TRADING VOLUME TREND AS THE INVESTOR’S SENTIMENT INDICATOR IN ISTANBUL STOCK EXCHANGE

Abstract

This study relates the changes of trading volume to investor sentiment, and investigates its ability in predicting stock returns. Investor sentiment is the enthusiasm of irrational investors on an asset, relative to that of rational investors. Having investigated the effects of Investor Sentiment on Stock Prices, Baker and Stein argued that an increase in trading volume reflects a rise in investor sentiment, which can be defined as the change in trading volume per unit of time; called the trading volume trend, it can be used as a measure of investor sentiment on individual stocks. This work aims to find out the volume trend characteristics of all listed equities in the Istanbul Stock Exchange. Results suggest that almost all beta coefficients of volume trend values have positive signs, which reflects the positive contribution of volume changes on the corresponding stock returns.

Keywords

• Investor Sentiment, Volume Trend, Behavioral Finance

İSTANBUL MENKUL KIYMETLER BORSASINDA YATIRIMCI DUYARLILIĞI GÖSTERGESİ OLARAK İŞLEM HACMİ TRENDİ

Abstract

Bu çalışmada işlem hacmi değişimlerinin ilgili hisse senedinin fiyatına etkileri ve hisse senedinin getirisini tahmin etmedeki etkinliği incelenmektedir. Yatırımcı duyarlılığı belirli bir finansal varlığa rasyonel olmayan yatırımcılar tarafından gösterilen ilginin rasyonel yatırımcılar tarafından rasyonel yatırımcı tarafından gösterilen ilgiliye oranıdır. Baker ve Stein’ın da çalışmalarında belirttiği gibi bir hisse senedi üzerinde yatırımcı duyarlılığının etkinliğini gösteren, birim zamandaki işlem hacmi değişimini gösteren ve işlem hacmi trendi olarak tanımlanan bu değişkendeki artışlar aynı zamanda yatırımcı duyarlılığının artışını temsil etmektedir.Bu çalışmada IMKB’deki tüm hisse senetlerinin işlem hacmi trendi karakteristiklerinin gözlemlenmesi hedeflenmektedir. Sonuçta işlem hacmi trendine ilişkin neredeyse tüm beta katsayıları pozitif bulunmuştur. Bu işlem hacmi trendi ile hisse senedi getirilerindeki doğrusal ilişkiyi yansıtmaktadır

Keywords

• Yatırımcı duyarlılığı, Hacim Trendi, Davranışsal Finans

References

1. AMIHUD, Y. and MENDELSON, H., (1986), Asset Pricing and the Bid-Ask Spread, Journal of Financial Economics 17, 223-249.
2. AMIHUD, Y., (2002), Illiquidity and Stock Returns: Cross-Section and Time-Series Effects, Journal of Financial Markets 5, 31-56.
3. BAKER, M., STEIN, J.C. (2004), Investor Sentiment and the Cross-Section of Stock Returns, NBER Working Paper #10449.
4. BLACK, F. , (1986), Noise, Journal of Finance 41, 529-543.
5. BRENNAN, M. J., CHORDIA, T., and SUBRAHMANYAM, A., (1998), Alternative Factor Specifications, Security Characteristics, and the Cross-Section of Expected Stock Returns, Journal of Financial Economics 49, 345-373
6. BROWN, G.W., CLIFF M.T., (2005), Investor Sentiment and Asset Valuation, Journal of Businesse 78, forthcoming.
7. CHORDIA, T., ROLL R., and SUBRAHMANYAM A., (2000), Commonality in Liquidity, Journal of Financial Economics 56, 3-28.
8. CHORDIA, T., SUBRAHMANYAM A., and ANSHUMAN V.R., (2001), Trading Activity and Expected Stock Returns, Journal of Financial Economics 59, 3-32.

9. DE LONG, J.B., SHLEIFER, A., SUMMERS L.H., WALDMAN, J.L., (1990), Noise Trader Risk in Financial Markets, Journal of Political Economy 98, 703-738.
10. DEMSETZ, H. , (1968), The Cost of Transacting, Quarterly Journal of Economics 82, 33-53.
11. HARRIS, M. , RAVIV, A., (1993), Differences of Opinion Make a Horse Race, Review of Financial Studies 6, 473-506.
12. KARPOFF, J. M., (1986), A Theory of Trading Volume, Journal of Finance 41, 1069-1087.
13. KYLE, A.S., (1985), Continuous Auctions and Insider Trading, Econometrica 53, 1315-1335.
14. LEE, C.M.C., SHLEIFER, A., THALER, R.H., (1991), Investor Sentiment and the Closed- End Fund Puzzle, Journal of Finance 46, 75-109.
15. LESMOND, D. A., OGDEN J.P., and TRZCINKA C.A., (1999), A New Estimate of Transaction Costs, Review of Financial Studies 12, 1113-1141.
16. MILLER, E. M., (1977), Risk, Uncertainty, and Divergence of Opinion, Journal of Finance 32, 1151-1168.
17. NEAL, R., WHEATLEY, H.M., (1998), Do Measures of Investor Sentiment Predict Returns?, Journal of Financial and Quantitative Analysis 33, 523-547.
18. PASTOR, L., STAMBAUGH, R.F., (2003), Liquidity Risk and Expected Stock Returns, Journal of Political Economy 111, 642-685.
19. ROLL, R., (1984), A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market, Journal of Finance 39, 1127-1139.
20. SMIDT, S., (1968), A New Look at the Random Walk Hypothesis, Journal of Financial and Quantitative Analysis 3, 235-261.
21. STOLL, H. R., (1978), The Supply of Dealer Services in Securities Markets, Journal of Finance 33, 1133-1151.
22. SWAMINATHAN, S., (1996), Corporate Responses to Segment Disclosure Requirements. Journal of Accounting and Economics. 21(2): 253-275.
23. ZWEIG, M.E., (1973), An Investor Expectations Stock Price Predictive Model Using Closed- End Fund Premiums, Journal of Finance 28, 67-78.