EXAMINATION OF THE RELATIONSHIP BETWEEN FOREIGN INVESTORS AND BIST-100 RETURN INDEX

Abstract

Purpose- The aim of this study is to analyze the relationship of foreign portfolio investments, which are gaining importance in Turkey, with the Borsa Istanbul (BIST)-100 return index. Method- The relationship between foreign investor portfolio sizes and BIST-100 return index was examined based on quarterly periods covering the years 2010 and 2021. While the data on foreign portfolio sizes and the number of foreign investors were obtained from the central registry, data on the BIST-100 return index were obtained from the official website of the Central Bank. In the study, first of all, it was tested by correlation analysis whether there was a significant correlation between the data. If there is a relationship between the data, the direction of the relationship was investigated using the Granger Causality test method developed by Granger (1969), and econometric methods such as unit root test and stationarity analysis were used to make sense of the findings. Findings- The causality direction from BIST-100 index to Foreign portfolio value was determined by reaching the one-way causality relationship that the stock returns (BIST-100 return index) are the cause of the foreign investor portfolio value. Therefore, in this research, it is concluded that the performance of the stock market in Turkey acts independently from the portfolio values of foreign investors. Conclusion- Considering the dynamics and structural features of the financial markets in Turkey, the impact of the sectoral and company-level investments of foreign investors may differ according to the general stock returns. Therefore, although these results do not definitively show that there is no effect of foreign investors, they may reveal different dimensions of the effect of foreign investors, as will be discussed in this research. Keywords: Foreign investments, Borsa Istanbul, Capital Markets, Confidence Index, Granger Causality JEL Codes: G10, G11, G15