The role of foreign investors in the İstanbul Stock Exchange

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2003
Usta, Murat
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 ا 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 ا 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).

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Citation Formats
M. Usta, “The role of foreign investors in the İstanbul Stock Exchange,” M.B.A. - Master of Business Administration, Middle East Technical University, 2003.