HOW THE INTERNATIONAL PORTFOLIO INVESTMENTS AFFECTED IN THE RECESSION AND GROWTH PERIODS? TURKEY EXAMPLE

Turkey stock market is one of the most effected markets from the liquidity in international capital markets. Numerous variables affecting the global economy, such as monetary policy decisions made by the Federal Reserve (FED) and the European Central Bank (ECB), and country-specific variables are simultaneously affecting capital flows to the stock markets. In the study which analyzes the international net portfolio investments to Turkey stock market in the context of the relationship with USD/TRY exchange rate, equity market index and Turkey's 5 years credit default swap's (CDS) premiums', Multivariate Markov Switching Vector Autoregressive Models (MMS-VAR) are used. The model that best describes the relationship between variables is the three regimed (recession, moderate growth and expansion) MSIH(3)-VAR(2) model. The recession and expansion regimes in the model can also be expressed as bear (recession) market and bullish (expansion) markets in financial markets. In the study that uses the weekly observations beginning from 2013 to 2016, one of the empirical findings that draw attention is the relationships between net portfolio investments and exchange rate is different via the market is in the recession regime or growth regime