The impact of short term foreign portfolio investments on liquidity and efficiency in ISE

Abstract

1980'lerden bugiine diinyadaki finansal dengeler buyiik oranda degisime ugrami§tn/ Uluslararasi sermaye hareketlerinin liberallesmesi., bilisjm teknolojisindeki ilerlemeler ve sermaye hareketini kisitlayici §artlann kaldinlmasi gibi birgok etken bu degisjme neden olmu§tur. Bunun sonucu olarak da global sermaye aki§i ve uluslararasi finansal entegrasyon artmi§tir. Bu cah§ma teorik ve ampirik olarak kisa vadeli yabanci hisse senedi portfoy yatirimlarinm sermaye piyasalannm gelisimi ve borsada etkin piyasa kavrammin olu§masi Uzerindeki etkilerini ortaya koymaktadir. Ara§tirma sonucunda, yabanci portfoy yatirimlarinm IMKB 100 endeks getirilerinde, borsa i§lem hacmi, sozle§me adedi, islem degeri/GSMH ve piyasa degeri/GSMH gibi degerler iizerinde belirleyici etkisi oldugu anla§ilmi§tir. Aynca cah§ma sonucunda devlet ip borclanma senetleri faiz oranlarinm ve petrol varil fiyatlarinin kisa vadeli yabanci portfoy yatirimlarinm hareketinde onemli bir etken oldugu tespit edilmi§tir.

The financial environment has changed significantly since the beginning of the 1980s. Several factors; including the liberalization of international capital movements, financial deregulation and advances in information technology, have contributed to this change. The result is an increase in cross-border capital flows and international financial integration. This thesis theoretically and empirically investigates the effect of short term portfolio equity investments on stock market development indicators. Among the indicators it was identified, portfolio equity flows have predictive power over value traded/GDP, MCAP/GDP, trading volume, number of contracts traded and IMKB 100 index returns. Also DIBS and crude oil prices have predictive power over short term portfolio flows.