Theoretical and Applied Economics
No. 2 / 2016 (607), Summer
Investigation of relation between foreign portfolio investments and stock prices: Time varying asymmetric causality analysis
Sakarya University, Turkey
Samet KUNDAKÇIOĞLU
Sakarya University, Turkey
Abstract. In this research, causality relationship between Istanbul Stock Exchange prices general level and foreign portfolio investments was investigated. Under the assumption that investors’ reactions to positive and negative shocks are not same, this relationship was investigated with time varying asymmetrical causality analysis. Through this analysis, it is aimed to obtain more effective results about whether causality relationships are consistent, or not. The practice in the research was done with 124 monthly data sets involving June 2015 and September 2015. The obtained findings support existence of a consistent causality relationship for negative shocks from Istanbul Stock Exchange towards foreign portfolio investments.
Keywords: Foreign Portfolio Investments, Time Varying Causality Analysis, Stock Exchange Istanbul.
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