Behavior and Effects of Foreign Investors on Istanbul Stock Exchange

Adabag, Can; Ornelas, José Renato Haas

doi:10.2139/ssrn.656442

Cited by 14 publications

(9 citation statements)

References 20 publications

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“…We start with the following VAR model to test for Granger causality. This model is in line Dahlquist and Robertson (2004) as well as Adabag et al (2005). This model shall be used to capture objective two.…”

Section: + α 2 Inf T + α 3 Int T-1 + α 4 Inf T + α 5 Inf T-1 + α 6 Fpmentioning

confidence: 79%

“…From equation (1) as in table 3, the regression result shows that foreign portfolio investment has a positive significant impact on stock market returns in Nigeria. This conforms to the a priori economic theory which postulates that increase in foreign portfolio investment will lead to increase in stock market returns.…”

Section: Int----------(1)mentioning

confidence: 99%

“…Robert (2008) and Shehu (2009) investigated the relationship that exists between stock market returns and the exchange rate. Meanwhile, Adabag (2005) had opined that foreign investors are blamed for financial instability through sudden flows in emerging markets. To this end, it needs to be investigated whether the inflow and outflow of foreign portfolio investments on the stock market is significant enough to lead to an increase or fall in stock market returns.…”

Section: Introductionmentioning

confidence: 99%

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The Impact of Stock Market Returns on Foreign Portfolio Investment in Nigeria

Anayochukwu¹

2012

IOSRJBM

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This research work was designed to investigate the impact of stock market returns on foreign portfolio investment in Nigerian. The objectives of the research are: to identify the relationship between foreign portfolio investment and stock market return, inflation rate and stock market returns and to determine the direction of causality between foreign portfolio investment and stock market returns in Nigeria. The data were collected from Central Bank of Nigeria (CBN) statistical bulletin. The data were consequentially analyzed using E-views statistical package. The methodology used was multiple linear regression analysis to capture the impact of foreign portfolio investment and inflation rate on stock market returns, as well as Granger causality tests to determine the direction of causality between the variables. The results showed that foreign portfolio investment has a positive and significant impact on stock market returns while inflation rate has positive but insignificant impact on stock market returns. In the case of causality test, evidence of the result showed that there is a unidirectional causality running from stock market returns to foreign portfolio investment in the economy, which in turn will foster stock market returns in Nigeria. We therefore recommend that policies that will attract foreign portfolio investment should be pursued in order to enhance stock market returns.

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Section: + α 2 Inf T + α 3 Int T-1 + α 4 Inf T + α 5 Inf T-1 + α 6 Fpmentioning

confidence: 79%

Section: Int----------(1)mentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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The Impact of Stock Market Returns on Foreign Portfolio Investment in Nigeria

Anayochukwu¹

2012

IOSRJBM

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“…Yabancı yatırımcı işlemlerinin hisse senedi piyasasını tahmin ettiğine dair birçok çalışma ortaya koyulmuştur. Clark ve Berko (1997), Chen (2002), Dahlquist ve Robertsson (2004), Adabag ve Ornelas (2004), Kandır (2006), Anlaş (2017) çalışmalarında yabancı yatırımcıların yatırım işlemleriyle hisse senedi getirileri arasındaki ilişkiyi tespit etmişlerdir. Bu çalışmada ise, aylık bazda yabancı yatırımcıların net hisse senedi alımlarının, BİST toplam piyasa değerine oranı yatırımcı duyarlılığı temsilcisi olarak kullanılmıştır Lee vd., (1991) yatırım ortaklıkları iskontosu ve yatırım fonlarının değişimine, benzer beklentilerin neden olduğunu belirtmişlerdir.…”

Section: Yatırımcı Duyarlılığını öLçen Değişkenlerunclassified

Borsa İstanbul Hisse Senedi Getirilerinin ANFIS Aracılığıyla Tahmin Edilmesi

sarı

Yiğiter

2020

Bingöl Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi

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Bu çalışmada, hisse senedi getirilerinin yatırımcı duyarlılığı aracılığı ile tahmin edilmesi ve yatırımcı duyarlılığının yatırımcıların davranışları üzerindeki etkisinin ortaya konması amaçlanmaktadır. Tahmin için geliştirilen modellerde bağımlı değişken olarak BİST 100 Getiri Endeksi, bağımsız değişken olarak ise yatırımcı duyarlılığını temsil eden değişkenler (işlem hacmi, işlem görme oranı vb.) kullanılmıştır. Veriler bulanık mantık (ANFIS) yöntemi ile analiz edilmiştir. Yapılan analizlerde, 2007-2018 yılları arasındaki aylık veriler dikkate alınmıştır. Değişkenlere ait toplanan 144 aylık verinin %70'lik kısmı eğitim verisi olarak, %30'luk kısmı ise matematiksel modellerin tahmin başarısını ölçmek için kullanılmıştır. Elde edilen sonuçlar, yatırımcı duyarlılığının hisse senedi getirilerini tahmin etme konusunda başarılı olduğu göstermektedir. Özellikle işlem hacmi ve işlem görme oranı değişkenleri hisse senedi getirilerini önemli ölçüde tahmin edebilmiştir. Yatırımcı duyarlılığını ölçen değişkenler arasında tahmin gücü en düşük olan * Bu makale Dr. Öğr. Üyesi Şule Yüksel YİĞİTER danışmanlığında tamamlanan

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“…Similarly, Bowe and Domota (2004) for In d o n esia fou n d no ev id en ce th at fo reig n in v esto rs en gag e in momentum strategies during the Asian crisis period. Besides, the study by Adabag and Ornelas (2005) reveal that foreign investors adopt negative feedback trading strategies in Turkish stock market.…”

Section: Introductionmentioning

confidence: 99%

An Empirical Analysis of Foreign Institutional Investment and Stock Market Returns in India

Srinivasan¹,

Bhat²

2009

Foreign Trade Review

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Augmented Dickey Fuller and Phillips-Perron tests were employed to examine the stationarity of both net foreign institutional investment and NSE market return series. Besides, Instantaneous Granger Causality test was employed to examine the contemporaneous relationship between net foreign institutional investment flows and equity market returns in India for the pre-global financial crisis and during a crisis period. By and large, our analysis reveals that there is an evidence of negative feedback trading hypothesis and positive feedback trading hypothesis by foreign investors before the global financial crisis period and during a crisis period respectively. This implies that foreign institutional investment acts as smoothening effect and destabilizing forces before and during the crisis period respectively. However, such positive feedback trading strategies from foreign institutional investors seem to be rational during the period of global financial crisis.

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Behavior and Effects of Foreign Investors on Istanbul Stock Exchange

Cited by 14 publications

References 20 publications

The Impact of Stock Market Returns on Foreign Portfolio Investment in Nigeria

The Impact of Stock Market Returns on Foreign Portfolio Investment in Nigeria

Borsa İstanbul Hisse Senedi Getirilerinin ANFIS Aracılığıyla Tahmin Edilmesi

An Empirical Analysis of Foreign Institutional Investment and Stock Market Returns in India

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