ANALYSIS OF THE RELATIONSHIP BETWEEN HOT MONEY MOVEMENTS AND STOCK RETURNS AND LIQUIDITY IN TURKEY

被引：0
作者：
Yilmaz, Tuncer [1 ]
机构：
[1] Kafkas Univ, Susuz Meslek Yuksekokulu, Ulastirma Hizmetleri Bolumu, Kars, Turkiye
来源：
JOURNAL OF MEHMET AKIF ERSOY UNIVERSITY ECONOMICS AND ADMINISTRATIVE SCIENCES FACULTY | 2023年 / 10卷 / 01期
关键词：
Hot Money; Return; Liquidity; NARDL; Granger Causality; CAPITAL-ACCOUNT LIBERALIZATION; TIME-SERIES; UNIT-ROOT; CROSS-SECTION; MARKET; FLOWS; COINTEGRATION; SEGMENTATION; CAUSALITY; INFLOWS;
D O I：
10.30798/makuiibf.1218997
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The degree of the connection between "hot money", speculative capital flow looking for a faster returns in the near term, and the performance and liquidity of Turkey's stock market have been looked into in this article. NARDL and Granger causality tests were used to assess the study's data. The results showed that the stock market return and the liquidity and hot money components are related in a cointegrated and asymmetrical way. It was found through the Granger causality test that there is a bidirectional causal relationship between stock market liquidity and portfolio investments.
引用
收藏
页码：530 / 559
页数：30
相关论文
共 80 条
[1]   Mitigating human-induced emissions in Argentina: role of renewables, income, globalization, and financial development [J].
Adebayo, Tomiwa Sunday ;
Akinsola, Gbenga Daniel ;
Bekun, Festus Victor ;
Osemeahon, Oseyenbhin Sunday ;
Sarkodie, Samuel Asumadu .
ENVIRONMENTAL SCIENCE AND POLLUTION RESEARCH, 2021, 28 (47) :67764-67778
[2]   FITTING AUTOREGRESSIVE MODELS FOR PREDICTION [J].
AKAIKE, H .
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 1969, 21 (02) :243-&
[3]   NEW LOOK AT STATISTICAL-MODEL IDENTIFICATION [J].
AKAIKE, H .
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1974, AC19 (06) :716-723
[4]  
Akyuz Y., 1993, 56 UNCTAD
[5]   ARBITRAGE, SHORT SALES, AND FINANCIAL INNOVATION [J].
ALLEN, F ;
GALE, D .
ECONOMETRICA, 1991, 59 (04) :1041-1068
[6]  
Altun O., 2007, Kuresel Fon Akimlarinin Gelismekte Olan Ekonomilere ve Turkiye Ekonomisine Etkisi (Turkiye'ye Yonelik Sermaye Akimlarina Iliskin Ampirik Calisma)
[7]   Illiquidity and stock returns: cross-section and time-series effects [J].
Amihud, Y .
JOURNAL OF FINANCIAL MARKETS, 2002, 5 (01) :31-56
[8]   DEALERSHIP MARKET - MARKET-MAKING WITH INVENTORY [J].
AMIHUD, Y ;
MENDELSON, H .
JOURNAL OF FINANCIAL ECONOMICS, 1980, 8 (01) :31-53
[9]  
Aslantas M. F., 2022, MALI COZUM, V32, P109
[10]   Large capital inflows, sectoral allocation, and economic performance [J].
Benigno, Gianluca ;
Converse, Nathan ;
Fornaro, Luca .
JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2015, 55 :60-87
12345678