Yabancı Sermaye ve Hisse Senedi Getiri Oynaklığı: Borsa Istanbul Üzerine Bir İnceleme

Çalışmanın amacı Borsa Istanbul'da işlem gören firmaların yabancı yatırımcı sahiplik oranı ile hisse senedi getiri oynaklığı arasındaki ilişkiyi incelemektir. Yabancı yatırımcılar kurumsal yatırımcılar, yabancı fonlar ve yabancı tüzel kişiler olarak gruplandırılmış ve her yatırımcı grubunun sahiplik oranının hisse senedi getiri oynaklığı üzerindeki etkileri inceleme altına alınmıştır. 2006-2015 yılları arasında Borsa İstanbul'da işlem gören 192 firma ve 1828 gözlemi içeren çalışma sonucunda firma seviyesinde yabancı fonların sahiplik oranı ile hisse senedi getiri oynaklığı arasında negatif bir ilişki gözlenmiştir. Bu sonuç, Borsa Istanbul'da işlem yapan yabancı fonların piyasanın fiyat istikrarını arttırdığını göstermektedir. Yabancı tüzel yatırımcıların sahiplik oranı ile hisse senedi getiri oynaklığı arasında herhangi bir ilişki bulunmamıştır. Ayrıca, büyük ve kaldıraç oranı düşük olan şirketlerin hisse senedi getiri oynaklığı düşüktür. Elde edilen bulgular Türkiye'ye yatırım yapan yabancı yatırımcıların rolünü anlama açısından önem arz etmektedir

Foreign Capital and Stock Return Volatility: An Investigation on Borsa Istanbul

The aim of this study is to investigate the relationship between firm-level foreign ownership and stock return volatility for the firms listed in Borsa Istanbul. Foreign investors are grouped as foreign institutions, foreign funds and foreign corporate investors and the relationship between their holding levels and stock return volatility is investigated. Including 192 firms listed in Borsa Istanbul and 1828 observations from 2006 to 2015, our results reveal that there is a negative relationship between firm-level foreign funds ownership and stock return volatility. This result indicates that foreign funds in Borsa Istanbul increase the price stability of the market. We do not find any significant relationship between ownership of foreign corporate investors and stock return volatility. Moreover, large and firms with low leverage have lower stock return volatility. These findings are important for understanding the role of foreign investors in Turkey

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