This study aims to analyze the relationship between foreign capital inflow and sectoral indices in the Turkish capital markets. For this purpose, monthly data on portfolio investments and sectoral index values from May 2004 to March 2025 were examined. A time series analysis was conducted to explore the short- and long-term relationships between portfolio investments and sectoral indices in depth. Additionally, a causality analysis was performed to test the validity of the lead-lag and feedback theories. The ARDL analysis revealed a cointegration relationship between portfolio investments and 19 sectoral indices. The long-term ARDL results indicate that foreign portfolio investors tend to favor investments in the financial, construction, holding, food, and industrial sector indices, showing greater confidence in these sectors over the long run. For other sectoral indices, the long-term coefficients were found to be statistically insignificant. In the short-term ARDL analysis, high correlation coefficients were observed between portfolio investments and sectoral indices that are considered liquid and real. Meanwhile, several other sector indices showed statistically significant negative relationships at different lag levels. This suggests that international portfolio investors prioritize liquid sectoral indices and tend to avoid investments in real sector indices in the short term. The causality analysis showed that portfolio investments act as a leading indicator for sectoral indices. Overall, the findings suggest that international portfolio investors behave selectively with regard to sectoral indices and tend to avoid risk by focusing on more liquid sectors, particularly in the short term.