YABANCI PORTFÖY YATIRIMLARIYLA HİSSE SENEDİ FİYATLARI ARASINDAKİ İLİŞKİ: ZAMANLA DEĞİŞEN ASİMETRİK NEDENSELLİK ANALİZİ
RELATIONSHIP BETWEEN FOREIGN PORTFOLIO INVESTMENTS AND SHARE PRICES: TIME VARYING ASYMMETRIC CAUSALITY ANALYSIS

Summary/Abstract: Foreign portfolio investments are one of the important factors in determining the general price level for stock markets. This study aims to analyze the causal relationship between the general price levels for the Borsa Istanbul (BIST 100) Index and Participation Index (KTLM 30) and foreign portfolio investments. Firstly, depending on the assumption that investors would react differently to positive and negative shocks, the Hatemi-J (2012) asymmetric causality analysis is performed. Later on, to determine whether or not the obtained causal relationships change over time, a time-varying asymmetric causality analysis is conducted. In the study covering the period January 2011-October 2019, 106 monthly data are included in the analysis. The obtained findings revealed the existence of a unilateral causal relationship regarding negative shocks running from BIST 100 and KTLM 30 indexes towards foreign portfolio investments, thus decreases in both indexes would lead to a decrease in foreign capital investments. Furthermore, the causal relationship obtained between both indexes and foreign portfolio investments is seen to be sustainable.

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