Özet:

In the study; the effect of the foreign investor on derivative markets is aimed to be analyzed so that 97 monthly return data of Turkish Derivatives Exchange Index 30 (VOB 30 Index) from February 2005 and June 2013 also monthly trading volume data belonged to the foreign investor traded in the mentioned Exchange are examined. Afterwards; monthly trading volume of the foreign investor traded in Istanbul Stock Exchange and the return of the VOB 30 Index contracts are analyzed. Granger and Toda-Yamamoto methods are benefited in the study aiming to find out the causality relationship between the series. The findings acquired indicate that any relationship does not exist between the foreign investor traded in Turkish Derivatives Exchange and the return data of VOB 30 Index contracts. However; bidirectional causality relationship between the shares of foreign investor traded in Istanbul Stock Exchange and the return of VOB 30 Index contracts. Finally; a statistically significant relationship from return rates towards foreign investor shares is proved.

Anahtar Kelimeler: