Revisiting the Causality Between the IPO Index and Domestic and Foreign Investor Portfolios: Evidence from a Time-Varying Granger Framework

Özet

This study aims to investigate the causal relationship between the Public Offering Index (XHARZ) and the portfolio values of domestic and foreign investors. For this purpose, a dataset consisting of 152 monthly observations covering the period June 2012-January 2025 was used. The Time-Varying Granger Causality test developed by Shi et al. (2020) was applied to analyze the relationship between XHARZ and investor portfolio values. The findings indicate a bidirectional causal structure between XHARZ and domestic and foreign investor portfolios, which is sensitive to cyclical regimes. This result…

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