Co-movement of Foreign Direct and Portfolio Investments in Central and Eastern Europe

Yaman O. ERZURUMLU; Giray GOZGOR

Article Details

Co-movement of Foreign Direct and Portfolio Investments in Central and Eastern Europe

Authors:

Yaman O. ERZURUMLU | Giray GOZGOR

Publisher:

İlhan ÖZTÜRK

Journal:

International Journal of Economics and Financial Issues 2014 Vol.4 Issue 3, pp.457-464

Document Type:

Article

Publication Date:

8/2014

Document Language:

Turkish

Document ID (Org No.):

2000814398

Frequency:

Bimonthly

eISSN:

2146-4138

Abstract:

 

This paper empirically examines short- and long-run relationships between foreign direct investments (FDI) and volatility of foreign portfolio investments (FPI) in 12 Central and Eastern European (CEE) countries. We use the Generalized Autoregressive Conditional Heteroskedasticity models to calculate volatility of the FPIs. We utilize the second generation panel unit root test, panel-Wald causality test procedure and panel cointegration analysis allowing for structural breaks, and cross-sectional dependence. The results strongly suggest that a decrease in FPI volatility is followed by an increase in FDI in the long-run, and this indicates economies that advance in capital liberalization benefit from increases in FDI. However, the relationship in opposite direction in the long-run is valid in only half of the countries studied. In short-run, we observe that the former relationship is valid only in Turkey, the Czech Republic, and Lithuania; where the latter is valid only in Latvia.

Article Details

Co-movement of Foreign Direct and Portfolio Investments in Central and Eastern Europe

Authors: Yaman O. ERZURUMLU | Giray GOZGOR

Publisher: İlhan ÖZTÜRK

Journal: International Journal of Economics and Financial Issues 2014 Vol.4 Issue 3, pp.457-464

Document Type: Article

Publication Date: 8/2014

Document Language: Turkish

Document ID (Org No.): 2000814398

Frequency: Bimonthly

eISSN: 2146-4138

Issues

Authors:

Yaman O. ERZURUMLU | Giray GOZGOR

Publisher:

İlhan ÖZTÜRK

Journal:

International Journal of Economics and Financial Issues 2014 Vol.4 Issue 3, pp.457-464

Document Type:

Article

Publication Date:

8/2014

Document Language:

Turkish

Document ID (Org No.):

2000814398

Frequency:

Bimonthly

eISSN:

2146-4138