This master thesis examines the role of foreign investors in the Istanbul Stock
Exchange in three dimensions: differences among sectors and subsectors in terms
of foreign trading activity, the effect of November 2000 & / #8211 / February 2001 crisis on
returns and foreign trading activity, and the relationship between return and
foreign trading activity. Data used in this thesis covers 72 months between
January 1997 and December 2002. Significant differences among sectors and
subsectors in terms of foreign trading activity is found. On the other hand, there is
no statistically significant difference in the mean values and variances of returns
on the overall market, national sector and most subsector indices before and after
the crisis period of November 2000 & / #8211 / February 2001. However, foreign trading
activity has decreased in interest-sensitive and cyclical industries and increased in defensive industries during the recession that follows the crisis. The relationship
between return and net foreign trading volume relative to the total trading volume
is statistically significant for the overall market and national sectors. Furthermore,
we find that the effect of net foreign trading volume relative to the total trading
volume on return is larger for stocks included in the ISE-30 index. The mean
returns on stocks associated with negative NFV and positive NFV are statistically
significantly different from each other. We further find that it is more likely to
observe positive (negative) return on a stock when net foreign trading volume in
that stock is positive (negative).
| Identifer | oai:union.ndltd.org:METU/oai:etd.lib.metu.edu.tr:http://etd.lib.metu.edu.tr/upload/1089465/index.pdf |
| Date | 01 January 2003 |
| Creators | Usta, Murat |
| Contributors | Guner, Nuray Z. |
| Publisher | METU |
| Source Sets | Middle East Technical Univ. |
| Language | English |
| Detected Language | English |
| Type | M.B.A. Thesis |
| Format | text/pdf |
| Rights | To liberate the content for public access |
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