Uluslararası sermaye akımlarının varlık fiyatlaması ve pay senedi getirileri üzerindeki etkisi

International capital flows have often been regarded as one of the drivers of the boom and bust episodes in asset prices especially in emerging markets. In this context, the thesis in hand aims to investigate the impact of international capital flows on asset prices, particularly stocks and house prices, in a number of emerging market economies. Firstly, we analyze the dynamic changes of stock prices throughout the cycles of foreign capital flows i.e. surge episodes, outflow episodes, and the episodes of moderate inflows. To this end, we employ a two-step analyses consist of identifying the episodes of capital inflows and the detection of stock index changepoints during these episodes. The changepoints of the stock price index are estimated using the Pruned Exact Linear Time (PELT) method, while the threshold and clustering approaches are used to identify the episodes of capital flows. The results suggest that stock prices have mostly appreciated during the episodes of moderate capital inflows. On the other hand, the stock price indexes of the selected emerging markets have not remarkably appreciated during the surge of foreign capital inflows. The empirical analysis, indeed, documents very few positive changepoints during the surge episodes of foreign capital inflows. Conversely, price depreciations are occasionally noticed during the episodes of capital outflows. In fact, the stock prices have seen many upward changes despite the reversals of foreign capital flows. Secondly, the time-varying dynamics between US equity flows and stock returns are investigated using the time-varying parameter VAR (TVP-VAR) with stochastic volatility. The empirical estimations are based on monthly data of stock returns and US equity flows from three Pacific Asian emerging economies, namely Indonesia, South Korea, and Thailand. The impulse response functions of the TVP-VAR model show a temporary impact of US equity flows on stock returns. The results also indicate that US equity investors have consistently followed feedback trading strategies throughout the sample periods. The US equity flows show a weak forecast ability to stock returns over most of the sample period. Finally, the impact of foreign capital inflows on house prices during the housing boom episodes is studied using the time-varying parameter linear regression model. The empirical model was estimated using data from three emerging markets namely South Africa, South Korea, and Thailand. Consistent with the previous studies, the foreign capital inflows show a strong impact on house prices during the housing boom episodes in South Africa and South Korea. In contrast, house prices have not been significantly affected by foreign capital inflows in Thailand.