THE IMPACT OF BIST 30 INDEX PERFORMANCE ON FOREIGN PORTFOLIO INVESTMENT IN TURKİYE

Cem Kartal; Mürüvet Acar Karaboğa; Zafer Özdil

Makale detayları

THE IMPACT OF BIST 30 INDEX PERFORMANCE ON FOREIGN PORTFOLIO INVESTMENT IN TURKİYE

Yazarlar:

Cem Kartal | Mürüvet Acar Karaboğa | Zafer Özdil

Yayıncı:

Anadolu University

Ana Başlıklar:

Econometrics (Other) | Capital Market | International Finance

Dergi:

Anadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.26 Issue 2, pp.454-470

Belge Tipi:

Makale

Yayın Tarihi:

6/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001351766

pISSN:

2687-184X

Anahtar kelimeler:

Özet:

 Stock market indices, which provide an overview of the market to facilitate investors decision-making, are intertwined with stocks worldwide. An index collects data from various companies across industries. This data creates a chart that helps investors compare current price levels with past prices to calculate market performance. Investors use these charts as a primary tool to track and manage their investment portfolios. It is also known that indices consist of many stocks and are diversified across various sectors. This diversification helps reduce overall portfolio risk by balancing losses in one stock with gains in another. The widespread use of market indices in the investment management emphasizes their deep integration into financial decision-making. Therefore, the study aims to investigate the impact of Borsa Istanbul 30 BIST 30 index performance on Foreign Portfolio Investment FPI. The study also examines whether there is causality between the two variables. For this purpose, monthly data for BIST 30 and FPI, covering the period of January 2012- August 2021, were used. To examine the effect of the BIST 30 index on FPI, the VAR 2 model Granger causality test was studied. To determine the source of changes in BIST 30 and FPI variables, Cholesky Variance decomposition was performed on the VAR 2 model. Based on the Granger causality test results, it was determined that there is a bidirectional causality between the BIST30 index and FPI.

 Stock market indices, which provide an overview of the market to facilitate investors decision-making, are intertwined with stocks worldwide. An index collects data from various companies across industries. This data creates a chart that helps investors compare current price levels with past prices to calculate market performance. Investors use these charts as a primary tool to track and manage their investment portfolios. It is also known that indices consist of many stocks and are diversified across various sectors. This diversification helps reduce overall portfolio risk by balancing losses in one stock with gains in another. The widespread use of market indices in the investment management emphasizes their deep integration into financial decision-making. Therefore, the study aims to investigate the impact of Borsa Istanbul 30 BIST 30 index performance on Foreign Portfolio Investment FPI. The study also examines whether there is causality between the two variables. For this purpose, monthly data for BIST 30 and FPI, covering the period of January 2012- August 2021, were used. To examine the effect of the BIST 30 index on FPI, the VAR 2 model Granger causality test was studied. To determine the source of changes in BIST 30 and FPI variables, Cholesky Variance decomposition was performed on the VAR 2 model. Based on the Granger causality test results, it was determined that there is a bidirectional causality between the BIST30 index and FPI.

 Stock market indices, which provide an overview of the market to facilitate investors decision-making, are intertwined with stocks worldwide. An index collects data from various companies across industries. This data creates a chart that helps investors compare current price levels with past prices to calculate market performance. Investors use these charts as a primary tool to track and manage their investment portfolios. It is also known that indices consist of many stocks and are diversified across various sectors. This diversification helps reduce overall portfolio risk by balancing losses in one stock with gains in another. The widespread use of market indices in the investment management emphasizes their deep integration into financial decision-making. Therefore, the study aims to investigate the impact of Borsa Istanbul 30 BIST 30 index performance on Foreign Portfolio Investment FPI. The study also examines whether there is causality between the two variables. For this purpose, monthly data for BIST 30 and FPI, covering the period of January 2012- August 2021, were used. To examine the effect of the BIST 30 index on FPI, the VAR 2 model Granger causality test was studied. To determine the source of changes in BIST 30 and FPI variables, Cholesky Variance decomposition was performed on the VAR 2 model. Based on the Granger causality test results, it was determined that there is a bidirectional causality between the BIST30 index and FPI.

 Yatırımcıların karar vermesini kolaylaştırmak amacıyla piyasanın genel görünümünü sunan borsa endeksleri, dünyanın her yerinde hisse senetleri ile iç içedir. Bir endeks, endüstrilerdeki çeşitli şirketlerden veri toplar. Bu veriler, yatırımcıların piyasa performansını hesaplamak için mevcut fiyat seviyelerini geçmiş fiyatlarla karşılaştırmasına yardımcı olan bir grafik oluşturmaktadır. Yatırımcılar bu grafikleri yatırım portföylerini takip etmek ve yönetmek için birincil araç olarak kullanmaktadırlar. Ayrıca endekslerin çok sayıda hisse senedinden oluştuğu ve çeşitli sektörlere göre çeşitlendirildiği, bu çeşitlendirmenin bir hisse senedindeki kayıpların diğerindeki kazançlarla dengelenmesini sağlayarak genel portföy riskinin azaltılmasına yardımcı olduğu da bilinmektedir. Yatırım yönetimi sektöründe piyasa endekslerinin yaygın kullanımı, bunların finansal karar verme sürecine derin entegrasyonunu vurgulamaktadır. Bu nedenle çalışma Borsa İstanbul BİST 30 endeks performansının Yabancı Portföy Yatırımı YPY üzerindeki etkisini araştırmayı amaçlamaktadır. Çalışmada ayrıca iki değişken arasında nedensellik olup olmadığını da araştırılmıştır. Bu amaç kapsamında BİST 30 ve YPYye ait, Ocak 2012-Ağustos 2021 dönemine ait aylık veriler kullanılmıştır. BİST 30 endeksinin YPY üzerindeki etkisini incelemek için VAR 2 modeli Granger nedensellik testi çalışılmıştır. BİST 30 ve YPY değişkenlerinde gerçekleşen değişimlerin kaynağını belirlemek amacı ile, VAR 2 modeli üzerindeki Cholesky Varyans ayrıştırması yapılmıştır. Granger nedensellik testi sonuçlarına dayanarak, BİST 30 endeksi ve YPY arasında çift yönlü nedensellik olduğu bulguları tespit edilmiştir.

Makale detayları

THE IMPACT OF BIST 30 INDEX PERFORMANCE ON FOREIGN PORTFOLIO INVESTMENT IN TURKİYE

Yazarlar:

Cem Kartal | Mürüvet Acar Karaboğa | Zafer Özdil

Yayıncı:

Anadolu University

Ana Başlıklar:

Econometrics (Other) | Capital Market | International Finance

Dergi:

Anadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.26 Issue 2, pp.454-470

Belge Tipi:

Makale

Yayın Tarihi:

6/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001351766

pISSN:

2687-184X

BIST 30 Index

Foreign Portfolio Investment (FPI)

Var AnalysisBIST 30 Endeksi

Yabancı Portföy Yatırımı (YPY)

Var Analizi

Sayı

Makale detayları

THE IMPACT OF BIST 30 INDEX PERFORMANCE ON FOREIGN PORTFOLIO INVESTMENT IN TURKİYE

Yazarlar: Cem Kartal | Mürüvet Acar Karaboğa | Zafer Özdil

Yayıncı: Anadolu University

Ana Başlıklar: Econometrics (Other) | Capital Market | International Finance

Dergi: Anadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.26 Issue 2, pp.454-470

Belge Tipi: Makale

Yayın Tarihi: 6/2025

Belge Dili: Türkçe

Document ID (Org No.): 2001351766

pISSN: 2687-184X

BIST 30 Index

Foreign Portfolio Investment (FPI)

Var AnalysisBIST 30 Endeksi

Yabancı Portföy Yatırımı (YPY)

Var Analizi

Sayı

Yazarlar:

Cem Kartal | Mürüvet Acar Karaboğa | Zafer Özdil

Yayıncı:

Anadolu University

Ana Başlıklar:

Econometrics (Other) | Capital Market | International Finance

Dergi:

Anadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.26 Issue 2, pp.454-470

Belge Tipi:

Makale

Yayın Tarihi:

6/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001351766

pISSN:

2687-184X