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İMKB’de Yabancı İşlemleri ve Hisse Senedi Getirileri İlişkisi = The Relationship Between Foreign Investments and Stock Returns on ISE

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Author(s): H. Aydın OKUYAN | Erman ERBAYKAL

Journal: Dogus University Journal
ISSN 1302-6739

Volume: 12;
Issue: 2;
Start page: 256;
Date: 2011;
Original page

Keywords: Tabanın Genişlemesi Hipotezi | Yabancı Yatırımlar | Sınır Testi

ABSTRACT
This paper, emerging from base broadening hypothesis, investigates whether the foreign transactions have an affect on the security returns in ISE. The cointegration relationship between two variables has been analyzed by the bounds testing approach developed by Pesaran et. al.(2001) and ARDL models using the monthly data of 1997:01- 2009:12. As a result, a positive relationship has been detected between the foreign transactions and returns of shares in the long run. However, the same relationship is insignificant in the short run. This finding can be interpreted as the validity of base broadening hypotesis in long term in ISE.

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