The Global Financial Crisis, Capital Flows, Investors Heterogeneity - - PowerPoint PPT Presentation
The Global Financial Crisis, Capital Flows, Investors Heterogeneity - - PowerPoint PPT Presentation
The Global Financial Crisis, Capital Flows, Investors Heterogeneity in Turkey Linh Bun (UCSC), Orcan Cortuk (MKK) and Fatih Kiraz (MKK) UCSC Macro Workshop (Spring 2015) April 6, 2015 Motivations The first item . . . . . . and the
The Global Financial Crisis, Capital Flows, Investors Heterogeneity in Turkey Linh Bun (UCSC), Orcan Cortuk (MKK) and Fatih Kiraz (MKK) UCSC Macro Workshop (Spring 2015) April 6, 2015
Motivations • The first item . . . • . . . and the second one.
Motivations • The first item . . . • . . . and the second one.
Questions • The first item . . . • . . . and the second one.
Questions • The first item . . . • . . . and the second one.
Questions 2 • The first item . . . • . . . and the second one.
Questions 2 • The first item . . . • . . . and the second one.
Hypotheses
Literature • kim2011sungwei • giannetti2006simonov
Literature • kim2011sungwei • giannetti2006simonov
Literature • kim2011sungwei • giannetti2006simonov
MKK Investors • Initial year: Data on investors in equities starts in November 2005 • Frequency: Monthly, Quarterly and Yearly • As of December 2014, 1 million stocks investors • For now, we will focus on Foreign Institutional Investors
MKK Investors • Initial year: Data on investors in equities starts in November 2005 • Frequency: Monthly, Quarterly and Yearly • As of December 2014, 1 million stocks investors • For now, we will focus on Foreign Institutional Investors
MKK Investors • Initial year: Data on investors in equities starts in November 2005 • Frequency: Monthly, Quarterly and Yearly • As of December 2014, 1 million stocks investors • For now, we will focus on Foreign Institutional Investors
MKK Investor-Stock Level • Investor Home-Country Information • Nationality (Foreign/Domestic), ID Type (Real/Legal/Fund/Other), Age, Birthplace, Gender, Address Information (Residents) • Other Information • Investment Size, Investment History, Number of Holdings • Balance/Portfolio Value • Investor Portfolio Holdings Information • End-of-period (month) portfolio investment position of investor i on each firm f security • End-of-period (month) sectoral/sub-sectoral porfolio investment holdings
MKK Investor-Stock Level • Investor Home-Country Information • Nationality (Foreign/Domestic), ID Type (Real/Legal/Fund/Other), Age, Birthplace, Gender, Address Information (Residents) • Other Information • Investment Size, Investment History, Number of Holdings • Balance/Portfolio Value • Investor Portfolio Holdings Information • End-of-period (month) portfolio investment position of investor i on each firm f security • End-of-period (month) sectoral/sub-sectoral porfolio investment holdings
MKK Investor-Stock Level • Investor Home-Country Information • Nationality (Foreign/Domestic), ID Type (Real/Legal/Fund/Other), Age, Birthplace, Gender, Address Information (Residents) • Other Information • Investment Size, Investment History, Number of Holdings • Balance/Portfolio Value • Investor Portfolio Holdings Information • End-of-period (month) portfolio investment position of investor i on each firm f security • End-of-period (month) sectoral/sub-sectoral porfolio investment holdings
MKK Investor-Stock Level • Investor Home-Country Information • Nationality (Foreign/Domestic), ID Type (Real/Legal/Fund/Other), Age, Birthplace, Gender, Address Information (Residents) • Other Information • Investment Size, Investment History, Number of Holdings • Balance/Portfolio Value • Investor Portfolio Holdings Information • End-of-period (month) portfolio investment position of investor i on each firm f security • End-of-period (month) sectoral/sub-sectoral porfolio investment holdings
MKK Investor-Stock Level • Investor Home-Country Information • Nationality (Foreign/Domestic), ID Type (Real/Legal/Fund/Other), Age, Birthplace, Gender, Address Information (Residents) • Other Information • Investment Size, Investment History, Number of Holdings • Balance/Portfolio Value • Investor Portfolio Holdings Information • End-of-period (month) portfolio investment position of investor i on each firm f security • End-of-period (month) sectoral/sub-sectoral porfolio investment holdings
MKK Investor-Stock Level • Investor Home-Country Information • Nationality (Foreign/Domestic), ID Type (Real/Legal/Fund/Other), Age, Birthplace, Gender, Address Information (Residents) • Other Information • Investment Size, Investment History, Number of Holdings • Balance/Portfolio Value • Investor Portfolio Holdings Information • End-of-period (month) portfolio investment position of investor i on each firm f security • End-of-period (month) sectoral/sub-sectoral porfolio investment holdings
MKK Investor-Stock Level • Investor Home-Country Information • Nationality (Foreign/Domestic), ID Type (Real/Legal/Fund/Other), Age, Birthplace, Gender, Address Information (Residents) • Other Information • Investment Size, Investment History, Number of Holdings • Balance/Portfolio Value • Investor Portfolio Holdings Information • End-of-period (month) portfolio investment position of investor i on each firm f security • End-of-period (month) sectoral/sub-sectoral porfolio investment holdings
Compustat • Compustat Global for Turkish firms • Balance sheet information (258 firms)
Compustat • Compustat Global for Turkish firms • Balance sheet information (258 firms)
Country Level • World Governance Indicators • Home-country disparity
Country Level • World Governance Indicators • Home-country disparity
Methodology • Portfolio share calculation: • Holding weights • Holding dummies
Methodology • Portfolio share calculation: • Holding weights • Holding dummies
Methodology • Portfolio share calculation: • Holding weights • Holding dummies
Methodology • Portfolio share calculation: • Holding weights • Holding dummies
Tobit HW i , f , t = α + β Firm f , t + λ Z f , t + γ ForeignInv i , t + η i + η t + ǫ i , f , t .
Probit P [ HD i , f , t = 1] = α + β Firm f , t + λ Z f , t + γ ForeignInv i , t + η i + η t + ǫ i , f , t .
Remarks 1. Endogeneity issues • Reverse causality 2. With a total of 7 frames (pages in handout mode). 3. And 14 overlays (pages in presentation mode).
Remarks 1. Endogeneity issues • Reverse causality 2. With a total of 7 frames (pages in handout mode). 3. And 14 overlays (pages in presentation mode).
Remarks 1. Endogeneity issues • Reverse causality 2. With a total of 7 frames (pages in handout mode). 3. And 14 overlays (pages in presentation mode).
Remarks 1. Endogeneity issues • Reverse causality 2. With a total of 7 frames (pages in handout mode). 3. And 14 overlays (pages in presentation mode).