Do activities of foreign investors affect main stock exchange indices? Evidence from Turkey before and in time of Covid-19 pandemic
The net selling amount and foreign investors' retention share have been criticized due to the effects on stock exchange indices. The study focuses on the development of the main index in Turkey (XU100 index) by examining two sub-parts (i.e. before and in Covid-19 pandemic). Daily data between 0...
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doaj-ff0d0a3c58cd4bff9c826e91ff7e8c3a2020-12-23T03:03:23ZengAIMS PressNational Accounting Review2689-30102020-12-012438440110.3934/NAR.2020023Do activities of foreign investors affect main stock exchange indices? Evidence from Turkey before and in time of Covid-19 pandemicMustafa Tevfik Kartal 0Borsa İstanbul Strategic Planning and Investor Relations Directorate, İstanbul, TurkeyThe net selling amount and foreign investors' retention share have been criticized due to the effects on stock exchange indices. The study focuses on the development of the main index in Turkey (XU100 index) by examining two sub-parts (i.e. before and in Covid-19 pandemic). Daily data between 01.02.2020 and 06.26.2020 are analyzed by applying the Engle-Granger cointegration test, Toda-Yamamoto causality test, and multivariate adaptive regression splines (MARS). The findings reveal that (ⅰ) net selling amount of foreign investors has an effect on the index in Covid-19 pandemic times; (ⅱ) retention share of foreign investors is influential on the index for both period; (ⅲ) there is cointegration between the index and independent variables but this relationship is not at causality level.http://www.aimspress.com/article/10.3934/NAR.2020023?viewType=HTMLcovid-19 pandemicforeign investorsmain stock exchange indexnet selling amountretention shareengle-granger cointegration testtoda-yamamoto causality testmars |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Mustafa Tevfik Kartal |
spellingShingle |
Mustafa Tevfik Kartal Do activities of foreign investors affect main stock exchange indices? Evidence from Turkey before and in time of Covid-19 pandemic National Accounting Review covid-19 pandemic foreign investors main stock exchange index net selling amount retention share engle-granger cointegration test toda-yamamoto causality test mars |
author_facet |
Mustafa Tevfik Kartal |
author_sort |
Mustafa Tevfik Kartal |
title |
Do activities of foreign investors affect main stock exchange indices? Evidence from Turkey before and in time of Covid-19 pandemic |
title_short |
Do activities of foreign investors affect main stock exchange indices? Evidence from Turkey before and in time of Covid-19 pandemic |
title_full |
Do activities of foreign investors affect main stock exchange indices? Evidence from Turkey before and in time of Covid-19 pandemic |
title_fullStr |
Do activities of foreign investors affect main stock exchange indices? Evidence from Turkey before and in time of Covid-19 pandemic |
title_full_unstemmed |
Do activities of foreign investors affect main stock exchange indices? Evidence from Turkey before and in time of Covid-19 pandemic |
title_sort |
do activities of foreign investors affect main stock exchange indices? evidence from turkey before and in time of covid-19 pandemic |
publisher |
AIMS Press |
series |
National Accounting Review |
issn |
2689-3010 |
publishDate |
2020-12-01 |
description |
The net selling amount and foreign investors' retention share have been criticized due to the effects on stock exchange indices. The study focuses on the development of the main index in Turkey (XU100 index) by examining two sub-parts (i.e. before and in Covid-19 pandemic). Daily data between 01.02.2020 and 06.26.2020 are analyzed by applying the Engle-Granger cointegration test, Toda-Yamamoto causality test, and multivariate adaptive regression splines (MARS). The findings reveal that (ⅰ) net selling amount of foreign investors has an effect on the index in Covid-19 pandemic times; (ⅱ) retention share of foreign investors is influential on the index for both period; (ⅲ) there is cointegration between the index and independent variables but this relationship is not at causality level. |
topic |
covid-19 pandemic foreign investors main stock exchange index net selling amount retention share engle-granger cointegration test toda-yamamoto causality test mars |
url |
http://www.aimspress.com/article/10.3934/NAR.2020023?viewType=HTML |
work_keys_str_mv |
AT mustafatevfikkartal doactivitiesofforeigninvestorsaffectmainstockexchangeindicesevidencefromturkeybeforeandintimeofcovid19pandemic |
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1724373844928495616 |