EFFECT OF FOREIGN INVESTOR TRANSACTIONS ON STOCK MARKET RETURNS

BOLAMAN AVCI, ÖZGE

EFFECT OF FOREIGN INVESTOR TRANSACTIONS ON STOCK MARKET RETURNS

ÖZGE BOLAMAN AVCI (Pamukkale Üniversitesi, Çalışma Ekonomisi ve Endüstriyel İlişkiler Bölümü, Denizli, Türkiye)

Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi

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Yıl: 2015 Cilt: 33 Sayı: 4 Sayfa Aralığı: 29 - 38 Metin Dili: Türkçe İndeks Tarihi: 29-07-2022

EFFECT OF FOREIGN INVESTOR TRANSACTIONS ON STOCK MARKET RETURNS

Öz:

Literatürde yabancı yatırımcıların işlemleri ile hisse senedi piyasası getirileri arasındaki ilişkiyi inceleyen birçok çalışma olmasına rağmen, bu çalışmaların çoğu gelişmiş piyasaları incelemektedir. Gelişmekte olan piyasalar açısından literatürde bir açık vardır. Bu çalışma söz konusu ilişkiyi finansal krizlerin etkisini de dikkate alarak inceleyerek var olan literatüre katkıda bulunmayı amaçlamaktadır. İncelenen dönemin finansal kriz dönemini içermesi nedeniyle çalışmada standart testlerin yanı sıra yapısal kırılmaları dikkate alan testlerde uygulanmıştır. Analizlerin sonucunda değişkenler arasında uzun dönemli bir ilişki bulunmuştur. Beklentiye paralel olarak finansal kriz döneminde kırılmalar gözlemlenmiştir. Nedensellik ilişkisine bakıldığında ise yabancı yatırımcı işlemlerinden borsa getirisine doğru bir ilişki tespit edilmiştir. Bu sonuç yabancı yatırımcıların işlemlerinin borsa getirilerini yönlendirme rolünü göstermesi bakımından önemlidir. Yabancı yatırımcıların işlemlerinin borsayı yönlendirme rolü, gelişmekte olan piyasaları kırılgan hale getirmektedir.

Anahtar Kelime:

Konular: İşletme İktisat

YABANCI YATIRIMCI İŞLEMLERİNİN BORSA GETİRİLERİNE ETKİSİ

Öz:

Although there are many studies examining the relationship between foreign investor transactions and stock market returns, these studies mostly focus on developed markets. In terms of emerging markets, there is a gap in the literature. This study which also considers effect of financial crisis aims to contribute existing literature by investigating the relationship between foreign investor transactions and BIST returns. Since data period includes a financial crisis, not only conventional tests but also tests that take structural breaks into account are also implemented. At the end of the analyses, a long run relationship is detected between variables. Structural breaks are found in crisis period which is in consistence with expectations. In terms of causality relationship a unidirectional relationship is found from foreign investor transactions to stock market returns. That result is essential since it indicates directing role of foreign investor transactions on stock market returns. Directing role of foreign investor transactions on stock markets led emerging stock markets to become fragile.

Anahtar Kelime:

Konular: İşletme İktisat

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık

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APA	BOLAMAN AVCI Ö (2015). EFFECT OF FOREIGN INVESTOR TRANSACTIONS ON STOCK MARKET RETURNS. , 29 - 38.
Chicago	BOLAMAN AVCI ÖZGE EFFECT OF FOREIGN INVESTOR TRANSACTIONS ON STOCK MARKET RETURNS. (2015): 29 - 38.
MLA	BOLAMAN AVCI ÖZGE EFFECT OF FOREIGN INVESTOR TRANSACTIONS ON STOCK MARKET RETURNS. , 2015, ss.29 - 38.
AMA	BOLAMAN AVCI Ö EFFECT OF FOREIGN INVESTOR TRANSACTIONS ON STOCK MARKET RETURNS. . 2015; 29 - 38.
Vancouver	BOLAMAN AVCI Ö EFFECT OF FOREIGN INVESTOR TRANSACTIONS ON STOCK MARKET RETURNS. . 2015; 29 - 38.
IEEE	BOLAMAN AVCI Ö "EFFECT OF FOREIGN INVESTOR TRANSACTIONS ON STOCK MARKET RETURNS." , ss.29 - 38, 2015.
ISNAD	BOLAMAN AVCI, ÖZGE. "EFFECT OF FOREIGN INVESTOR TRANSACTIONS ON STOCK MARKET RETURNS". (2015), 29-38.

APA	BOLAMAN AVCI Ö (2015). EFFECT OF FOREIGN INVESTOR TRANSACTIONS ON STOCK MARKET RETURNS. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 33(4), 29 - 38.
Chicago	BOLAMAN AVCI ÖZGE EFFECT OF FOREIGN INVESTOR TRANSACTIONS ON STOCK MARKET RETURNS. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 33, no.4 (2015): 29 - 38.
MLA	BOLAMAN AVCI ÖZGE EFFECT OF FOREIGN INVESTOR TRANSACTIONS ON STOCK MARKET RETURNS. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, vol.33, no.4, 2015, ss.29 - 38.
AMA	BOLAMAN AVCI Ö EFFECT OF FOREIGN INVESTOR TRANSACTIONS ON STOCK MARKET RETURNS. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2015; 33(4): 29 - 38.
Vancouver	BOLAMAN AVCI Ö EFFECT OF FOREIGN INVESTOR TRANSACTIONS ON STOCK MARKET RETURNS. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2015; 33(4): 29 - 38.
IEEE	BOLAMAN AVCI Ö "EFFECT OF FOREIGN INVESTOR TRANSACTIONS ON STOCK MARKET RETURNS." Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 33, ss.29 - 38, 2015.
ISNAD	BOLAMAN AVCI, ÖZGE. "EFFECT OF FOREIGN INVESTOR TRANSACTIONS ON STOCK MARKET RETURNS". Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 33/4 (2015), 29-38.