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Investigation of relation between foreign portfolio investments and stock prices: Time varying asymmetric causality analysis

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  • Gülfen TUNA

    (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.

Suggested Citation

  • Gülfen TUNA & Samet KUNDAKÇIOĞLU, 2016. "Investigation of relation between foreign portfolio investments and stock prices: Time varying asymmetric causality analysis," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(2(607), S), pages 127-134, Summer.
    • Handle: RePEc:agr:journl:v:xxiii:y:2016:i:2(607):p:127-134
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    References listed on IDEAS

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    1. Froot, Kenneth A. & O'Connell, Paul G. J. & Seasholes, Mark S., 2001. "The portfolio flows of international investors," Journal of Financial Economics, Elsevier, vol. 59(2), pages 151-193, February.
    2. Abdulnasser Hatemi-J, 2012. "Asymmetric causality tests with an application," Empirical Economics, Springer, vol. 43(1), pages 447-456, August.
    3. Granger, Clive W.J. & Gawon Yoon, 2002. "Hidden Cointegration," Royal Economic Society Annual Conference 2002 92, Royal Economic Society.
    4. Merton, Robert C, 1987. "A Simple Model of Capital Market Equilibrium with Incomplete Information," Journal of Finance, American Finance Association, vol. 42(3), pages 483-510, July.
    5. Elizabeth Berko & John Clark, 1997. "Foreign investment fluctuations and emerging market stock returns: the case of Mexico," Staff Reports 24, Federal Reserve Bank of New York.
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