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.
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页码：530 / 559
页数：30
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