Research Article
BibTex RIS Cite
Year 2017, , 309 - 317, 30.12.2017
https://doi.org/10.17261/Pressacademia.2017.763

Abstract

References

  • Akdag, Ö. (2011). Investor Sentiment and Its Effect on Stock Returns. (Doctoral dissertation, Istanbul Technical University, Institute of Science and Technology).
  • Anderson, S.C. and Born, J.A. (2002). Closed-End Fund Pricing Theories and Evidence. USA: Springer.
  • Baker, M., and Stein, J. (2004). Market Liquidity as a Sentiment Indicator. Journal of Financial Markets, 7 (3), pp. 271-299.
  • Baker, M., and Wurgler, J. (2004). A Catering Theory of Dividends. Journal of Finance, 59 (3), pp. 1125-1165.
  • Baker, M., and Wurgler, J. (2006). Investor sentiment and the cross-section of stock returns. Journal of Finance, 61 (4), pp. 1645-1680.
  • Baker, M., and Wurgler, J. (2007). Investor sentiment in the stock market. (Working Paper No. 13189). http://www.nber.org/papers/w13189 (Date Accessed: 08.09.2017).
  • Baker, M., Wurgler, J. and Yuan, Y. (2012). Global, Local, and Contagious Investor Sentiment. Journal of Financial Economics, 104 (2012), pp. 272-287.
  • Bathia, D. and Bredin, D. (2013). An examination of investor sentiment effect on G7 stock market returns. The European Journal of Finance, 19 (9), pp. 909-937.
  • Baur, M.N., Quintero, S., and Stevens, E. (1998). The 1986-88 Stock Market: Investor Sentiment or Fundamentals? Managerial and Decision Economics, 17 (3), pp. 319-329.
  • Barberis, N. and Thaler, R. (2003). A Survey of Behavioral Finance. Handbook of the Economics of Finance, 1, pp. 1053-1128.
  • Beker, C. (2006). Yatırımcı Duyarlılığı: İMKB'de İşlem Gören Menkul Kıymet Yatırım Ortaklıkları Üzerine Bir Uygulama. (Master Dissertation, Ankara University, Graduate School of Social Sciences).
  • Bodie, Z., Kane, A. and Marcus, A.J. (2010). Essentials of Investments. 8th Edition. Singapore: McGraw Hill.
  • Bolaman, Ö. and Mandacı, P. (2014). Effect of Investor Sentiment on Stock Markets. Finansal Araştırmalar ve Çalışmalar Dergisi, 6 (11), pp. 51-64.
  • Brooks, C. (2014). Introductory Econometrics for Finance. 3rd Edition. United Kingdom: Cambridge University Press.
  • Brown, S. J., Goetzmann, W. N., Hiraki, T., Shirishi, N., and Watanabe, M. (2003). Investor sentiment in Japanese and US daily mutual fund flows (No. w9470). National Bureau of Economic Research.
  • Canbas, S. and Kandir, S.Y. (2007). The Effect of Investor Sentiment on ISE Sector Indices. Dokuz Eylul Universitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 22 (2), pp. 219-248.
  • Canbaş, S. and Kandır, S.Y. (2009). Investor Sentiment and Stock Returns: Evidence from Turkey. Emerging Markets Finance and Trade, 45 (4), pp. 36-52.
  • Celik, S. (2013). Investor Sentiment and Sovereign Risk: Empirical Evidence from an Emerging Market. International Journal of Management Sciences and Business Research, 2 (2), pp. 11-18.
  • Chen, N. F., Roll, R., and Ross, S. A. (1986). Economic Forces and the Stock Market. Journal of Business, pp. 383-403.
  • Dimson, E. and Minio-Kozerski, C. (1999). Closed-End Funds: A Survey. Financial Markets, Institutions and Instruments, 8 (2), pp. 1-41.
  • Dimson, E. and Minio-Paluella, C. (2002). The Closed End Fund Discount. USA: The Research Foundation of AIMR.
  • Fama, E. F. (1981). Stock Returns, Real Activity, Inflation, and Money. The American Economic Review, 71 (4), pp. 545-565.
  • Fama, E. F., and French, K. R. (2001). Disappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay? Journal of Financial Economics, 60 (1), pp. 3-43.
  • Frazzini, A., and Lamont, O. A. (2008). Investor Sentiment and Stock Returns. Journal of Financial Economics, 88 (2), pp. 299-322.
  • Halkos, G. (2005). Determining Empirically Behavioral and Fundamental Factors of Discounts on Closed End Funds. Applied Financial Economics, 5 (16), pp. 395-404.
  • Kaniel, R., Saar, G., and Titman, S. (2004). Individual Investor Sentiment and Stock Returns, NYU Working Paper. Retrieved from Social Science Research Network website: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1297085 (Date accessed: 08.09.2017).
  • Kasman, S. (2003). The Relationship Between Exchange Rates and Stock Prices: A Causality Analysis. Dokuz Eylul Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 5 (2), pp. 70-79.
  • Lee, C. M. C., Shleifer, A. and Thaler, R.H. (1991). Investor Sentiment and the Closed-End Fund Puzzle. The Journal of Finance, 46 (1), pp. 75109.
  • Lemmon, M., and Portniaguina, E. (2006). Consumer Confidence and Asset Prices: Some Empirical Evidence. Review of Financial Studies, 19 (4), pp. 1499-1529.
  • Leonard, D. C. and Shull, D. M. (1996). Investor Sentiment and The Closed-End Fund Evidence: Impact of the January Effect. The Quarterly Review of Economics and Finance, 36 (1), pp. 117-126.
  • Ni, Z., Wang, D. and Xue, W. (2015). Investor Sentiment and its Nonlinear Effect on Stock Returns- New Evidence from the Chinese Stock Market Based on Panel Quantile Regression Model. Economic Modelling, 50 (2015), pp. 266-274.
  • Ricciardi, V. and Simon, H. (2000). What is Behavioral Finance? Business, Education and Technology Journal, 2 (2), pp. 1-9.
  • Olgac, S. and Temizel, F. (2008). The Relationship between Stock Returns and Investor Sentiment: Turkish Case. TISK Akademi, 2 (2008), pp. 225-239.
  • Patel, S. A. and Sarkar, A. (1998). Crisis in Developed and Emerging Stock Markets. Financial Analysts Journal, 54 (6), pp. 50-61.
  • Pontiff, J. (1997). Excess Volatility and Closed-End Funds. The American Economic Review, 87 (1), pp. 155-169.
  • Schmeling, M. (2009). Investor sentiment and stock returns: Some international evidence. Journal of Empirical Finance, 16 (2009), pp. 394408.
  • Shefrin, H. (2002). Beyond Greed and Fear: Understanding Behavioral Finance and the Psychology of Investing. NY: Oxford University Press.
  • Shefrin, H., and Statman, M. (2011). Behavioral finance in the financial crisis: Market efficiency, Minsky, and Keynes. Santa Clara University, November.
  • Shleifer, A. (2000). Inefficient Markets. NY: Oxford University Press.
  • Senkesen, E. (2009). Davranışsal Finans ve Yatırımcı Duyarlılığının Tahvil Verimi Üzerindeki Etkisi: İMKB Tahvil ve Bono Piyasasında Bir Uygulama. (Doctoral Dissertation, Istanbul University Graduate School of Social Sciences).
  • Son-Turan, S. (2016). The Impact of Investor Sentiment on the “Leverage Effect”. International Econometric Review, 8 (1), pp. 4-18.
  • Uygur, U. (2015). The Effects of Investor Sentiment on Conditional Volatility of Asset Returns: Evidence from International Stock Markets. (Doctoral Dissertation, Istanbul Technical University. Graduate School of Science Engineering and Technology).
  • Zouaoui, M., Nouyrigat, G. and Beer, F. (2011). How Does Investor Sentiment Affect Stock Market Crises? Evidence from Panel Data. The Financial Review, 46, pp. 723-747.
  • Zweig, M. E. (1973). An Investor Expectations Stock Price Predictive Model Using Closed‐End Fund Premiums. The Journal of Finance, 28 (1), pp. 67-78.
  • http://www.borsaistanbul.com/ http://www.cmb.gov.tr/ http://www.tcmb.gov.tr/

INVESTOR SENTIMENT IN THE CRISIS PERIODS: EVIDENCE FROM BORSA ISTANBUL

Year 2017, , 309 - 317, 30.12.2017
https://doi.org/10.17261/Pressacademia.2017.763

Abstract

Purpose- This study aims to analyze the effect of investor sentiment
on Borsa Istanbul for the crisis periods between 1997 and 2017. Furthermore,
whether the pattern of investor sentiment differs between the crises based on
their origin as local or international is investigated. 

Methodology – The crisis periods are determined based on the CMAX
methodology and the regression analysis is applied to investigate the effect of
investor sentiment on the stock market returns.

Findings- From the results of this study it is observed that in
the whole period and local crisis period; when closed end fund discount as a
proxy for sentiment increases, BIST 100 index returns decrease.  







Conclusion- Overall, the findings of this study suggest that Borsa
Istanbul is sensitive to investor sentiment especially in the crisis periods
that originate locally. The results are substantial for portfolio managers;
they have to take into consideration investor sentiment while making
decisions. 
             

References

  • Akdag, Ö. (2011). Investor Sentiment and Its Effect on Stock Returns. (Doctoral dissertation, Istanbul Technical University, Institute of Science and Technology).
  • Anderson, S.C. and Born, J.A. (2002). Closed-End Fund Pricing Theories and Evidence. USA: Springer.
  • Baker, M., and Stein, J. (2004). Market Liquidity as a Sentiment Indicator. Journal of Financial Markets, 7 (3), pp. 271-299.
  • Baker, M., and Wurgler, J. (2004). A Catering Theory of Dividends. Journal of Finance, 59 (3), pp. 1125-1165.
  • Baker, M., and Wurgler, J. (2006). Investor sentiment and the cross-section of stock returns. Journal of Finance, 61 (4), pp. 1645-1680.
  • Baker, M., and Wurgler, J. (2007). Investor sentiment in the stock market. (Working Paper No. 13189). http://www.nber.org/papers/w13189 (Date Accessed: 08.09.2017).
  • Baker, M., Wurgler, J. and Yuan, Y. (2012). Global, Local, and Contagious Investor Sentiment. Journal of Financial Economics, 104 (2012), pp. 272-287.
  • Bathia, D. and Bredin, D. (2013). An examination of investor sentiment effect on G7 stock market returns. The European Journal of Finance, 19 (9), pp. 909-937.
  • Baur, M.N., Quintero, S., and Stevens, E. (1998). The 1986-88 Stock Market: Investor Sentiment or Fundamentals? Managerial and Decision Economics, 17 (3), pp. 319-329.
  • Barberis, N. and Thaler, R. (2003). A Survey of Behavioral Finance. Handbook of the Economics of Finance, 1, pp. 1053-1128.
  • Beker, C. (2006). Yatırımcı Duyarlılığı: İMKB'de İşlem Gören Menkul Kıymet Yatırım Ortaklıkları Üzerine Bir Uygulama. (Master Dissertation, Ankara University, Graduate School of Social Sciences).
  • Bodie, Z., Kane, A. and Marcus, A.J. (2010). Essentials of Investments. 8th Edition. Singapore: McGraw Hill.
  • Bolaman, Ö. and Mandacı, P. (2014). Effect of Investor Sentiment on Stock Markets. Finansal Araştırmalar ve Çalışmalar Dergisi, 6 (11), pp. 51-64.
  • Brooks, C. (2014). Introductory Econometrics for Finance. 3rd Edition. United Kingdom: Cambridge University Press.
  • Brown, S. J., Goetzmann, W. N., Hiraki, T., Shirishi, N., and Watanabe, M. (2003). Investor sentiment in Japanese and US daily mutual fund flows (No. w9470). National Bureau of Economic Research.
  • Canbas, S. and Kandir, S.Y. (2007). The Effect of Investor Sentiment on ISE Sector Indices. Dokuz Eylul Universitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 22 (2), pp. 219-248.
  • Canbaş, S. and Kandır, S.Y. (2009). Investor Sentiment and Stock Returns: Evidence from Turkey. Emerging Markets Finance and Trade, 45 (4), pp. 36-52.
  • Celik, S. (2013). Investor Sentiment and Sovereign Risk: Empirical Evidence from an Emerging Market. International Journal of Management Sciences and Business Research, 2 (2), pp. 11-18.
  • Chen, N. F., Roll, R., and Ross, S. A. (1986). Economic Forces and the Stock Market. Journal of Business, pp. 383-403.
  • Dimson, E. and Minio-Kozerski, C. (1999). Closed-End Funds: A Survey. Financial Markets, Institutions and Instruments, 8 (2), pp. 1-41.
  • Dimson, E. and Minio-Paluella, C. (2002). The Closed End Fund Discount. USA: The Research Foundation of AIMR.
  • Fama, E. F. (1981). Stock Returns, Real Activity, Inflation, and Money. The American Economic Review, 71 (4), pp. 545-565.
  • Fama, E. F., and French, K. R. (2001). Disappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay? Journal of Financial Economics, 60 (1), pp. 3-43.
  • Frazzini, A., and Lamont, O. A. (2008). Investor Sentiment and Stock Returns. Journal of Financial Economics, 88 (2), pp. 299-322.
  • Halkos, G. (2005). Determining Empirically Behavioral and Fundamental Factors of Discounts on Closed End Funds. Applied Financial Economics, 5 (16), pp. 395-404.
  • Kaniel, R., Saar, G., and Titman, S. (2004). Individual Investor Sentiment and Stock Returns, NYU Working Paper. Retrieved from Social Science Research Network website: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1297085 (Date accessed: 08.09.2017).
  • Kasman, S. (2003). The Relationship Between Exchange Rates and Stock Prices: A Causality Analysis. Dokuz Eylul Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 5 (2), pp. 70-79.
  • Lee, C. M. C., Shleifer, A. and Thaler, R.H. (1991). Investor Sentiment and the Closed-End Fund Puzzle. The Journal of Finance, 46 (1), pp. 75109.
  • Lemmon, M., and Portniaguina, E. (2006). Consumer Confidence and Asset Prices: Some Empirical Evidence. Review of Financial Studies, 19 (4), pp. 1499-1529.
  • Leonard, D. C. and Shull, D. M. (1996). Investor Sentiment and The Closed-End Fund Evidence: Impact of the January Effect. The Quarterly Review of Economics and Finance, 36 (1), pp. 117-126.
  • Ni, Z., Wang, D. and Xue, W. (2015). Investor Sentiment and its Nonlinear Effect on Stock Returns- New Evidence from the Chinese Stock Market Based on Panel Quantile Regression Model. Economic Modelling, 50 (2015), pp. 266-274.
  • Ricciardi, V. and Simon, H. (2000). What is Behavioral Finance? Business, Education and Technology Journal, 2 (2), pp. 1-9.
  • Olgac, S. and Temizel, F. (2008). The Relationship between Stock Returns and Investor Sentiment: Turkish Case. TISK Akademi, 2 (2008), pp. 225-239.
  • Patel, S. A. and Sarkar, A. (1998). Crisis in Developed and Emerging Stock Markets. Financial Analysts Journal, 54 (6), pp. 50-61.
  • Pontiff, J. (1997). Excess Volatility and Closed-End Funds. The American Economic Review, 87 (1), pp. 155-169.
  • Schmeling, M. (2009). Investor sentiment and stock returns: Some international evidence. Journal of Empirical Finance, 16 (2009), pp. 394408.
  • Shefrin, H. (2002). Beyond Greed and Fear: Understanding Behavioral Finance and the Psychology of Investing. NY: Oxford University Press.
  • Shefrin, H., and Statman, M. (2011). Behavioral finance in the financial crisis: Market efficiency, Minsky, and Keynes. Santa Clara University, November.
  • Shleifer, A. (2000). Inefficient Markets. NY: Oxford University Press.
  • Senkesen, E. (2009). Davranışsal Finans ve Yatırımcı Duyarlılığının Tahvil Verimi Üzerindeki Etkisi: İMKB Tahvil ve Bono Piyasasında Bir Uygulama. (Doctoral Dissertation, Istanbul University Graduate School of Social Sciences).
  • Son-Turan, S. (2016). The Impact of Investor Sentiment on the “Leverage Effect”. International Econometric Review, 8 (1), pp. 4-18.
  • Uygur, U. (2015). The Effects of Investor Sentiment on Conditional Volatility of Asset Returns: Evidence from International Stock Markets. (Doctoral Dissertation, Istanbul Technical University. Graduate School of Science Engineering and Technology).
  • Zouaoui, M., Nouyrigat, G. and Beer, F. (2011). How Does Investor Sentiment Affect Stock Market Crises? Evidence from Panel Data. The Financial Review, 46, pp. 723-747.
  • Zweig, M. E. (1973). An Investor Expectations Stock Price Predictive Model Using Closed‐End Fund Premiums. The Journal of Finance, 28 (1), pp. 67-78.
  • http://www.borsaistanbul.com/ http://www.cmb.gov.tr/ http://www.tcmb.gov.tr/
There are 45 citations in total.

Details

Journal Section Articles
Authors

Zeliha Can Ergun

Banu Durukan

Publication Date December 30, 2017
Published in Issue Year 2017

Cite

APA Ergun, Z. C., & Durukan, B. (2017). INVESTOR SENTIMENT IN THE CRISIS PERIODS: EVIDENCE FROM BORSA ISTANBUL. Journal of Business Economics and Finance, 6(4), 309-317. https://doi.org/10.17261/Pressacademia.2017.763

Journal of Business, Economics and Finance (JBEF) is a scientific, academic, double blind peer-reviewed, quarterly and open-access journal. The publication language is English. The journal publishes four issues a year. The issuing months are March, June, September and December. The journal aims to provide a research source for all practitioners, policy makers and researchers working in the areas of business, economics and finance. The Editor of JBEF invites all manuscripts that that cover theoretical and/or applied researches on topics related to the interest areas of the Journal. JBEF charges no submission or publication fee.



Ethics Policy - JBEF applies the standards of Committee on Publication Ethics (COPE). JBEF is committed to the academic community ensuring ethics and quality of manuscripts in publications. Plagiarism is strictly forbidden and the manuscripts found to be plagiarized will not be accepted or if published will be removed from the publication. Authors must certify that their manuscripts are their original work. Plagiarism, duplicate, data fabrication and redundant publications are forbidden. The manuscripts are subject to plagiarism check by iThenticate or similar. All manuscript submissions must provide a similarity report (up to 15% excluding quotes, bibliography, abstract, method).


Open Access - All research articles published in PressAcademia Journals are fully open access; immediately freely available to read, download and share. Articles are published under the terms of a Creative Commons license which permits use, distribution and reproduction in any medium, provided the original work is properly cited. Open access is a property of individual works, not necessarily journals or publishers. Community standards, rather than copyright law, will continue to provide the mechanism for enforcement of proper attribution and responsible use of the published work, as they do now.