Theoretical and Applied Economics
No. 2 / 2016 (607), Summer
Investigation of relation between foreign portfolio investments and stock prices: Time varying asymmetric causality analysis
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.
Contents
The prerequisites of social development when planning for decentralization
Testing the validity of the Feldstein-Horioka Puzzle: New evidence from structural breaks for Turkey
The role of institutional pressures in developing countries. Implications for IFRS
Children’s health insurance coverage in the United States: The role of parents’ ethnicity and immigration status
Axiomatical examination of the neoclassical economic model. Logical assessment of the assumptions of neoclassical economic model
An empirical investigation of banking sector development and economic growth in a panel of selected SAARC countries
A common agency within bureaucracy
From public services to networks of social enterprises. Strategic trends for South-Eastern Europe
The relationship between inclusive growth, inequality and poverty in Africa
Investigation of relation between foreign portfolio investments and stock prices: Time varying asymmetric causality analysis
Asymmetric stochastic volatility in central and eastern European stock markets
Bankruptcy prediction based on the debt ratio
The effects of saving-investment gap on economic growth in developing countries: A clustering and panel data analysis
Impact of educational expenditure on economic growth in major Asian countries: Evidence from econometric analysis
Developing a financial inclusion index and inclusive growth in India
A comprehensive view on the manifestations of aggregate demand and aggregate supply shocks in Greece, Ireland, Italy and Portugal
Examining the determinants of FDI inflows in India
A review of corruption based on the social and economic evolution of Ancient Greece and Ancient Rome
Estimating the exchange rate in the context of Romania's integration in the Eurozone