IDEAS home Printed from https://ideas.repec.org/a/agr/journl/vxxiiiy2016i2(607)p127-134.html
   My bibliography  Save this article

Investigation of relation between foreign portfolio investments and stock prices: Time varying asymmetric causality analysis

Author

Listed:
  • Gülfen TUNA

    (Sakarya University, Turkey)

  • Samet KUNDAKÇIOĞLU

    (Sakarya University, Turkey)

Abstract

In this research, causality relationship between Istanbul Stock Exchange prices general level and foreign portfolio investments was investigated. Under the assumption that investors’ reactions to positive and negative shocks are not same, this relationship was investigated with time varying asymmetrical causality analysis. Through this analysis, it is aimed to obtain more effective results about whether causality relationships are consistent, or not. The practice in the research was done with 124 monthly data sets involving June 2015 and September 2015. The obtained findings support existence of a consistent causality relationship for negative shocks from Istanbul Stock Exchange towards foreign portfolio investments.

Suggested Citation

  • Gülfen TUNA & Samet KUNDAKÇIOĞLU, 2016. "Investigation of relation between foreign portfolio investments and stock prices: Time varying asymmetric causality analysis," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(2(607), S), pages 127-134, Summer.
    • Handle: RePEc:agr:journl:v:xxiii:y:2016:i:2(607):p:127-134
    as

    Download full text from publisher

    File URL: http://store.ectap.ro/articole/1186.pdf
    Download Restriction: no
    File URL: http://www.ectap.ro/articol.php?id=1186&rid=123
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Froot, Kenneth A. & O'Connell, Paul G. J. & Seasholes, Mark S., 2001. "The portfolio flows of international investors," Journal of Financial Economics, Elsevier, vol. 59(2), pages 151-193, February.
    2. Merton, Robert C, 1987. "A Simple Model of Capital Market Equilibrium with Incomplete Information," Journal of Finance, American Finance Association, vol. 42(3), pages 483-510, July.
    3. Granger, Clive W.J. & Gawon Yoon, 2002. "Hidden Cointegration," Royal Economic Society Annual Conference 2002 92, Royal Economic Society.
    4. Abdulnasser Hatemi-J, 2012. "Asymmetric causality tests with an application," Empirical Economics, Springer, vol. 43(1), pages 447-456, August.
    5. Granger, Clive W.J. & YOON, GAWON, 2002. "Hidden Cointegration," University of California at San Diego, Economics Working Paper Series qt9qn5f61j, Department of Economics, UC San Diego.
    6. Elizabeth Berko & John Clark, 1997. "Foreign investment fluctuations and emerging market stock returns: the case of Mexico," Staff Reports 24, Federal Reserve Bank of New York.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Joseph J. French, 2011. "The Dynamic Interaction Between Foreign Equity Flows And Returns: Evidence From The Johannesburg Stock Exchange," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 5(4), pages 45-56.
    2. Camgöz, Mevlüt & Topal, Mehmet Hanefi, 2022. "Identifying the asymmetric price dynamics of Islamic equities: Implications for international investors," Research in International Business and Finance, Elsevier, vol. 60(C).
    3. İbrahim Özmen & Mihai Mutascu, 2024. "Public Debt and Growth: New Insights," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 15(2), pages 8706-8736, June.
    4. Liu, Guangqiang & Zeng, Qing & Lei, Juan, 2022. "Dynamic risks from climate policy uncertainty: A case study for the natural gas market," Resources Policy, Elsevier, vol. 79(C).
    5. Amine Lahiani & Sinha Avik & Muhammad Shahbaz, 2018. "Renewable energy consumption, income, CO2 emissions and oil prices in G7 countries: The importance of asymmetries," Post-Print hal-03677233, HAL.
    6. D. O. Olayungbo & T. A. Ojeyinka, 2022. "Crude oil prices pass-through to retail petroleum product prices in Nigeria: evidence from hidden cointegration approach," Economic Change and Restructuring, Springer, vol. 55(2), pages 951-972, May.
    7. Hicham Ayad & Ousama Ben-Salha & Miloud Ouafi, 2023. "Do oil prices predict the exchange rate in Algeria? Time, frequency, and time‐varying Granger causality analysis," Economic Change and Restructuring, Springer, vol. 56(5), pages 3545-3566, October.
    8. Esra Soyu Yıldırım & Cuma Demirtaş & Munise Ilıkkan Özgür, 2022. "Causality Relationship Between Economic, Financial, Political Risk and Growth: The Case of Turkey," Journal of Economic Policy Researches, Istanbul University, Faculty of Economics, vol. 9(1), pages 165-186, January.
    9. Li, Dongxin & Hong, Yanran & Wang, Lu & Xu, Pengfei & Pan, Zhigang, 2022. "Extreme risk transmission among bitcoin and crude oil markets," Resources Policy, Elsevier, vol. 77(C).
    10. Nouira, Ridha & Hadj Amor, Thouraya & Rault, Christophe, 2019. "Oil price fluctuations and exchange rate dynamics in the MENA region: Evidence from non-causality-in-variance and asymmetric non-causality tests," The Quarterly Review of Economics and Finance, Elsevier, vol. 73(C), pages 159-171.
    11. Abdulnasser, Hatemi-J, 2011. "Hidden panel cointegration," MPRA Paper 31604, University Library of Munich, Germany.
    12. Pan, Zhigang & Bai, Zhihong & Xing, Xiaochao & Wang, Zhufeng, 2024. "US inflation and global commodity prices: Asymmetric interdependence," Research in International Business and Finance, Elsevier, vol. 69(C).
    13. Onur Şeyranlıoğlu & Çağlar Sözen & Ferhat İspiroğlu, 2024. "Interaction Between Stock Exchange And Interest Rate in Turkey: A Hidden Cointegration and Asymmetric Causality Analysis," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul Journal of Economics-Istanbul Iktisat Dergisi, vol. 0(40), pages 22-34, June.
    14. Eng, Yoke-Kee & Wong, Chin-Yoong, 2016. "Asymmetric growth effect of capital flows: Evidence and quantitative theory," Economic Systems, Elsevier, vol. 40(1), pages 64-81.
    15. Clement Olalekan Olaniyi & Olaolu Richard Olayeni, 2020. "A new perspective into the relationship between CEO pay and firm performance: evidence from Nigeria’s listed firms," Journal of Social and Economic Development, Springer;Institute for Social and Economic Change, vol. 22(2), pages 250-277, December.
    16. Manga, Muge & Cengiz, Orhan & Destek, Mehmet Akif, 2022. "Is export quality a viable option for sustainable development paths of Asian countries?," MPRA Paper 117552, University Library of Munich, Germany.
    17. Mustafa Kırca & Veysel Karagöl, 2019. "Symmetric and asymmetric causality between current account balance and oil prices: The case of BRICS-T," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 56, pages 25-44.
    18. Sarmiento, Julio & Cayon, Edgardo & Collazos, María & Sandoval, Juan S., 2017. "Positive asymmetric information in volatile environments: The black market dollar and sovereign bond yields in Venezuela," Research in International Business and Finance, Elsevier, vol. 41(C), pages 547-555.
    19. Behrouz Sadeghi Amroabadi, 2022. "Analyzing the Asymmetric Cumulative Effects of Rentier State on Income Inequality in Mena Countries," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 9(3), pages 113-146.
    20. Koray Yıldırım & Neşe Algan & Harun Bal, 2024. "Investment Hysteresis: An Empirical Essay Turkish Case," Evaluation Review, , vol. 48(1), pages 143-176, February.

    More about this item

    Keywords

    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:agr:journl:v:xxiii:y:2016:i:2(607):p:127-134. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mircea Dinu (email available below). General contact details of provider: https://edirc.repec.org/data/agerrea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.