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Liquidity, Country Credit Risk and Exchange Rate Effects on Portfolio Values of Foreign Investors

Year 2025, Volume: 27 Issue: 1, 194 - 207, 30.06.2025

Aynur Süsay Alkan

Abstract

The purpose of this research is to investigate the factors affecting the value of foreign investors’ equity investments as a result of the liberalization of the Borsa Istanbul equity market, within the scope of liquidity, exchange rates, and country risk premium (CDS). In the studies, the effects of macroeconomic factors on the portfolio values of foreign investors in the Borsa Istanbul equity market were examined. The use of the liquidity variable in this study constitutes its originality. The study consists of weekly data from the period of 11.09.2020 to 19.04.2024. In the study, the liquidity variable was calculated using the Amihud (2002) illiquidity measure, and a bounds test based on Autoregressive Distributed Lag (ARDL) models was applied to all variables. As a result of the analysis, it was determined that liquidity, credit risk, and exchange rates affect foreign investors’ equity investments. According to the findings, the illiquidity measure is the most important factor in foreign investors’ equity investments and has a negative effect. The results indicate that market liquidity is an important factor, and markets with higher liquidity tend to attract more investment. It was also found that while the exchange rate positively impacts the portfolio values of foreign investors, credit risk has a negative effect.

Keywords

Liquidity Foreign Investor CDS Exchange Rate ARDL Bounds Test

References

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  • Al-Smadi, M. O. (2018). Determinants of Foreign Portfolio Investment: The Case of Jordan. Investment Management and Financial Innovations, 15(1), 328-336. http://dx.doi.org/10.21511/imfi.15(1).2018.27
  • Alkan, S. (2024). Liquidity and Market Efficiency in Borsa Istanbul. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 42(3), 371-384. https://doi.org/10.17065/huniibf.1388807
  • Amihud, Y. (2002). Illiquidity and Stock Returns: Cross-Section and Time-Series Effects. Journal of Financial Markets, 5(1), 31-56. https://doi.org/10.1016/S1386-4181(01)00024-6
  • Amihud, Y. & Mendelson, H. (1986). Asset Pricing and the Bid-Ask Spread. Journal of Financial Economics, 17(2), 223-249. https://doi.org/10.1016/0304-405X(86)90065-6
  • Aydıngülü Sakalsız, S. & Özçelik, M. (2024). The Impact of Firms’ Carbon Emissions on Financial Performance and the Role of Innovation: Evidence from Türkiye. Journal of Mehmet Akif Ersoy University Economics and Administrative Sciences Faculty, 11(2), 721-740. https://doi.org/10.30798/makuiibf.1414190
  • Bekaert, G., Harvey, C. R. & Lundblad, C. (2007). Liquidity and Expected Returns: Lessons from Emerging Markets. The Review of Financial Studies, 20(6), 1783-1831. https://doi.org/10.1093/rfs/hhm030
  • Blommestein, H., Eijffinger, S. & Qian, Z. (2016). Regime-Dependent Determinants of Euro Area Sovereign CDS Spreads. Journal of Financial Stability, 22, 10-21. https://doi.org/10.1016/j.jfs.2015.11.004
  • Bouri, E., De Boyrie, M. E. & Pavlova, I. (2017). Volatility Transmission from Commodity Markets to Sovereign CDS Spreads in Emerging and Frontier Countries. International Review of Financial Analysis, 49, 155-165. https://doi.org/10.1016/j.irfa.2016.11.001
  • Brennan, M. J., Chordia, T., Subrahmanyam, A. & Tong, Q. (2012). Sell-Order Liquidity and the Cross-Section of Expected Stock Returns. Journal of Financial Economics, 105(3), 523-541. https://doi.org/10.1016/j.jfineco.2012.04.006
  • Brown, R. L., Durbin, J. & Evans, J. M. (1975). Techniques for Testing the Constancy of Regression Relationships Over Time. Journal of the Royal Statistical Society Series B: Statistical Methodology, 37(2), 149-163. https://doi.org/10.1111/j.2517-6161.1975.tb01532.x
  • Chau, F., Han, C. & Shi, S. (2018). Dynamics and Determinants of Credit Risk Discovery: Evidence from CDS and Stock Markets. International Review of Financial Analysis, 55, 156-169. https://doi.org/10.1016/j.irfa.2017.11.004
  • Chaudhry, S. M., Ahmed, R., Shafiullah, M. & Huynh, T. L. D. (2020). The Impact of Carbon Emissions on Country Risk: Evidence from the G7 Economies. Journal of Environmental Management, 265, 110533. https://doi.org/10.1016/j.jenvman.2020.110533
  • Çiftçi, G. & Reis, Ş. G. (2020). Risk İştahı ile Piyasa Likiditesi Arasındaki Nedensellik İlişkisi. Ekonomi Politika ve Finans Araştırmaları Dergisi, 5(2), 389-403. https://doi.org/10.30784/epfad.687595
  • Çulha, A. (2006). A Structural VAR Analysis of the Determinants of Capital Flows into Turkey. Central Bank Review, 2(2), 11-35.
  • Dahlquist, M. & Robertsson, G. (2001). Direct Foreign Ownership, Institutional Investors, and Firm Characteristics. Journal of Financial Economics, 59(3), 413-440. https://doi.org/10.1016/S0304-405X(00)00092-1
  • Dahlquist, M. & Robertsson, G. (2004). A Note on Foreigners’ Trading and Price Effects Across Firms. Journal of Banking & Finance, 28(3), 615-632. https://doi.org/10.1016/S0378-4266(03)00036-0
  • Dickey, D. A. & Fuller, W. A. (1979) Distribution of the Estimators for Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association, 74(366a), 427-431. https://doi.org/10.1080/01621459.1979.10482531
  • Dickey, D. A. & Fuller, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with A Unit Root. Econometrica: Journal of the Econometric Society, 49(4), 1057-1072. https://doi.org/10.2307/1912517
  • Feng, Q., Sun, X., Liu, C. & Li, J. (2021). Spillovers between Sovereign CDS and Exchange Rate Markets: The Role of Market Fear. The North American Journal of Economics and Finance, 55, 101308. https://doi.org/10.1016/j.najef.2020.101308
  • Froot, K. A., O’connell, P. G. & Seasholes, M. S. (2001). The Portfolio Flows of International Investors. Journal of Financial Economics, 59(2), 151-193. https://doi.org/10.1016/S0304-405X(00)00084-2
  • Fu, X., Li, M. C. & Molyneux, P. (2021). Credit Default Swap Spreads: Market Conditions, Firm Performance, and the Impact of the 2007–2009 Financial Crisis. Empirical Economics, 60(5), 2203-2225. https://doi.org/10.1007/s00181-020-01852-0
  • Garg, R. & Dua, P. (2014). Foreign Portfolio Investment Flows to India: Determinants and Analysis. World Development, 59(C), 16-28. https://doi.org/10.1016/j.worlddev.2014.01.030
  • Güngör, M. (2021). Döviz Kuru, VIX Korku Endeksi ve Yabancı Portföy Yatırımları Etkileşimi. Avrupa Bilim ve Teknoloji Dergisi, (32), 1034-1042. https://doi.org/10.31590/ejosat.1044711
  • Haider, M. A., Khan, M. A., Saddique, S. & Hashmi, S. H. (2017). The Impact of Stock Market Performance on Foreign Portfolio Investment in China. International Journal of Economics and Financial Issues, 7(2), 460-468.
  • Hoang, B. T. & Mateus, C. (2024). How Does Liberalization Affect Emerging Stock Markets? Theories and Empirical Evidence. Journal of Economic Surveys, 38(3), 877-898. https://doi.org/10.1111/joes.12561
  • Hui, C. H. & Fong, T. P. W. (2015). Price Cointegration between Sovereign CDS and Currency Option Markets in the Financial Crises of 2007–2013. International Review of Economics & Finance, 40(C), 174-190. https://doi.org/10.1016/j.iref.2015.02.011
  • Kahıloğulları, A. (2018). Relationship between Credit Default Swaps, Direct Foreign Investments and Portfolio Investments: Time Series Analysis for Turkey. Prizren Social Science Journal, 2(3), 50-62.
  • Kajurova, V. (2015). The Determinants of CDS Spreads: The Case of UK Companies. Procedia Economics and Finance, 23, 1302-1307. https://doi.org/10.1016/S2212-5671(15)00433-5
  • Kang, J. K. & Stulz, R. (1997). Why is There a Home Bias? An Analysis of Foreign Portfolio Equity Ownership in Japan. Journal of financial economics, 46(1), 3-28. https://doi.org/10.1016/S0304-405X(97)00023-8
  • Kartal, M. T. (2020). The Behavior of Sovereign Credit Default Swaps (CDS) Spread: Evidence from Turkey with the Effect of Covid-19 Pandemic. Quantitative Finance and Economics, 4(3), 489-502.
  • Kılcı, E. N. (2017). CDS Primleri ile Ülke Kredi Riski Arasındaki İlişkinin Değerlendirilmesi; Türkiye Örneği. Maliye ve Finans Yazıları, (108), 71-86. https://doi.org/10.33203/mfy.357664
  • Li, M. C. & Fu, X. (2017). Determinants of Credit Default Swap Spreads: A Four-Market Panel Data Analysis. Journal of Finance and Economics, 5(1), 9-31.
  • Marozva, G. & Makoni, P. L. (2021). The Nexus between Bond Liquidity, Stock Liquidity and Foreign Portfolio Investment. International Journal of Finance & Banking Studies (2147-4486), 10(3), 92-103. https://doi.org/10.20525/ijfbs.v10i3.1348
  • Moshirian, F., Tian, X., Zhang, B. & Zhang, W. (2021). Stock Market Liberalization and Innovation. Journal of Financial Economics, 139(3), 985-1014. https://doi.org/10.1016/j.jfineco.2020.08.018
  • Odhiambo, N. M. (2009). Energy Consumption and Economic Growth Nexus in Tanzania: An ARDL Bounds Testing Approach. Energy Policy, 37(2), 617-622. https://doi.org/10.1016/j.enpol.2008.09.077
  • Pesaran, M. H., Shin, Y. & Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289-326.https://doi.org/10.1002/jae.616
  • Phillips, P. C. B. & Perron, P. (1988). Testing for a Unit Root in Time Series Regressions, Biometrika, 75(2), 335-346. https://doi.org/10.1093/biomet/75.2.335
  • Salifu, M., Peprah, J. A., Sebu, J. & Cantah, W. G. (2024). Openness Policies and Financial Development in Ghana: An ARDL Approach. Heliyon, 10(3), e25074. https://doi.org/10.1016/j.heliyon.2024.e25074
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  • Sun, X., Wang, J., Yao, Y., Li, J. & Li, J. (2020). Spillovers among Sovereign CDS, Stock and Commodity Markets: A Correlation Network Perspective. International Review of Financial Analysis, 68, 101271. https://doi.org/10.1016/j.irfa.2018.10.008
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Yabancı Yatırımcıların Portföy Değerleri Üzerinde Likidite, Ülke Kredi Riski ve Döviz Kuru Etkisi

Year 2025, Volume: 27 Issue: 1, 194 - 207, 30.06.2025

Aynur Süsay Alkan

Abstract

Bu araştırmanın amacı, Borsa İstanbul pay piyasasının serbestleşmesi ile yurt dışında yerleşiklerin hisse senedi yatırımlarının değerini etkileyen faktörleri likidite, döviz kuru ve ülke risk primi (CDS) kapsamında araştırmaktadır. Litaretürde Türkiye pay piyasasında yabancı yatırımcıların portföy değerleri üzerindeki etkileri makroekonomik faktörler açısından incelenmiştir. Bu çalışmada likidite azlığı ölçütünün kullanılıyor olması çalışmanın özgünlüğünü oluşturmaktadır. Çalışma, 11.09.2020 – 19.04.2024 dönemi haftalık verilerden oluşmaktadır. Çalışmada likidite değişkeni, Amihud (2002) likidite azlığı ölçütü kullanılarak hesaplanmış ve tüm değişkenlere Gecikmesi Dağıtılmış Otoregresif Modellere (ARDL) dayalı sınır testi uygulanmıştır. Analizler sonucunda; likiditenin, kredi riskinin ve döviz kurunun yabancıların pay piyasası yatırımlarını etkilediğini tespit edilmiştir. Elde edilen bulgulara göre likidite azlığı ölçütü, yabancıların hisse senedi yatırımlarındaki en büyük etmen olup negatif etkiye sahiptir. Sonuçlar, piyasa likiditesinin önemli bir faktör olduğunu ve yüksek likiditeye piyasaların daha fazla yatırım çekme eğilimine sahip olduğunu göstermektedir. Ayrıca çalışmada döviz kurunun yabancı yatırımcıların portföy değerlerini pozitif yönde etkilediğini kredi riskinin ise negatif etkiye sahip olduğu tespit edilmiştir.

Keywords

Likidite Yabancı Yatırımcı CDS Döviz Kuru ARDL Sınır Testi

References

  • Agudelo, D. A. (2010). Friend or Foe? Foreign Investors and the Liquidity of Six Asian Markets. Asia‐Pacific Journal of Financial Studies, 39(3), 261-300. https://doi.org/10.1111/j.2041-6156.2010.01012.x
  • Al-Smadi, M. O. (2018). Determinants of Foreign Portfolio Investment: The Case of Jordan. Investment Management and Financial Innovations, 15(1), 328-336. http://dx.doi.org/10.21511/imfi.15(1).2018.27
  • Alkan, S. (2024). Liquidity and Market Efficiency in Borsa Istanbul. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 42(3), 371-384. https://doi.org/10.17065/huniibf.1388807
  • Amihud, Y. (2002). Illiquidity and Stock Returns: Cross-Section and Time-Series Effects. Journal of Financial Markets, 5(1), 31-56. https://doi.org/10.1016/S1386-4181(01)00024-6
  • Amihud, Y. & Mendelson, H. (1986). Asset Pricing and the Bid-Ask Spread. Journal of Financial Economics, 17(2), 223-249. https://doi.org/10.1016/0304-405X(86)90065-6
  • Aydıngülü Sakalsız, S. & Özçelik, M. (2024). The Impact of Firms’ Carbon Emissions on Financial Performance and the Role of Innovation: Evidence from Türkiye. Journal of Mehmet Akif Ersoy University Economics and Administrative Sciences Faculty, 11(2), 721-740. https://doi.org/10.30798/makuiibf.1414190
  • Bekaert, G., Harvey, C. R. & Lundblad, C. (2007). Liquidity and Expected Returns: Lessons from Emerging Markets. The Review of Financial Studies, 20(6), 1783-1831. https://doi.org/10.1093/rfs/hhm030
  • Blommestein, H., Eijffinger, S. & Qian, Z. (2016). Regime-Dependent Determinants of Euro Area Sovereign CDS Spreads. Journal of Financial Stability, 22, 10-21. https://doi.org/10.1016/j.jfs.2015.11.004
  • Bouri, E., De Boyrie, M. E. & Pavlova, I. (2017). Volatility Transmission from Commodity Markets to Sovereign CDS Spreads in Emerging and Frontier Countries. International Review of Financial Analysis, 49, 155-165. https://doi.org/10.1016/j.irfa.2016.11.001
  • Brennan, M. J., Chordia, T., Subrahmanyam, A. & Tong, Q. (2012). Sell-Order Liquidity and the Cross-Section of Expected Stock Returns. Journal of Financial Economics, 105(3), 523-541. https://doi.org/10.1016/j.jfineco.2012.04.006
  • Brown, R. L., Durbin, J. & Evans, J. M. (1975). Techniques for Testing the Constancy of Regression Relationships Over Time. Journal of the Royal Statistical Society Series B: Statistical Methodology, 37(2), 149-163. https://doi.org/10.1111/j.2517-6161.1975.tb01532.x
  • Chau, F., Han, C. & Shi, S. (2018). Dynamics and Determinants of Credit Risk Discovery: Evidence from CDS and Stock Markets. International Review of Financial Analysis, 55, 156-169. https://doi.org/10.1016/j.irfa.2017.11.004
  • Chaudhry, S. M., Ahmed, R., Shafiullah, M. & Huynh, T. L. D. (2020). The Impact of Carbon Emissions on Country Risk: Evidence from the G7 Economies. Journal of Environmental Management, 265, 110533. https://doi.org/10.1016/j.jenvman.2020.110533
  • Çiftçi, G. & Reis, Ş. G. (2020). Risk İştahı ile Piyasa Likiditesi Arasındaki Nedensellik İlişkisi. Ekonomi Politika ve Finans Araştırmaları Dergisi, 5(2), 389-403. https://doi.org/10.30784/epfad.687595
  • Çulha, A. (2006). A Structural VAR Analysis of the Determinants of Capital Flows into Turkey. Central Bank Review, 2(2), 11-35.
  • Dahlquist, M. & Robertsson, G. (2001). Direct Foreign Ownership, Institutional Investors, and Firm Characteristics. Journal of Financial Economics, 59(3), 413-440. https://doi.org/10.1016/S0304-405X(00)00092-1
  • Dahlquist, M. & Robertsson, G. (2004). A Note on Foreigners’ Trading and Price Effects Across Firms. Journal of Banking & Finance, 28(3), 615-632. https://doi.org/10.1016/S0378-4266(03)00036-0
  • Dickey, D. A. & Fuller, W. A. (1979) Distribution of the Estimators for Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association, 74(366a), 427-431. https://doi.org/10.1080/01621459.1979.10482531
  • Dickey, D. A. & Fuller, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with A Unit Root. Econometrica: Journal of the Econometric Society, 49(4), 1057-1072. https://doi.org/10.2307/1912517
  • Feng, Q., Sun, X., Liu, C. & Li, J. (2021). Spillovers between Sovereign CDS and Exchange Rate Markets: The Role of Market Fear. The North American Journal of Economics and Finance, 55, 101308. https://doi.org/10.1016/j.najef.2020.101308
  • Froot, K. A., O’connell, P. G. & Seasholes, M. S. (2001). The Portfolio Flows of International Investors. Journal of Financial Economics, 59(2), 151-193. https://doi.org/10.1016/S0304-405X(00)00084-2
  • Fu, X., Li, M. C. & Molyneux, P. (2021). Credit Default Swap Spreads: Market Conditions, Firm Performance, and the Impact of the 2007–2009 Financial Crisis. Empirical Economics, 60(5), 2203-2225. https://doi.org/10.1007/s00181-020-01852-0
  • Garg, R. & Dua, P. (2014). Foreign Portfolio Investment Flows to India: Determinants and Analysis. World Development, 59(C), 16-28. https://doi.org/10.1016/j.worlddev.2014.01.030
  • Güngör, M. (2021). Döviz Kuru, VIX Korku Endeksi ve Yabancı Portföy Yatırımları Etkileşimi. Avrupa Bilim ve Teknoloji Dergisi, (32), 1034-1042. https://doi.org/10.31590/ejosat.1044711
  • Haider, M. A., Khan, M. A., Saddique, S. & Hashmi, S. H. (2017). The Impact of Stock Market Performance on Foreign Portfolio Investment in China. International Journal of Economics and Financial Issues, 7(2), 460-468.
  • Hoang, B. T. & Mateus, C. (2024). How Does Liberalization Affect Emerging Stock Markets? Theories and Empirical Evidence. Journal of Economic Surveys, 38(3), 877-898. https://doi.org/10.1111/joes.12561
  • Hui, C. H. & Fong, T. P. W. (2015). Price Cointegration between Sovereign CDS and Currency Option Markets in the Financial Crises of 2007–2013. International Review of Economics & Finance, 40(C), 174-190. https://doi.org/10.1016/j.iref.2015.02.011
  • Kahıloğulları, A. (2018). Relationship between Credit Default Swaps, Direct Foreign Investments and Portfolio Investments: Time Series Analysis for Turkey. Prizren Social Science Journal, 2(3), 50-62.
  • Kajurova, V. (2015). The Determinants of CDS Spreads: The Case of UK Companies. Procedia Economics and Finance, 23, 1302-1307. https://doi.org/10.1016/S2212-5671(15)00433-5
  • Kang, J. K. & Stulz, R. (1997). Why is There a Home Bias? An Analysis of Foreign Portfolio Equity Ownership in Japan. Journal of financial economics, 46(1), 3-28. https://doi.org/10.1016/S0304-405X(97)00023-8
  • Kartal, M. T. (2020). The Behavior of Sovereign Credit Default Swaps (CDS) Spread: Evidence from Turkey with the Effect of Covid-19 Pandemic. Quantitative Finance and Economics, 4(3), 489-502.
  • Kılcı, E. N. (2017). CDS Primleri ile Ülke Kredi Riski Arasındaki İlişkinin Değerlendirilmesi; Türkiye Örneği. Maliye ve Finans Yazıları, (108), 71-86. https://doi.org/10.33203/mfy.357664
  • Li, M. C. & Fu, X. (2017). Determinants of Credit Default Swap Spreads: A Four-Market Panel Data Analysis. Journal of Finance and Economics, 5(1), 9-31.
  • Marozva, G. & Makoni, P. L. (2021). The Nexus between Bond Liquidity, Stock Liquidity and Foreign Portfolio Investment. International Journal of Finance & Banking Studies (2147-4486), 10(3), 92-103. https://doi.org/10.20525/ijfbs.v10i3.1348
  • Moshirian, F., Tian, X., Zhang, B. & Zhang, W. (2021). Stock Market Liberalization and Innovation. Journal of Financial Economics, 139(3), 985-1014. https://doi.org/10.1016/j.jfineco.2020.08.018
  • Odhiambo, N. M. (2009). Energy Consumption and Economic Growth Nexus in Tanzania: An ARDL Bounds Testing Approach. Energy Policy, 37(2), 617-622. https://doi.org/10.1016/j.enpol.2008.09.077
  • Pesaran, M. H., Shin, Y. & Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289-326.https://doi.org/10.1002/jae.616
  • Phillips, P. C. B. & Perron, P. (1988). Testing for a Unit Root in Time Series Regressions, Biometrika, 75(2), 335-346. https://doi.org/10.1093/biomet/75.2.335
  • Salifu, M., Peprah, J. A., Sebu, J. & Cantah, W. G. (2024). Openness Policies and Financial Development in Ghana: An ARDL Approach. Heliyon, 10(3), e25074. https://doi.org/10.1016/j.heliyon.2024.e25074
  • Sarıgül, H. & Şengelen, H. E. (2020). Ülke Kredi Temerrüt Takas Primleri ile Hisse Senedi Fiyatları Arasındaki İlişki: Borsa İstanbul’da Banka Hisse Senetleri Üzerine Ampirik Bir Araştırma. Muhasebe ve Finansman Dergisi, (86), 205-222. https://doi.org/10.25095/mufad.710367
  • Savrul, B. K., Özekicioğlu, H. & Özel, H. A. (2013). Türkiye'de Finansal Serbestleşmenin Tarihsel Gelişimi. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, (38), 227-238.
  • Sun, X., Wang, J., Yao, Y., Li, J. & Li, J. (2020). Spillovers among Sovereign CDS, Stock and Commodity Markets: A Correlation Network Perspective. International Review of Financial Analysis, 68, 101271. https://doi.org/10.1016/j.irfa.2018.10.008
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There are 49 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section Research Article
Authors

Aynur Süsay Alkan 0000-0003-0935-7375

Publication Date June 30, 2025
Submission Date November 5, 2024
Acceptance Date June 18, 2025
Published in Issue Year 2025 Volume: 27 Issue: 1

Cite

APA Süsay Alkan, A. (2025). Yabancı Yatırımcıların Portföy Değerleri Üzerinde Likidite, Ülke Kredi Riski ve Döviz Kuru Etkisi. Kastamonu Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 27(1), 194-207. https://doi.org/10.21180/iibfdkastamonu.1579497
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