Global Risk Aversion, the Benchmark Index and the Foreign Investors: The case of Borsa Istanbul

This paper investigates the foreign equity holdings at Borsa Ýstanbul. Employing the augmented VAR model, we find that the VIX Index which is accepted as a key indicator for global investor sentiment, has an explanatory power on the net foreign equity holdings, the foreign market capitalization ratio and the BIST 100 Index. Analyzing the interaction between the BIST 100 Index and the foreign equity holdings we find that the BIST 100 Index has the leading role; utilizing daily returns of up to 10 days, we also find evidence that foreign investors at Borsa Ýstanbul pursue momentum investing.