Impact of Changes in Foreign Investors Ownership on Return, Volatility and Liquidity: A Panel Data Analysis for BIST REIT Market

This study aims to test the validity of base broadening hypothesis for the impact of changes in foreign investors' ownership on the return, volatility and liquidity of the shares of the real estate investment trusts (REITs) traded in Borsa Istanbul between 2010 and 2018 by panel regression analysis. Results show that a statistically significant relation exists between the sudden changes in the ownership of the foreign investors and the return, liquidity and volatility of the shares for a short term (up to 3 months). So, it has been seen that base broadening hypothesis is not valid for a long period of time. Even if it can be claimed that price pressure hypothesis could prevail looking at the statistically significant relationship for a short time, it has been considered that this case emerged thanks to the domestic investors paying more court to the market with trading more shares when they were informed about the changes in foreign investors' ownership depending on its nature as information content, not as a result of the traded shares actually by the foreign investors.