This study researches the impacts of foreign portfolio flows (proxied by foreign investors' retention share) and monetary policy responses (proxied by the repurchase interest rate) on Turkey's stock market index taking the COVID-19 pandemic into consideration. A volatility index, credit default swap spreads, and foreign exchange rates are used as control variables, with a daily dataset between January 2, 2017, and October 20, 2020. After examining the stationarity and nonlinearity characteristics of the variables, we applied a nonlinear autoregressive distributed lag (NARDL) model and then conducted a Markov switching regression (MSR) for a robustness check. The results reveal that both foreign portfolio flows and monetary responses have an important effect on the index, and foreign portfolio flows have a higher effect than monetary responses. Accordingly, the results obtained from the NARDL and MSR models are robust and consistent.

本研究考虑到 COVID-19 大流行，研究了外国投资组合流动（以外国投资者的保留份额为代表）和货币政策反应（以回购利率为代表）对土耳其股市指数的影响。波动率指数、信用违约掉期利差和外汇汇率被用作控制变量，每日数据集在 2017 年 1 月 2 日至 2020 年 10 月 20 日之间。在检查了变量的平稳性和非线性特征后，我们应用了非线性自回归分布滞后 (NARDL) 模型，然后进行马尔可夫切换回归 (MSR) 以进行稳健性检查。结果表明，外国投资组合流动和货币反应对指数都有重要影响，外国投资组合流动比货币反应具有更高的影响。因此，从 NARDL 和 MSR 模型获得的结果是稳健且一致的。