Hisse Fiyatları ile Yabancı Yatırımcı Ticareti Arasındaki İlişki: Borsa İstanbul’da İşlem Gören Bankalar Üzerine Bir Uygulama

Amaç – Bu çalışmada Ocak 2000 - Aralık 2018 dönemi arasında Borsa İstanbul'da listelenen bankalar ölçeğinde yabancı yatırımcı alım-satım işlemleri ile hisse fiyatları arasındaki ilişkinin incelenmesi amaçlanmaktadır. Yöntem – Eşbütünleşme ilişkisinin belirlenmesi için panel eşbütünleşme testi, nedensellik ilişkisinin belirlenmesi için panel nedensellik testi uygulanmıştır. Bulgular – Panel eşbütünleşme testinin sonuçları, yabancı yatırımcı ticareti ile hisse senedi fiyatları arasında uzun dönem eşbütünleşme ilişkisinin varlığını göstermektedir. Tahmin edilen uzun dönemli esneklikler, yabancı yatırımcı alımlarının hisse fiyatları üzerinde istatistiki olarak anlamlı pozitif bir etkiye, yabancı yatırımcı satışlarının hisse fiyatları üzerinde istatistiki olarak anlamlı negatif bir etkiye sahip olduğunu göstermektedir. Panel nedensellik testinin bulguları, hisse fiyatlarından yabancı yatırımcı satışlarına doğru tek yönlü nedensellik ilişkisi olduğunu göstermektedir. Tartışma – Eşbütünleşme testi sonuçları değişkenlerin uzun dönemde birlikte hareket ettiğini göstermektedir. Bu sonuçlara göre yabancı yatırımcı alım-satımları ile hisse fiyatları uzun dönemde birlikte hareket etmektedir. Kısa dönemde ilişkinin yönü ile ilgili değerlendirmeler için nedensellik testleri yapılmaktadır. Nedensellik testi sonuçları, hisse senedi fiyatlarındaki değişimin yabancı yatırımcıların satışlarının nedeni olduğunu göstermektedir.

The Relationship between Stock Prices and Foreign Investor Trading: An Application to Banks Listed in Borsa Istanbul

Purpose – In this study, it is aimed to examine the relationship between foreign investor trading transactions and stock prices on the banks scale listed in Borsa Istanbul between January 2000 and December 2018. Design/methodology/approach – Panel cointegration test was used to determine the cointegration relationship, and panel causality test was applied to determine the causality relationship. Findings – The results of the panel cointegration test indicate the existence of long-run cointegration relationship between foreign investor trading and stock prices. The estimated long-run elasticities suggest that foreign investor purchases have a statistically significant positive impact on stock prices while foreign investor sales have a statistically significant negative effect on stock prices. The findings of the panel causality test provide evidence of one-way causality running from stock prices to foreign investor sales. Discussion – The results of the cointegration test show that the variables move together in the long run. According to these results, foreign investors purchases and sales and stock prices move together in the long run. In the short term, causality tests are conducted for evaluations about the direction of the relationship. The causality test results show that the change in stock prices is the reason for the sales of foreign investors.

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