ÜLKE RİSKİNİN YABANCI PORTFÖY YATIRIMLARI ÜZERİNDEKİ ETKİSİ

Özet: Bu çalışmanın amacı ekonomik, finansal ve politik riskleri kapsayan ülke riskinin yabancı portföy yatırımları üzerindeki etkisini tespit etmektir. 1997:1-2010:12 dönemini kapsayan çalışmada, yabancı portföy yatırımları (YPY), finansal risk, ekonomik risk ve politik risk primi değişkenleri kullanılmıştır. Johansen-Jeselius eş-bütünleşme testleri finansal risk, politik risk ve ekonomik risk ile YPY arasında uzun dönemli ilişki olduğunu; bununla birlikte Granger nedensellik testleri ise finansal riskten YPY’ye, YPY’den politik riske nedensellik olduğunu ve ekonomik risk ile YPY arasında nedensellik mevcut olmadığını göstermektedir. Yapılan regresyon tahminleri finansal riskin YPY’yi olumlu yönde, politik riskin YPY’yi olumsuz yönde etkilediğini, ekonomik riskin ise YPY’yi istatistikî olarak anlamlı düzeyde etkilemediğini işaret etmektedir. Anahtar Kelimeler: Ekonomik Risk, Finansal Risk, Politik Risk, Yabancı Portföy Yatırımları.

The aim of this study is to investigate the effect of country risk including economic, financial and political risk on foreign portfolio investment. In the study, covering the period from January 1997 to December 2010, foreign portfolio investments (FPI), economic, financial and politic risk premiums are used. Johansen-Jeselius co-integration tests results show that there is a long run relationship between FPI with financial risk, politic risk and economic risk, however; Granger causality tests show a causality from financial risk to FPI and from FPI to politic risk, and causality is not available between FPI and economic risk. Estimation of regression results show that financial risk affects FPI positively, political risk affects FPI negatively and economic risk does not affect FPI statistically in a meaningful way

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Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi-Cover
  • ISSN: 1300-4646
  • Yayın Aralığı: Yılda 4 Sayı
  • Yayıncı: Atatürk Üniversitesi İİBF