Öz
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.
Anahtar Kelimeler
BIST 30 Index Foreign Portfolio Investment (FPI) Var Analysis
Kaynakça
- Aggarwal, R., Klapper, L., & Wysocki, P. (2005). Portfolio preferences of foreign institutional investors. The Journal of Banking and Finance, 29(12), 919-922.
- Anayochukwu, O. B. (2012). The impact of stock market returns on foreign portfolio investment in Nigeria. LOSR Journal of Economic and Management, 2(4), 10-19.
- Aydın, Y., & Aksoy, B. (2023). Türkiye’de doğrudan yabancı sermaye yatırımları, portföy yatırımları, dolar kuru ile BİST100 endeksi arasındaki ilişki üzerine ampirik bir inceleme Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 16(2), 499–512.
- Bhatia, A., & Nawalkishor (2015). Linkages of foreign portfolio investments and stock market indices: Evidence from BRICS nations. Journal of Poverty, Investment and Development, 19, 1-21.
- Chhimwal, B., & Bapat, V. (2020). Impact of foreign and domestic investment in stock market volatility: Empirical evidence from India. Cogent Economics & Finance, 8(1). doi: 10.1080/23322039.2020.1754321
- Chikwira, C., & Mohammed, J. I. (2023). The impact of the stock market on liquidity and economic growth: Evidence of volatile market. Economies, 11(6). doi: 10.3390/economies11060155
- Dickey, D. A., & Fuller, W. A. (1981). Distribution of the estimators for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072.
- Dike, C. (2016). Stock market efficiency promotes economic development: Empirical evidence from Africa. International Journal of Economics and Financial, 6(3), 1287-1298.
- Ekelik, H., & Tekin, M. (2020). Cholesky ayrıştırması ile varyans analizine (ANOVA) lineer regresyon yaklaşımı ve Excel uygulaması. Ankara Hacı Bayram Veli Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, (Özel Sayı), 58-77.
- Goldsmith, R. W. (1969). Financial structure and development. New Haven, Ct: Yale University Press.
- Granger, C. W. (1969). Investigating causal relations by econometric models and cross spectral methods. Econometrica, 37(3), 424-438.
- 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.
- Halale, M. S. (2014). Influence of foreign portfolio investment on stock market indicators. International Journal of Management, 5(10), 01-11.
- Iriobe, G. O., Tomola, M., Obamuyi, T. M., & Abayomi, M. A. (2018). Foreign portfolio equity investment and the performance of the Nigerian stock market: A sectoral distribution analysis. International Business and Management, 16(1), 29-38.
- Johnson, T. E. (1983). Investment principles. New Jersey: Printice-Hall, Inc.
- Karan, M. B. (2018). Yatırım analinizi ve portföy yönetimi (5. Baskı). Ankara: Gazi Kitabevi.
- Masoud, N. M. H. (2013). The impact of stock market performance upon economic growth. International Journal of Economics and Financial Issues, 3(4), 788-798.
- Mckinnon, P. (1973). Money and capital in economic development. Washington, DC: Brookings Institution.
- Novotný, J., & Jaklová, I. (2021). The importance of global financial indices for investors in alternative investment. SHS Web of Conferences, 92.
- Ordu-Akkaya, B. M., & Soytas, U. (2020). Does foreign portfolio investment strengthen stock-commodity markets connection? Resources Policy, 65.
- Pan, Lei, & Mishra, Ş., & Vinod, (2018). Stock market development and economic growth: Empirical evidence from China. Economic Modelling, 68, 661-673.
- Phillips, P., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
- Robinson, J. (1952). The generalization of the general theory in the rate of interest and other essays (2. baskı). Londra: Macmillan.
- Rujiravanich, N. (2015). Impacts of foreign portfolio investment flows on stock prices and exchange rate in Thailand after Asian financial crisis. Economics and Public Policy, 4(8), 1–20.
- Schumpeter, J. A. (1911). Theorie der wirtschaftlichen entwicklung (Çev: R. Opie). Cambridge: Harvard University Press.
- Shaw, E. S. (1973). Financial deepening in economic development. New York: Oxford University Press.
- Sulong, S., Saleem, Q., & Ahmet, Z. (2018). The role of stock market development in influencing the firms performance: A study based on Pakistan stock market. International Journal of Economics and Finance, 10(12), 104-114.
- Tsaurai, K. (2014). Stock market and foreign direct Investment in Zimbabwe. Risk Governance & Control: Financial Markets & İnstitutions, 4(2), 53-60.
Öz
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 YPY’ye 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.
Anahtar Kelimeler
Kaynakça
- Aggarwal, R., Klapper, L., & Wysocki, P. (2005). Portfolio preferences of foreign institutional investors. The Journal of Banking and Finance, 29(12), 919-922.
- Anayochukwu, O. B. (2012). The impact of stock market returns on foreign portfolio investment in Nigeria. LOSR Journal of Economic and Management, 2(4), 10-19.
- Aydın, Y., & Aksoy, B. (2023). Türkiye’de doğrudan yabancı sermaye yatırımları, portföy yatırımları, dolar kuru ile BİST100 endeksi arasındaki ilişki üzerine ampirik bir inceleme Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 16(2), 499–512.
- Bhatia, A., & Nawalkishor (2015). Linkages of foreign portfolio investments and stock market indices: Evidence from BRICS nations. Journal of Poverty, Investment and Development, 19, 1-21.
- Chhimwal, B., & Bapat, V. (2020). Impact of foreign and domestic investment in stock market volatility: Empirical evidence from India. Cogent Economics & Finance, 8(1). doi: 10.1080/23322039.2020.1754321
- Chikwira, C., & Mohammed, J. I. (2023). The impact of the stock market on liquidity and economic growth: Evidence of volatile market. Economies, 11(6). doi: 10.3390/economies11060155
- Dickey, D. A., & Fuller, W. A. (1981). Distribution of the estimators for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072.
- Dike, C. (2016). Stock market efficiency promotes economic development: Empirical evidence from Africa. International Journal of Economics and Financial, 6(3), 1287-1298.
- Ekelik, H., & Tekin, M. (2020). Cholesky ayrıştırması ile varyans analizine (ANOVA) lineer regresyon yaklaşımı ve Excel uygulaması. Ankara Hacı Bayram Veli Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, (Özel Sayı), 58-77.
- Goldsmith, R. W. (1969). Financial structure and development. New Haven, Ct: Yale University Press.
- Granger, C. W. (1969). Investigating causal relations by econometric models and cross spectral methods. Econometrica, 37(3), 424-438.
- 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.
- Halale, M. S. (2014). Influence of foreign portfolio investment on stock market indicators. International Journal of Management, 5(10), 01-11.
- Iriobe, G. O., Tomola, M., Obamuyi, T. M., & Abayomi, M. A. (2018). Foreign portfolio equity investment and the performance of the Nigerian stock market: A sectoral distribution analysis. International Business and Management, 16(1), 29-38.
- Johnson, T. E. (1983). Investment principles. New Jersey: Printice-Hall, Inc.
- Karan, M. B. (2018). Yatırım analinizi ve portföy yönetimi (5. Baskı). Ankara: Gazi Kitabevi.
- Masoud, N. M. H. (2013). The impact of stock market performance upon economic growth. International Journal of Economics and Financial Issues, 3(4), 788-798.
- Mckinnon, P. (1973). Money and capital in economic development. Washington, DC: Brookings Institution.
- Novotný, J., & Jaklová, I. (2021). The importance of global financial indices for investors in alternative investment. SHS Web of Conferences, 92.
- Ordu-Akkaya, B. M., & Soytas, U. (2020). Does foreign portfolio investment strengthen stock-commodity markets connection? Resources Policy, 65.
- Pan, Lei, & Mishra, Ş., & Vinod, (2018). Stock market development and economic growth: Empirical evidence from China. Economic Modelling, 68, 661-673.
- Phillips, P., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
- Robinson, J. (1952). The generalization of the general theory in the rate of interest and other essays (2. baskı). Londra: Macmillan.
- Rujiravanich, N. (2015). Impacts of foreign portfolio investment flows on stock prices and exchange rate in Thailand after Asian financial crisis. Economics and Public Policy, 4(8), 1–20.
- Schumpeter, J. A. (1911). Theorie der wirtschaftlichen entwicklung (Çev: R. Opie). Cambridge: Harvard University Press.
- Shaw, E. S. (1973). Financial deepening in economic development. New York: Oxford University Press.
- Sulong, S., Saleem, Q., & Ahmet, Z. (2018). The role of stock market development in influencing the firms performance: A study based on Pakistan stock market. International Journal of Economics and Finance, 10(12), 104-114.
- Tsaurai, K. (2014). Stock market and foreign direct Investment in Zimbabwe. Risk Governance & Control: Financial Markets & İnstitutions, 4(2), 53-60.
Ayrıntılar
| Birincil Dil | Türkçe |
|---|---|
| Konular | Ekonometri (Diğer), Sermaye Piyasaları, Uluslararası Finans |
| Bölüm | Araştırma Makalesi |
| Yazarlar | |
| Yayımlanma Tarihi | 30 Haziran 2025 |
| Gönderilme Tarihi | 29 Kasım 2024 |
| Kabul Tarihi | 4 Mart 2025 |
| Yayımlandığı Sayı | Yıl 2025 |
This work is licensed under Creative Commons Attribution-NonCommercial 4.0 International License since 2023.