Do Activities of Foreign Investors Affect Main Stock Exchange Indices? Evidence from Turkey before and in Time of COVID-19 Pandemic

National Accounting Review, 2(4), 384-401

18 Pages Posted: 23 Dec 2020 Last revised: 8 Feb 2021

Date Written: December 22, 2020

Abstract


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.

Keywords: COVID-19 pandemic; foreign investors; main stock exchange index; net selling amount; retention share; Engle-Granger cointegration test; Toda-Yamamoto causality test; MARS

JEL Classification: C32, E44, G12, G15

Suggested Citation

Kartal, Mustafa Tevfik, Do Activities of Foreign Investors Affect Main Stock Exchange Indices? Evidence from Turkey before and in Time of COVID-19 Pandemic (December 22, 2020). National Accounting Review, 2(4), 384-401, Available at SSRN: https://ssrn.com/abstract=3753605

Mustafa Tevfik Kartal (Contact Author)

Borsa Istanbul ( email )

Reşitpaşa Mah. Borsa İstanbul Cad. No: 4
Borsa İstanbul Cad. No: 4
Istanbul, 34467
Turkey

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