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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

  1. 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

  2. Motivations • The first item . . . • . . . and the second one.

  3. Motivations • The first item . . . • . . . and the second one.

  4. Questions • The first item . . . • . . . and the second one.

  5. Questions • The first item . . . • . . . and the second one.

  6. Questions 2 • The first item . . . • . . . and the second one.

  7. Questions 2 • The first item . . . • . . . and the second one.

  8. Hypotheses

  9. Literature • kim2011sungwei • giannetti2006simonov

  10. Literature • kim2011sungwei • giannetti2006simonov

  11. Literature • kim2011sungwei • giannetti2006simonov

  12. 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

  13. 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

  14. 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

  15. 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

  16. 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

  17. 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

  18. 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

  19. 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

  20. 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

  21. 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

  22. Compustat • Compustat Global for Turkish firms • Balance sheet information (258 firms)

  23. Compustat • Compustat Global for Turkish firms • Balance sheet information (258 firms)

  24. Country Level • World Governance Indicators • Home-country disparity

  25. Country Level • World Governance Indicators • Home-country disparity

  26. Methodology • Portfolio share calculation: • Holding weights • Holding dummies

  27. Methodology • Portfolio share calculation: • Holding weights • Holding dummies

  28. Methodology • Portfolio share calculation: • Holding weights • Holding dummies

  29. Methodology • Portfolio share calculation: • Holding weights • Holding dummies

  30. 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 .

  31. 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 .

  32. 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).

  33. 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).

  34. 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).

  35. 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).

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