Determinants of Foreign Investor Ratios in Türkiye: A VAR-Based Analysis Across Stock Market Indices

Cansu Bakır Erdem; Hicabi Ersoy; Savaş Gayaker

Makale detayları

Determinants of Foreign Investor Ratios in Türkiye: A VAR-Based Analysis Across Stock Market Indices

Yazarlar:

Cansu Bakır Erdem | Hicabi Ersoy | Savaş Gayaker

Yayıncı:

Ankara Hacı Bayram Veli University

Ana Başlıklar:

Finans

Dergi:

Ankara Hacı Bayram Veli Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.27 Issue 2, pp.743-780

Belge Tipi:

Makale

Yayın Tarihi:

8/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001356276

pISSN:

2667-405X

Anahtar kelimeler:

Özet:

 Foreign portfolio investments play a critical role in deepening financial markets, increasing liquidity, and ensuring economic stability in developing countries. This study analyzes the macroeconomic and financial determinants of foreign investor presence in companies listed on the Borsa Istanbul BIST30, BIST50, and BIST100 using the Vector Autoregressive VAR model over the period 2009:012024:06. A total of nine VAR models were estimated based on three different dependent variables representing foreign investor presence. Based on model performance criteria, the variable representing the ratio of foreign investors to total investors was identified as the most appropriate, and the analysis focused on this model. The empirical findings indicate that, in BIST30 and BIST50 companies, the foreign investor ratio responds significantly to exchange rates, credit default swap CDS spreads, and stock index movements. However, for BIST100 companies, Turkeys CDS emerges as the most dominant explanatory variable compared to other factors. This implies that foreign investors in smaller-scale firms included in BIST100 are more sensitive to macro-financial risks in the Turkish economy. Moreover, variance decomposition results show that stock market performance and exchange rates significantly influence the foreign investor ratio across all index groups. These findings reveal that foreign investor behavior varies across market segments, and that the influence of risk indicators like CDS differs depending on the firm scale. Consequently, the study suggests that structural reforms aimed at reducing country risk are essential to sustain a favorable investment climate in emerging markets like Türkiye.

 Foreign portfolio investments play a critical role in deepening financial markets, increasing liquidity, and ensuring economic stability in developing countries. This study analyzes the macroeconomic and financial determinants of foreign investor presence in companies listed on the Borsa Istanbul BIST30, BIST50, and BIST100 using the Vector Autoregressive VAR model over the period 2009:012024:06. A total of nine VAR models were estimated based on three different dependent variables representing foreign investor presence. Based on model performance criteria, the variable representing the ratio of foreign investors to total investors was identified as the most appropriate, and the analysis focused on this model. The empirical findings indicate that, in BIST30 and BIST50 companies, the foreign investor ratio responds significantly to exchange rates, credit default swap CDS spreads, and stock index movements. However, for BIST100 companies, Turkeys CDS emerges as the most dominant explanatory variable compared to other factors. This implies that foreign investors in smaller-scale firms included in BIST100 are more sensitive to macro-financial risks in the Turkish economy. Moreover, variance decomposition results show that stock market performance and exchange rates significantly influence the foreign investor ratio across all index groups. These findings reveal that foreign investor behavior varies across market segments, and that the influence of risk indicators like CDS differs depending on the firm scale. Consequently, the study suggests that structural reforms aimed at reducing country risk are essential to sustain a favorable investment climate in emerging markets like Türkiye.

 Foreign portfolio investments play a critical role in deepening financial markets, increasing liquidity, and ensuring economic stability in developing countries. This study analyzes the macroeconomic and financial determinants of foreign investor presence in companies listed on the Borsa Istanbul BIST30, BIST50, and BIST100 using the Vector Autoregressive VAR model over the period 2009:012024:06. A total of nine VAR models were estimated based on three different dependent variables representing foreign investor presence. Based on model performance criteria, the variable representing the ratio of foreign investors to total investors was identified as the most appropriate, and the analysis focused on this model. The empirical findings indicate that, in BIST30 and BIST50 companies, the foreign investor ratio responds significantly to exchange rates, credit default swap CDS spreads, and stock index movements. However, for BIST100 companies, Turkeys CDS emerges as the most dominant explanatory variable compared to other factors. This implies that foreign investors in smaller-scale firms included in BIST100 are more sensitive to macro-financial risks in the Turkish economy. Moreover, variance decomposition results show that stock market performance and exchange rates significantly influence the foreign investor ratio across all index groups. These findings reveal that foreign investor behavior varies across market segments, and that the influence of risk indicators like CDS differs depending on the firm scale. Consequently, the study suggests that structural reforms aimed at reducing country risk are essential to sustain a favorable investment climate in emerging markets like Türkiye.

 Yabancı portföy yatırımları, gelişmekte olan ülkelerde finansal piyasaların derinleşmesi, likiditenin artması ve ekonomik istikrarın sağlanması açısından kritik bir rol oynamaktadır. Bu çalışmada, Türkiyede Borsa İstanbulda işlem gören BIST30, BIST50 ve BIST100 şirketlerinde yabancı yatırımcı oranını etkileyen makroekonomik ve finansal faktörler, 2009:012024:06 dönemi için Vektör Otoregresif VAR modeli ile analiz edilmiştir. Çalışmada üç farklı bağımlı değişken kullanılarak toplam dokuz model tahmin edilmiştir. Model performans kriterleri dikkate alınarak en iyi sonuçları veren yabancı yatırımcı oranı değişkeni üzerinden analizler detaylandırılmıştır. Bulgular, BIST30 ve BIST50 şirketlerinde yabancı yatırımcı oranının döviz kuru, CDS primi ve borsa endeksine anlamlı tepkiler verdiğini göstermektedir. Ancak BIST100 şirketlerinde ülke risk primi CDS, diğer değişkenlere kıyasla daha baskın bir açıklayıcı değişken olarak öne çıkmaktadır. Bu durum, daha küçük ölçekli firmaların yer aldığı BIST100 grubundaki yabancı yatırımcıların, Türkiyenin makro-finansal risklerine karşı daha hassas davrandığını ortaya koymaktadır. Ayrıca, varyans ayrıştırma analizleri, tüm endeks gruplarında borsa performansı ve döviz kurunun yabancı yatırımcı oranı üzerinde etkili olduğunu göstermektedir. Elde edilen bulgular, yabancı yatırımcı davranışlarının endeks gruplarına göre farklılık arz ettiğini ve CDS gibi risk göstergelerinin etkisinin şirket segmentine göre değiştiğini ortaya koymaktadır. Bu bağlamda, yatırım ortamının sürdürülebilirliğini sağlamak için ülke riskini azaltıcı yapısal reformlara ağırlık verilmesi gerektiği sonucuna varılmıştır.

Makale detayları

Determinants of Foreign Investor Ratios in Türkiye: A VAR-Based Analysis Across Stock Market Indices

Yazarlar:

Cansu Bakır Erdem | Hicabi Ersoy | Savaş Gayaker

Yayıncı:

Ankara Hacı Bayram Veli University

Ana Başlıklar:

Finans

Dergi:

Ankara Hacı Bayram Veli Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.27 Issue 2, pp.743-780

Belge Tipi:

Makale

Yayın Tarihi:

8/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001356276

pISSN:

2667-405X

Foreign Portfolio Investment

Credit Default Swap (CDS)

Vector Autoregressive (VAR) Model

Istanbul Stock Exchange

Macroeconomic UncertaintyYabancı Portföy Yatırımı

CDS Primi

VAR Modeli

Borsa İstanbul

Makroekonomik Belirsizlik

Sayı

Makale detayları

Yazarlar: Cansu Bakır Erdem | Hicabi Ersoy | Savaş Gayaker

Yayıncı: Ankara Hacı Bayram Veli University

Ana Başlıklar: Finans

Dergi: Ankara Hacı Bayram Veli Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.27 Issue 2, pp.743-780

Belge Tipi: Makale

Yayın Tarihi: 8/2025

Belge Dili: Türkçe

Document ID (Org No.): 2001356276

pISSN: 2667-405X

Sayı

Yazarlar:

Cansu Bakır Erdem | Hicabi Ersoy | Savaş Gayaker

Yayıncı:

Ankara Hacı Bayram Veli University

Ana Başlıklar:

Finans

Dergi:

Ankara Hacı Bayram Veli Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.27 Issue 2, pp.743-780

Belge Tipi:

Makale

Yayın Tarihi:

8/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001356276

pISSN:

2667-405X