The effect of foreign portfolio investments on the 2005-2020 period BİST 100 index

Today, as a result of developments in financial markets supported by information and communication technologies, investors invest in different parts of the world in an easy, fast and transparent way. The goal of every investor is to provide high returns with low risk. In order for investors to achieve this goal, they need to have information about the factors affecting the financial product they invest in. In order to determine these factors, it is of great importance to make an econometric analysis of the variables that affect the return of the financial product in question. In the analysis, In this study, it has been investigated whether the buying and selling transactions of foreigners in the Borsa Istanbul (BIST) during the 2005-2020 period have an effect on the rise and fall of the BIST 100 index. In the analysis, BIST 100 index was included as the dependent variable, and foreign portfolio investments (FPİ) as the independent variable. Correlation between variables with monthly data between 01.01.2005 and 31.12.2020, ADF, PP and KPSS unit root tests, Granger Causality Test, Engle-Granger and Johansen-Juselius cointegration tests and VAR analysis were performed. As a result of the study, it has been determined that there is a 0.33 positive relationship between foreign portfolio investments and BIST 100 index and these variables are not stationary. Thus, it was concluded that there is a long-term relationship between the related variables. As a result of the Granger test, a causal relationship could not be determined between BIST 100 and FPİ variables. It has been determined that there is no autocharlation and varying variance problem in the model and the error terms are not normally distributed. It has been determined that there is a structural break in the model. Keywords: Foreign portfolio ınvestment, BİST, İMKB, BİST 100, Cointegration analysis, Unit root test, Granger causality test, VAR analysis.