IDEAS home Printed from https://ideas.repec.org/p/sek/iacpro/0201138.html
   My bibliography  Save this paper

Portfolio Investments and Asset Prices Relationship in Turkey

Author

Listed:
  • Bilge Bakin

    (Yildirim Beyazit University, Business School, Department of Banking and Finance)

  • Gozde Gurgun

    (Central Bank of the Republic of Turkey)

Abstract

This study aims to investigate the linkage between portfolio investments and asset prices in Turkey for the period of September 2008-December 2013. The accommodative policies implemented in advanced economies in order to cope with the global crisis and fragilities in the global financial system have led to considerable volatility in capital flows. Capital flows towards emerging economies have been volatile, particularly to those with large external financing needs such as Turkey. This situation has created risk of macroeconomic and financial instability in these economies. Accordingly, this paper examines the effects of portfolio investments on the main financial assets such as equity market, exchange rate and interest rates in Turkey. Toda and Yamamoto (1995) method and generalized impulse response analysis have been utilized in this study. It is found that portfolio investments have a considerable and steady impact on the exchange rate. However, severe impacts of portfolio flows are not observed on the stock market and interest rates in the long run.

Suggested Citation

  • Bilge Bakin & Gozde Gurgun, 2014. "Portfolio Investments and Asset Prices Relationship in Turkey," Proceedings of International Academic Conferences 0201138, International Institute of Social and Economic Sciences.
    • Handle: RePEc:sek:iacpro:0201138
    as

    Download full text from publisher

    File URL: https://iises.net/proceedings/10th-international-academic-conference-vienna/table-of-content/detail?cid=2&iid=22&rid=1138
    File Function: First version, 2014
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Soyoung Kim & Doo Yong Yang, 2014. "Do Capital Inflows Matter to Asset Prices? The Case of Korea," Palgrave Macmillan Books, in: Kyuil Chung & Soyoung Kim & Hail Park & Changho Choi & Hyun Song Shin (ed.), Volatile Capital Flows in Korea, chapter 3, pages 51-82, Palgrave Macmillan.
    2. A. Hakan Kara, 2012. "Monetary Policy in Turkey After the Global Crisis," Working Papers 1217, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    3. Brana, Sophie & Djigbenou, Marie-Louise & Prat, Stéphanie, 2012. "Global excess liquidity and asset prices in emerging countries: A PVAR approach," Emerging Markets Review, Elsevier, vol. 13(3), pages 256-267.
    4. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
    5. Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
    6. Caballero, Ricardo J. & Krishnamurthy, Arvind, 2006. "Bubbles and capital flow volatility: Causes and risk management," Journal of Monetary Economics, Elsevier, vol. 53(1), pages 35-53, January.
    7. Masih, Rumi & Masih, Abul M. M., 2001. "Long and short term dynamic causal transmission amongst international stock markets," Journal of International Money and Finance, Elsevier, vol. 20(4), pages 563-587, August.
    8. Dr E V K FitzGerald, "undated". "Short-Term Capital Flows, The Real Economy and Income Distribution in Developing Countries," QEH Working Papers qehwps08, Queen Elizabeth House, University of Oxford.
    9. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
    10. Sean Joss Gossel & Nicholas Biekpe, 2012. "The effects of capital inflows on South Africa's economy," Applied Financial Economics, Taylor & Francis Journals, vol. 22(11), pages 923-938, June.
    11. Hakan Berument & N. Nergiz Dincer, 2004. "Do Capital Flows Improve Macroeconomic Performance in Emerging Markets? : The Turkish Experience," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 40(4), pages 20-32, July.
    12. L. Sarno & M. P. Taylor, 2003. "An empirical investigation of asset price bubbles in Latin American emerging financial markets," Applied Financial Economics, Taylor & Francis Journals, vol. 13(9), pages 635-643.
    13. Soyoung Kim & Sunghyun H. Kim & Yunjong Wang, 2014. "Macroeconomic Effects of Capital Account Liberalization: The Case of Korea," Palgrave Macmillan Books, in: Kyuil Chung & Soyoung Kim & Hail Park & Changho Choi & Hyun Song Shin (ed.), Volatile Capital Flows in Korea, chapter 2, pages 27-49, Palgrave Macmillan.
    14. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
    15. Ahmed, Shaghil & Zlate, Andrei, 2014. "Capital flows to emerging market economies: A brave new world?," Journal of International Money and Finance, Elsevier, vol. 48(PB), pages 221-248.
    16. Soytas, Ugur & Sari, Ramazan, 2009. "Energy consumption, economic growth, and carbon emissions: Challenges faced by an EU candidate member," Ecological Economics, Elsevier, vol. 68(6), pages 1667-1675, April.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Lee, Chien-Chiang & Huang, Wei-Ling & Yin, Chun-Hao, 2013. "The dynamic interactions among the stock, bond and insurance markets," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 28-52.
    2. Lee, Chien-Chiang & Chiu, Yi-Bin, 2011. "Nuclear energy consumption, oil prices, and economic growth: Evidence from highly industrialized countries," Energy Economics, Elsevier, vol. 33(2), pages 236-248, March.
    3. Nazlioglu, Saban & Soytas, Ugur, 2011. "World oil prices and agricultural commodity prices: Evidence from an emerging market," Energy Economics, Elsevier, vol. 33(3), pages 488-496, May.
    4. repec:ebl:ecbull:v:12:y:2006:i:11:p:1-12 is not listed on IDEAS
    5. Dogrul, H. Günsel & Soytas, Ugur, 2010. "Relationship between oil prices, interest rate, and unemployment: Evidence from an emerging market," Energy Economics, Elsevier, vol. 32(6), pages 1523-1528, November.
    6. Lee, Chien-Chiang & Chien, Mei-Se & Lin, Tsoyu Calvin, 2012. "Dynamic modelling of real estate investment trusts and stock markets," Economic Modelling, Elsevier, vol. 29(2), pages 395-407.
    7. Soytas, Ugur & Sari, Ramazan & Hammoudeh, Shawkat & Hacihasanoglu, Erk, 2009. "World oil prices, precious metal prices and macroeconomy in Turkey," Energy Policy, Elsevier, vol. 37(12), pages 5557-5566, December.
    8. Uğur Soytas & Engin Kucukkaya, 2011. "Economic growth and financial development in Turkey: new evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 18(6), pages 595-600.
    9. Dogan, Eyup & Seker, Fahri, 2016. "Determinants of CO2 emissions in the European Union: The role of renewable and non-renewable energy," Renewable Energy, Elsevier, vol. 94(C), pages 429-439.
    10. Korhan K. Gokmenoglu & Nigar Taspinar & Mohammad Mafizur Rahman, 2021. "Military expenditure, financial development and environmental degradation in Turkey: A comparison of CO2 emissions and ecological footprint," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 986-997, January.
    11. Ajmi, Ahdi Noomen & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Sato, João Ricardo, 2015. "On the relationships between CO2 emissions, energy consumption and income: The importance of time variation," Energy Economics, Elsevier, vol. 49(C), pages 629-638.
    12. Hiroyuki Taguchi & Pravakar Sahoo & Geethanjali Nataraj, 2015. "Capital flows and asset prices: Empirical evidence from emerging and developing economies," International Economics, CEPII research center, issue 141, pages 1-14.
    13. Ugur Soytas, 2006. "Long run relationship between entry and exit: time series evidence from Turkish manufacturing industry," Economics Bulletin, AccessEcon, vol. 12(11), pages 1-12.
    14. Lee, Chien-Chiang & Chien, Mei-Se, 2010. "Dynamic modelling of energy consumption, capital stock, and real income in G-7 countries," Energy Economics, Elsevier, vol. 32(3), pages 564-581, May.
    15. Klotz, Philipp & Lin, Tsoyu Calvin & Hsu, Shih-Hsun, 2014. "Global commodity prices, economic activity and monetary policy: The relevance of China," Resources Policy, Elsevier, vol. 42(C), pages 1-9.
    16. Soytas, Ugur & Sari, Ramazan & Ewing, Bradley T., 2007. "Energy consumption, income, and carbon emissions in the United States," Ecological Economics, Elsevier, vol. 62(3-4), pages 482-489, May.
    17. Soytas, Ugur & Sari, Ramazan, 2009. "Energy consumption, economic growth, and carbon emissions: Challenges faced by an EU candidate member," Ecological Economics, Elsevier, vol. 68(6), pages 1667-1675, April.
    18. Chen, Pei-Fen & Chien, Mei-Se & Lee, Chien-Chiang, 2011. "Dynamic modeling of regional house price diffusion in Taiwan," Journal of Housing Economics, Elsevier, vol. 20(4), pages 315-332.
    19. Drakos, Anastassios A., 2016. "Does the relationship between small and large portfolios’ returns confirm the lead–lag effect? Evidence from the Athens Stock Exchange," Research in International Business and Finance, Elsevier, vol. 36(C), pages 546-561.
    20. Atanu Ghoshray & Yurena Mendoza & Mercedes Monfort & Javier Ordoñez, 2018. "Re-assessing causality between energy consumption and economic growth," PLOS ONE, Public Library of Science, vol. 13(11), pages 1-15, November.
    21. Perles-Ribes, José Francisco & Ramón-Rodríguez, Ana Belén & Rubia, Antonio & Moreno-Izquierdo, Luis, 2017. "Is the tourism-led growth hypothesis valid after the global economic and financial crisis? The case of Spain 1957–2014," Tourism Management, Elsevier, vol. 61(C), pages 96-109.

    More about this item

    Keywords

    Capital Flows; Portfolio Investments; Asset Prices; Turkey;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F30 - International Economics - - International Finance - - - General
    • F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sek:iacpro:0201138. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Klara Cermakova (email available below). General contact details of provider: https://iises.net/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.