Yatırımcı Duyarlılığı ve Hisse Senedi Getirileri

Abstract

Bu çalışma, hisseye özel yatırımcı duyarlılığının hisse senedi getirileri üzerindeki etkisini test etmek amacıyla yeni bir yatırımcı duyarlılığı endeksi oluşturmaktadır. Endeks, göreceli güç endeksi, psikolojik çizgi endeksi, işlem hacmi ve düzeltilmiş devir hızı bileşenleri ile 2010-2024 dönemi Borsa İstanbul günlük kapanış fiyat ve hacim verileri kullanılarak oluşturulmuştur. Bulgular, piyasa geneli duyarlılıktan farklı olarak, hisseye özel duyarlılığın hisse senedi getirilerini pozitif yönde öngörebildiğini göstermektedir. Ayrıca, hisseye özel duyarlılık ile piyasa geneli duyarlılık arasında bir uyumsuzluk olduğunda, hisseye özel duyarlılık endeksinin getiriler üzerindeki pozitif etkisinin daha belirgin hale geldiği bulunmuştur. Analizler, bu etkinin özellikle küçük ölçekli, düşük işlem hacimli ve düşük getiri oynaklığı olan hisselerde daha güçlü olduğunu göstermektedir. Bu bulgular, yatırımcı duyarlılığının varlık fiyatları için hisse bazında değişim gösteren kritik bir unsur olduğunu ortaya koymaktadır.

Keywords

• hisseye özel yatırımcı duyarlılığı
• piyasa genel yatırımcı duyarlılığı
• hisse senedi getirileri

Investor Sentiment and Stock Returns

Abstract

This study constructs a new investor sentiment index to test the impact of stock-specific investor sentiment on stock returns. The index is constructed using Borsa Istanbul data from the 2010-2024 period, incorporating the relative strength index, psychological line index, trading volume, and adjusted turnover ratio as its components. The findings indicate that, unlike market-wide sentiment, stock-specific sentiment can positively predict stock returns. Furthermore, when there is a discrepancy between stock-specific and market-wide sentiment, the positive impact of the stock-specific sentiment index on returns becomes more pronounced. The analyses reveal that this effect is particularly stronger for small-cap stocks, low-volume stocks, and stocks with low return volatility. These findings suggest that investor sentiment is a critical factor for asset pricing that varies at the stock level.

Keywords

• stock-specific investor sentiment
• market-wide investor sentiment
• stock returns

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