This chapter determines whether there is a long-run relationship among oil, copper, natural gas, export figures and import figures, and BIST 100. Within this context, the study employs monthly periods from January 2006 to June 2019. ADF, Fourier ADF, and Banerjee Cointegration Test were applied. Banerjee Cointegration Test revealed that copper, oil, and natural gas and import figures move together in the long run but the existence of the long-run relationship between the selected inputs and export figures and BIST 100 has not been found. This evidence can be interpreted as the change in oil, copper, and natural gas may influence the amount of Turkish import figures.
There has been a rise in recent studies on behavioral finance. According to Fama (1970) all information is priced, so it cannot be said about the undervalued stock. However, behavioral finance asserts that there are many anomalies in the market. The effects of days of the week, January effect and religious days on the returns and volatility of the stock markets were examined in the literature. In the case of Turkey, aforementioned anomalies are tested using returns and volatility of BIST100 and KAT30 indices. As a result, days of the week, January effect and Ramadan effect have no any effect on returns and volatility of both conventional and unconventional stock indices. The result has strengthened the assumption that Turkish market is more efficient in this sense and in line with Fama's EMH. It has been observed that timing does not have a significant effect on the strategies of Turkish investor.
This chapter determines whether there is a long-run relationship among oil, copper, natural gas, export figures and import figures, and BIST 100. Within this context, the study employs monthly periods from January 2006 to June 2019. ADF, Fourier ADF, and Banerjee Cointegration Test were applied. Banerjee Cointegration Test revealed that copper, oil, and natural gas and import figures move together in the long run but the existence of the long-run relationship between the selected inputs and export figures and BIST 100 has not been found. This evidence can be interpreted as the change in oil, copper, and natural gas may influence the amount of Turkish import figures.
Bu makale, en az iki hakem tarafından incelenmiş ve intihal içermediği teyit edilmiştir. / This article has been reviewed by at least two referees and confirmed to include no plagiarism.
Foreign portfolio investments are one of the important factors in determining the general price level for stock markets. This study aims to analyze the causal relationship between the general price levels for the Borsa Istanbul (BIST 100) Index and Participation Index (KTLM 30) and foreign portfolio investments. Firstly, depending on the assumption that investors would react differently to positive and negative shocks, the Hatemi-J (2012) asymmetric causality analysis is performed. Later on, to determine whether or not the obtained causal relationships change over time, a time-varying asymmetric causality analysis is conducted. In the study covering the period January 2011-October 2019, 106 monthly data are included in the analysis. The obtained findings revealed the existence of a unilateral causal relationship regarding negative shocks running from BIST 100 and KTLM 30 indexes towards foreign portfolio investments, thus decreases in both indexes would lead to a decrease in foreign capital investments. Furthermore, the causal relationship obtained between both indexes and foreign portfolio investments is seen to be sustainable.
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