üzerine Bir Araştırma”, Ankara Üniversitesi Siyasal Bilgiler Fakültesi Dergisi, 62(2), ss. 200-218.
  • Yıldıran, M. (2010), “Yabancı Sermaye Yatırımlarının Finansal Risk Unsurlarına Bağlılığının Analizi: Uluslararası Karşılaştırmalar”, Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi, 11(2), ss. 1-20.
  • Ek 1: ICRG Tarafından Risk Primlerinin Hesaplanmasında Kullanılan Öğeler Ekonomik Risk Finansal Risk Politik Risk
  • Kişi Başına GSYİH
  • Reel Yıllık GSYİH Büyüme Oranı
  • Yıllık Enflasyon Oranı
  • Bütçe Dengesi/GSYİH 5. Cari Hesap Dengesi/GSYİH 1. Dış Borçlar/GSYİH 2. Dış Borç Servisi/İhracat
  • Cari Hesap/İhracat
  • İthalata Ödenen Net Likidite 5. Döviz Kuru İstikrarı
  • Hükümet İstikrarı
  • Sosyoekonomik Şartlar 3. Yatırım Profili 4. İçsel Çatışmalar
  • Dışsal Çatışmalar 6. Rüşvet 7. Askeri Kanadın Siyasetteki Rolü
  • Dinsel Gerilimler 9. Kanun ve Düzen
  • Etnik Gerilimler
  • Demokratik Hesap Verilebilirlik
  • Bürokrasi Kalitesi
  • Ek 2: Serilerin Tanımlayıcı İstatistikleri Seriler
  • Maks. Min. Std. Sapma Çarpıklık Basıklık Jarque-Bera (Prob) 5.56 (0.06) 13.62 (0.00)
  • 6035 (0.00) 2.42 (0.29) logPRP 4.02 3.37 0.15 0.07 2.43

ÜLKE RİSKİNİN YABANCI PORTFÖY YATIRIMLARI ÜZERİNDEKİ ETKİSİ

Yıl 2015, Cilt: 29 Sayı: 4, 0 - , 21.10.2015

Emine Kaya

Öz

Özet: Bu çalışmanın amacı ekonomik, finansal ve politik riskleri kapsayan ülke riskinin yabancı portföy yatırımları üzerindeki etkisini tespit etmektir. 1997:1-2010:12 dönemini kapsayan çalışmada, yabancı portföy yatırımları (YPY), finansal risk, ekonomik risk ve politik risk primi değişkenleri kullanılmıştır. Johansen-Jeselius eş-bütünleşme testleri finansal risk, politik risk ve ekonomik risk ile YPY arasında uzun dönemli ilişki olduğunu; bununla birlikte Granger nedensellik testleri ise finansal riskten YPY’ye, YPY’den politik riske nedensellik olduğunu ve ekonomik risk ile YPY arasında nedensellik mevcut olmadığını göstermektedir. Yapılan regresyon tahminleri finansal riskin YPY’yi olumlu yönde, politik riskin YPY’yi olumsuz yönde etkilediğini, ekonomik riskin ise YPY’yi istatistikî olarak anlamlı düzeyde etkilemediğini işaret etmektedir.

Anahtar Kelimeler: Ekonomik Risk, Finansal Risk, Politik Risk, Yabancı Portföy Yatırımları.

Anahtar Kelimeler

Ekonomik Risk Finansal Risk Politik Risk Yabancı

Kaynakça

  • Başoğlu, U. (2000), “Finansal Serbestleşme ve Uluslararası Portföy Yatırımları”, Balıkesir Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 3(4), ss. 88-99.
  • Beaulie, M. C., Cosset, J. C. ve Essaddam, N. (2005), “The Impact of Political Risk on The Volatility of Stock Returns: The Case of Canada”, Journal of International Business Studies, 36, ss. 701-718.
  • Bilson, C. M., Brailsford, T. J. ve Hooper, V. C. (2002), “The Explanatory Power of Political Risk in Emerging Markets”, International Review of Financial Analysis, 11, ss. 1-27.
  • Brink, N. ve Viviers, W. (2003), “Obstacles in Attracting Increased Portfolio Investment into Southern Africa”, Development Southern Africa, 20(2), ss. 213-236.
  • Cherian, J. A. ve Perotti, E. (2001), “Option Pricing and Foreign Investment under Political Risk”, Journal of International Economics, 55, ss. 359- 377.
  • Clark, E. ve Kassimatis, K. (2004), “Country Financial Risk and Stock Market Performance: The Case of Latin America”, Journal of Economics and Business, 56, ss. 21-41.
  • Click, R. W. (2005), “Financial and Political Risks in US Direct Foreign Investmet”, Journal of International Business Studies, 36, ss. 559-575.
  • Emirkadı, Ö. (2005), “Gelişmekte Olan Ülkeler ve Parasal Kriz Teorileri Üzerine Bazı Değerlendirmeler”, Sosyo Ekonomi, 1(2), ss. 35-62.
  • Erb, C. B., Harvey, C. R. ve Tadas, E. V. (1996), “Political Risk, Economic Risk And Financial Risk”, Financial Analysts Journal, 52(6), ss, 29- 46.
  • Ferson, W. E. ve Harvey, C. R. (1991), “The Variation of Economic Risk Premiums”, Journal of Political Economy, 99(2), ss. 385-413.
  • Goldberg, C. S. ve Veitch, J. M. (2010), “Country Risk and Financial Integration—A Case Study of South Africa”, Research in International Business and Finance, 24, ss 138-145.
  • Hassan, M. K., Maroney, N. C. ve Telfah, A. (2003), “Country Risk And Stock Market Volatility, Predictability and Diversification in The Middle East and Africa”, Economic Systems, 27, ss. 63-82.
  • Jıménez, A. (2011), “Political Risk as a Determinant of Southern Europen FDI in Neighboring Devoloping Countries”, Emerging Markets, Finance and Trade, 47(4), ss. 59.
  • Karolyi, G. A. ve Sanders, A. B. (1998), “The Variation of Economic Risk Premiums in Real Estate Returns”, Journal of Real Estate Finance and Economics, 17(3), ss. 245-262.
  • Khattab, A. A., Anchor, J. R. ve Davies, E. M. M. (2008), “The Institutionalisation of Political Risk Assessment (IPRA) in Jordanian International Firms”, International Business Review, 17, ss. 688-702.
  • Le, Q. V. ve Paul, J. Z. (2006), “Political Risk and Capital Flight”, Journal of International Money and Finance, 25, ss. 308-329.
  • Nordal, K. B. (2001), “Country Risk, Country Risk Indices And Valuation of FDI: A Real Options Approach”, Emerging Markets Review, 2, ss. 197-217.
  • Oetzel, J. (2005), “Smaller May Be Beautiful But Is It more Risky? Assessing and Managing Political and Economic Risk in Costa Rica”, International Business Review, 14, ss. 765-790.
  • Palacios, A. ve Griffin, T. (2011), “Country Risks and FDI: Empirical Evidence from Latin American Countries”, Journal of International Business Research, 10(1), ss. 9-25.
  • Quer, D., Claver, E. ve Rienda, L. (2011) “Political Risk, Cultural Distance and Outward Foreign Direct Investment: Empirical Evidence from Large Chinese Firms”, Science+Business Media, 7, ss. 47-92.
  • Rajan, M. ve Friedman, J. (1997),“An Examination of The Impact of Country Risk on The International Portfolio Selection Decision”, Global Finance Journal, 8(1), ss. 55-68.
  • Ramcharran, H. (1999), “The Determinants Of Secondary Market Prices for Devoloping Country Loans: The Impact of The Country Risk”, Global Finance Journal, 10, ss. 173-186.
  • Shareef, R. ve Hoti, S. (2005), “Small Island Tourism Economies and Country Risk Ratings”, Mathematics and Computers in Simulation, 68, ss.557- 570.
  • Sanjo, Y. (2012), “Country Risk, Country Size and Tax Competition for Foreign Direct Investment”, International Review of Economics and Finance, 21, ss. 292-301.
  • Shapiro, A. C. (1985), “Currency Risk and Country Risk in International Banking”, The Journal Of Finance, XL(3), ss. 881-891.
  • Rodrik, D. ve Velasco, A. (1999), “Short-Term Capital Flows”, ABCDE Conference Washington: World Bank, ss. 1-44.
  • Verbeník, M., Horváth, J. ve Gazda, V. (2011), “Country Risk in The New EU Member States: A Country Beta Approach”, International Research Journal of Finance and Economics, 80, ss. 148-157.
  • Verma, R. ve Soydemir, G. (2006), “Modeling Country Risk in Latin America: A Country Beta Approach”, Global Finance Journal, 17, ss. 192-213.
  • Virk, N. S. (2012), “Stock Returns and Macro Risks: Evidence from Finland”, Research in International Business and Finance, 26, ss. 47-66.
  • Yapraklı, S. ve Güngör, B. (2007), “Ülke Riskinin Hisse Senedi Fiyatlarına Etkisi: İMKB 100 Endeksi Üzerine Bir Araştırma”, Ankara Üniversitesi Siyasal Bilgiler Fakültesi Dergisi, 62(2), ss. 200-218.
  • Yıldıran, M. (2010), “Yabancı Sermaye Yatırımlarının Finansal Risk Unsurlarına Bağlılığının Analizi: Uluslararası Karşılaştırmalar”, Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi, 11(2), ss. 1-20.
  • Ek 1: ICRG Tarafından Risk Primlerinin Hesaplanmasında Kullanılan Öğeler Ekonomik Risk Finansal Risk Politik Risk
  • Kişi Başına GSYİH
  • Reel Yıllık GSYİH Büyüme Oranı
  • Yıllık Enflasyon Oranı
  • Bütçe Dengesi/GSYİH 5. Cari Hesap Dengesi/GSYİH 1. Dış Borçlar/GSYİH 2. Dış Borç Servisi/İhracat
  • Cari Hesap/İhracat
  • İthalata Ödenen Net Likidite 5. Döviz Kuru İstikrarı
  • Hükümet İstikrarı
  • Sosyoekonomik Şartlar 3. Yatırım Profili 4. İçsel Çatışmalar
  • Dışsal Çatışmalar 6. Rüşvet 7. Askeri Kanadın Siyasetteki Rolü
  • Dinsel Gerilimler 9. Kanun ve Düzen
  • Etnik Gerilimler
  • Demokratik Hesap Verilebilirlik
  • Bürokrasi Kalitesi
  • Ek 2: Serilerin Tanımlayıcı İstatistikleri Seriler
  • Maks. Min. Std. Sapma Çarpıklık Basıklık Jarque-Bera (Prob) 5.56 (0.06) 13.62 (0.00)
  • 6035 (0.00) 2.42 (0.29) logPRP 4.02 3.37 0.15 0.07 2.43
Toplam 48 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Emine Kaya

Yayımlanma Tarihi 21 Ekim 2015
Yayımlandığı Sayı Yıl 2015 Cilt: 29 Sayı: 4

Kaynak Göster

APA Kaya, E. (2015). ÜLKE RİSKİNİN YABANCI PORTFÖY YATIRIMLARI ÜZERİNDEKİ ETKİSİ. Atatürk Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 29(4).

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