An empirical study on the relationship of capital direct investments, portfolio investments, dollar exchange rates with BIST 100 index: The case of Turkey

Yeter Aydın; Barış Aksoy

Makale detayları

An empirical study on the relationship of capital direct investments, portfolio investments, dollar exchange rates with BIST 100 index: The case of Turkey

Yazarlar:

Yeter Aydın | Barış Aksoy

Yayıncı:

Nigde Omer Halisdemir University

Ana Başlıklar:

Finans

Dergi:

Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.16 Issue 2, pp.499-512

Belge Tipi:

Makale

Yayın Tarihi:

4/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001289143

pISSN:

2564-6931

Anahtar kelimeler:

Özet:

 The purpose of this study is to expose the long-term relationship between the capital direct investments in Turkey and BIST 100 index. The importance of foreign direct investment in terms of economy is recognized by many countries. Developed and developingcountries are working to attract foreign direct investments to their countries. With this study, it is aimed to reveal the importance of foreign direct investments in terms of stock markets To this end, use has been made of the data regarding BIST100, foreign capital direct investments, portfolio investments, dollar exchange trimester rates in the period between April 2005 and April 2021, published in the database of the Turkish Republic Central Bank. The level of statistical significance of this relationship is 5. Based on the findings from ARDL bound testing, it has been concluded that there exists a long-term relationship not only between BIST 100 index and foreign capital direct investments but also between dollar exchange rate andthat the statistical significance of this relationship is 5. However, the relationship between foreign portfolio investments and BIST100 index has not proven statistically significant. On the other hand, it has been observed that, in case of any deviation in its long-term relation for some reason or other, the series will return to their long-term relations after about two trimesters. It has been concluded that it has been concluded that, based on Toda Yamamoto frequency domain causality analysis, there is a unidirectional causality relationship, from BIST100 to dollar exchange rate and from dollar exchange rate to foreign capital direct investments. Causality relationship has not been observed between the other variables. In the long run, foreign capital direct investments affect BIST100 index positively and significantly. In line with these findings, the long-term capital flows provided through foreign capital investments can be said to affect BIST100 index positively.In the literature studies, it has been concluded that there is no relationship between foreign direct investment and BIST100 index Çetenak and Doğukanlı, 2006; Boydaş and Polat, 2018. However, in this study, it is revealed that there is a long-term relationship between foreign direct investment and BIST100 index.

 The purpose of this study is to expose the long-term relationship between the capital direct investments in Turkey and BIST 100 index. The importance of foreign direct investment in terms of economy is recognized by many countries. Developed and developingcountries are working to attract foreign direct investments to their countries. With this study, it is aimed to reveal the importance of foreign direct investments in terms of stock markets To this end, use has been made of the data regarding BIST100, foreign capital direct investments, portfolio investments, dollar exchange trimester rates in the period between April 2005 and April 2021, published in the database of the Turkish Republic Central Bank. The level of statistical significance of this relationship is 5. Based on the findings from ARDL bound testing, it has been concluded that there exists a long-term relationship not only between BIST 100 index and foreign capital direct investments but also between dollar exchange rate andthat the statistical significance of this relationship is 5. However, the relationship between foreign portfolio investments and BIST100 index has not proven statistically significant. On the other hand, it has been observed that, in case of any deviation in its long-term relation for some reason or other, the series will return to their long-term relations after about two trimesters. It has been concluded that it has been concluded that, based on Toda Yamamoto frequency domain causality analysis, there is a unidirectional causality relationship, from BIST100 to dollar exchange rate and from dollar exchange rate to foreign capital direct investments. Causality relationship has not been observed between the other variables. In the long run, foreign capital direct investments affect BIST100 index positively and significantly. In line with these findings, the long-term capital flows provided through foreign capital investments can be said to affect BIST100 index positively.In the literature studies, it has been concluded that there is no relationship between foreign direct investment and BIST100 index Çetenak and Doğukanlı, 2006; Boydaş and Polat, 2018. However, in this study, it is revealed that there is a long-term relationship between foreign direct investment and BIST100 index.

 The purpose of this study is to expose the long-term relationship between the capital direct investments in Turkey and BIST 100 index. The importance of foreign direct investment in terms of economy is recognized by many countries. Developed and developingcountries are working to attract foreign direct investments to their countries. With this study, it is aimed to reveal the importance of foreign direct investments in terms of stock markets To this end, use has been made of the data regarding BIST100, foreign capital direct investments, portfolio investments, dollar exchange trimester rates in the period between April 2005 and April 2021, published in the database of the Turkish Republic Central Bank. The level of statistical significance of this relationship is 5. Based on the findings from ARDL bound testing, it has been concluded that there exists a long-term relationship not only between BIST 100 index and foreign capital direct investments but also between dollar exchange rate andthat the statistical significance of this relationship is 5. However, the relationship between foreign portfolio investments and BIST100 index has not proven statistically significant. On the other hand, it has been observed that, in case of any deviation in its long-term relation for some reason or other, the series will return to their long-term relations after about two trimesters. It has been concluded that it has been concluded that, based on Toda Yamamoto frequency domain causality analysis, there is a unidirectional causality relationship, from BIST100 to dollar exchange rate and from dollar exchange rate to foreign capital direct investments. Causality relationship has not been observed between the other variables. In the long run, foreign capital direct investments affect BIST100 index positively and significantly. In line with these findings, the long-term capital flows provided through foreign capital investments can be said to affect BIST100 index positively.In the literature studies, it has been concluded that there is no relationship between foreign direct investment and BIST100 index Çetenak and Doğukanlı, 2006; Boydaş and Polat, 2018. However, in this study, it is revealed that there is a long-term relationship between foreign direct investment and BIST100 index.

 Bu çalışmanın amacı, Türkiyede doğrudan yabancı sermaye yatırımları ile BİST100 endeksi arasındaki uzun dönem ilişkisini ortaya koymaktır.Doğrudan yabancı sermaye yatırımlarının ekonomi açısından önemi birçok ülke tarafından kabul görmektedir. Gelişmiş ve gelişmekte olan ülkeler doğrudan yabancı sermaye yatırımlarını ülkelerine çekmek için çalışmalar yapmaktadırlar. Bu çalışma ile doğrudan yabancı sermaye yatırımlarının hisse senedi piyasaları açısındanönemini ortaya koymak amaçlanmıştır. Bu amaçla 20054-20214 dönemleri arasındaki Türkiye Cumhuriyet Merkez Bankası veri tabanında yayınlanan BİST100, doğrudan yabancı sermaye yatırımları, dolar kuru çeyrek dönem verileri kullanılmıştır.Verilerinaynı seviyede durağan olmamalarınedeniyle, farklı seviyelerde durağan olan zaman serileri arasındaki uzun dönem ilişkisini analiz eden ARDL yöntemi kullanılmıştır.ARDL sınır testi bulgularına göre, BİST100 endeksi ile doğrudan yabancı sermaye yatırımları ve dolar kuru arasında uzun dönemli ilişki olduğu ve bu ilişkinin, istatiksel olarak 5anlamlılık düzeyinde, anlamlı olduğu sonucuna ulaşılmıştır. Ancak yabancı portföy yatırımları ile BİST100 endeksi arasındaki ilişki anlamlı çıkmamıştır. Diğer taraftan uzun dönem ilişkisinde herhangi bir nedenden dolayı sapma yaşanırsa, serilerin yaklaşık iki çeyrek dönem sonra, tekrardan uzun dönem ilişkisine döneceği gözlemlenmiştir. Toda -Yamamoto nedensellik analizi sonuçlarına göre, BİST100 den dolar kuruna ve dolar kurundan doğrudan yabancı sermaye yatırımlarına doğru tek yönlü nedensellik ilişkisi olduğu sonucuna ulaşılmıştır. Diğer değişkenler arasında nedensellik ilişkisi bulunamamıştır. Uzun dönemde doğrudan yabancı sermaye yatırımları BİST100 endeksini pozitif yönde anlamlı olarak etkilemektedir.Literatür çalışmalarında doğrudan yabancı sermaye yatırımlarıile BİST100 endeksi arasında ilişki olmadığı sonucuna ulaşılmıştır Çetenak ve Doğukanlı, 2006; Boydaş ve Polat, 2018. Ancakbu çalışmadadoğrudan yabancı sermaye yatırımları ile BİST100 endeksi arasında uzun dönemliilişki olduğu ortaya konulmuştur.

Makale detayları

An empirical study on the relationship of capital direct investments, portfolio investments, dollar exchange rates with BIST 100 index: The case of Turkey

Yazarlar:

Yeter Aydın | Barış Aksoy

Yayıncı:

Nigde Omer Halisdemir University

Ana Başlıklar:

Finans

Dergi:

Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.16 Issue 2, pp.499-512

Belge Tipi:

Makale

Yayın Tarihi:

4/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001289143

pISSN:

2564-6931

BIST100 index

Foreign Capital Direct Investments

Portfolio Investments

Dollar Exchange Rate

ARDL Method

Toda-YamamotoDoğrudan Yabancı Sermaye Yatırımları

Portföy Yatırımları

Dolar Kuru

BİST100 Endeksi

Toda-Yamamoto

ARDL Yöntemi

Sayı

Makale detayları

Yazarlar: Yeter Aydın | Barış Aksoy

Yayıncı: Nigde Omer Halisdemir University

Ana Başlıklar: Finans

Dergi: Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.16 Issue 2, pp.499-512

Belge Tipi: Makale

Yayın Tarihi: 4/2023

Belge Dili: Türkçe

Document ID (Org No.): 2001289143

pISSN: 2564-6931

Sayı

Yazarlar:

Yeter Aydın | Barış Aksoy

Yayıncı:

Nigde Omer Halisdemir University

Ana Başlıklar:

Finans

Dergi:

Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.16 Issue 2, pp.499-512

Belge Tipi:

Makale

Yayın Tarihi:

4/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001289143

pISSN:

2564-6931