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The Global Financial Crisis, Capital Flows, Investors Heterogeneity - - PowerPoint PPT Presentation

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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

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SLIDE 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

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SLIDE 2

Motivations

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

Motivations

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

Questions

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

Questions

  • The first item. . .
  • . . . and the second one.
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SLIDE 6

Questions 2

  • The first item. . .
  • . . . and the second one.
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SLIDE 7

Questions 2

  • The first item. . .
  • . . . and the second one.
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SLIDE 8

Hypotheses

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SLIDE 9

Literature

  • kim2011sungwei
  • giannetti2006simonov
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SLIDE 10

Literature

  • kim2011sungwei
  • giannetti2006simonov
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SLIDE 11

Literature

  • kim2011sungwei
  • giannetti2006simonov
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SLIDE 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
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SLIDE 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
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SLIDE 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
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SLIDE 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

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SLIDE 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

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SLIDE 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

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SLIDE 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

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SLIDE 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

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SLIDE 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

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SLIDE 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

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SLIDE 22

Compustat

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

Compustat

  • Compustat Global for Turkish firms
  • Balance sheet information (258 firms)
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SLIDE 24

Country Level

  • World Governance Indicators
  • Home-country disparity
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SLIDE 25

Country Level

  • World Governance Indicators
  • Home-country disparity
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SLIDE 26

Methodology

  • Portfolio share calculation:
  • Holding weights
  • Holding dummies
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SLIDE 27

Methodology

  • Portfolio share calculation:
  • Holding weights
  • Holding dummies
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SLIDE 28

Methodology

  • Portfolio share calculation:
  • Holding weights
  • Holding dummies
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SLIDE 29

Methodology

  • Portfolio share calculation:
  • Holding weights
  • Holding dummies
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SLIDE 30

Tobit

HWi,f ,t = α + βFirmf ,t + λZf ,t + γForeignInvi,t + ηi + ηt + ǫi,f ,t.

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SLIDE 31

Probit

P[HDi,f ,t = 1] = α + βFirmf ,t + λZf ,t + γForeignInvi,t + ηi + ηt + ǫi,f ,t.

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SLIDE 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).
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SLIDE 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).
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SLIDE 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).
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SLIDE 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).