YATIRIMCI DİKKATİ, DUYARLILIĞI VE PİYASA ETKİNLİĞİ: BORSA İSTANBUL ÜZERİNE BİR ANALİZ

Abstract

Bu çalışma, Borsa İstanbul’un etkinliğini belirleyen faktörleri davranışsal bir bakış açısıyla değerlendirmeyi amaçlamaktadır. Bu doğrultuda, yatırımcı dikkati göstergesi olarak aşırı getiri, anormal işlem hacmi ve geçmiş getiri değişkenleri ele alınırken, yatırımcı duyarlılığının göstergesi olarak VIX endeksi kullanılmıştır. Çalışma kapsamında, 03.01.2017–30.09.2024 dönemine ait günlük veriler analiz edilmiştir. Piyasa etkinliğinin ölçülmesi amacıyla ilk olarak Sample Entropi yöntemi uygulanmış ve XU100 endeksinin Göreceli Bilgisel Etkinlik Endeksi oluşturulmuştur. Elde edilen bulgular, XU100 endeksinin tam etkin yapıya sahip olmadığını, ancak kısmi etkinlik sergilediğini göstermektedir. Bu sonuç, piyasa etkinliğinin statik olmadığını ve piyasa koşulları, ekonomik krizler ve yatırımcı davranışlarındaki değişimlere bağlı olarak dinamik bir yapı gösterdiğini ortaya koymaktadır. Çalışmanın ikinci aşamasında, piyasa etkinliğini etkileyen faktörlerin uzun dönemli ilişkisini belirlemek amacıyla ARDL sınır testi uygulanmıştır. Analiz bulguları, aşırı getirinin XU100 endeksinin etkinliğini uzun dönemde pozitif yönde etkileyen tek değişken olduğunu göstermektedir. Buna karşılık, VIX endeksinin uzun dönemde piyasa etkinliği üzerinde negatif bir etkisi olduğu tespit edilmiştir. Anormal işlem hacmi ve geçmiş getirilerin piyasa etkinliği üzerinde istatistiksel olarak anlamlı bir etkisinin bulunmaması, bu değişkenlerin fiyat oluşum sürecine her zaman bilgi sunmadığını ortaya koymaktadır. Elde edilen sonuçlar, piyasa etkinliğinin yatırımcı davranışları ve duyarlılıklarına bağlı olarak değişkenlik gösterdiğini vurgulamaktadır. Çalışma bulguları, Adaptif Piyasalar Hipotezi’ni desteklemekte ve piyasa etkinliğini artırmaya yönelik düzenleyici politika ve stratejilerin geliştirilmesine katkı sağlamayı amaçlamaktadır.

Keywords

• Piyasa Etkinliği
• Yatırımcı Dikkati
• Yatırımcı Duyarlılığı
• Sample Entropi
• ARDL Sınır Testi

INVESTOR ATTENTION, SENTIMENT, AND MARKET EFFICIENCY: AN ANALYSIS OF BORSA ISTANBUL

Abstract

This study aims to evaluate the factors determining the efficiency of Borsa Istanbul from a behavioral perspective. Accordingly, extreme returns, abnormal trading volume, and past returns are considered indicators of investor attention, while the VIX index is used as a proxy for investor sentiment. The study analyzes daily data covering the period from 03.01.2017 to 30.09.2024. To measure market efficiency, the Sample Entropy method is first applied, and the Relative Informational Efficiency Index of the XU100 index is constructed. The findings indicate that the XU100 index does not exhibit a fully efficient structure but rather demonstrates partial efficiency. This result reveals that market efficiency is not static and has a dynamic structure depending on changes in market conditions, economic crises and investor behavior. In the second stage of the study, ARDL bounds test was applied to determine the long-term relationship between the factors affecting market efficiency. The analysis findings show that extreme returns are the only variable that positively affects the efficiency of the XU100 index in the long term. In contrast, the VIX index negatively affects market efficiency in the long term. The lack of a statistically significant effect of abnormal trading volume and past returns on market efficiency suggests that these variables do not always contribute information to the price formation process. The findings emphasize that market efficiency varies depending on investor behavior and sentiment development of regulatory policies and strategies to increase market efficiency.

Keywords

• Market Efficiency
• Investor Attention
• Investor Sentiment
• Sample Entropy
• ARDL Bounds Test

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