Piyasa Hareketlerine göre Koşullu Güven Endeksine Dayalı Yatırımcı Duyarlılıklarının Avrupa Hisse Senedi Piyasası Getirilerine Etkisi

Abstract

Bu çalışmanın amacı, yatırımcıların piyasa hareketlerine bağlı olarak makroekonomik gelişmelere verdikleri asimetrik tepkileri dikkate alarak oluşturulan rasyonel ve irrasyonel yatırımcı duyarlılıklarının 13 Avrupa borsasında getiri oranları üzerindeki etkilerini analiz etmektir. Şubat 2005 ile Aralık 2024 arasındaki örnek döneme ait aylık verilerin kullanılması ile uygulanan panel veri analizi sonuçları, koşullu modellerden türetilen yatırımcı duyarlılıklarının piyasa getirilerini açıklamada istatistiksel olarak anlamlı olduğunu ve koşullu yöntemin uygulanmasının modellerin açıklama gücünü artırdığını göstermektedir. Çalışma sonucunda ayrıca piyasa getirileri ve irrasyonel duygular arasında çift yönlü nedenselliklerin yanı sıra anlamlı karşılıklı tepkilere dair bulgular elde edilmiştir.

Keywords

• yatırımcı duyarlılığı
• güven endeksi
• panel veri analizi

The Effects of Confidence Index-Based Investor Sentiments Conditional upon Market Movements on European Stock Market Returns

Abstract

The aim of this research is to analyze the effects of rational and irrational investor sentiments on 13 European stock markets by considering the asymmetric reactions of the investors to macroeconomics developments conditional upon market movements. We use monthly data over the sample period of February 2005 to December 2024 and implement panel data analyses. The results show that all investor sentiments derived from conditional models are statistically significant in explaining market returns and implementing conditional method increases the explanation power of the models. We find the evidence of bilateral causal relations as well as significant reciprocal responses among market returns and irrational sentiments.

Keywords

• investor sentiment
• confidence index
• panel data analysis

References

1. Acemoğlu, D., & Scott, A. (1994). Consumer confidence and rational expectations: Are agents' beliefs consistent with the theory? The Economic Journal, 104(422), 1–19. https://doi.org/10.2307/2234671
2. Ahmed, D. B., & Henchiri, J. E. (2025). COVID-19, stock market crisis and investor sentiment: French and USA case. Journal of Ecohumanism, 4(4), 518–525. https://doi.org/10.62754/joe.v4i4.6757
3. Akhtar, S., Faff, R., Oliver, B., & Subrahmanyam, A. (2011). The power of bad: The negativity bias in Australian consumer sentiment announcements on stock returns. Journal of Banking and Finance, 35(5), 1239–1249. https://doi.org/10.1016/j.jbankfin.2010.10.014
4. Alajekwu, U. B., Obialor, M. C., & Okoro, C. O. (2017). Effect of investor sentiment on future returns in the Nigerian stock market. Annals of Spiru Haret University, 17(2), 103–126. https://doi.org/10.26458/1726
5. Altay, E., Uzun, S., & Aydemir, B. (2024). Conditional effects of higher order co-moments in asset pricing: Evidence from Borsa Istanbul. Borsa Istanbul Review, 24(6), 1122–1136. https://doi.org/10.1016/j.bir.2024.06.009 Arısoy, İ. (2012). Türkiye ekonomisinde iktisadi güven endeksleri ve seçilmiş makro değişkenler arasındaki ilişkilerin VAR analizi. Maliye Dergisi, 162, 304–315.
6. Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross-section of stock returns. The Journal of Finance, 61(4), 1645–1680. https://doi.org/10.1111/j.1540-6261.2006.00885.x
7. Bartov, E., Faurel, L., & Mohanram, P. (2018). Can Twitter help predict firm-level earnings and stock returns? The Accounting Review, 93(3), 25–57. https://doi.org/10.2308/accr-51865
8. Bathia, D., & Bredin, D. (2018). Investor sentiment: Does it augment the performance of asset pricing models? International Review of Financial Analysis, 59, 290–303. https://doi.org/10.1016/j.irfa.2018.03.014

9. Bayram, S. G. (2017). Rational–irrational investor sentiments and emerging stock market returns: A comparison from Turkey. Journal of Emerging Market Finance, 16(3), 219–245. https://doi.org/10.1177/0972652717722083
10. Beşel, F., & Yardımcıoğlu, F. (2016). Tüketici güven endeksi ile makro değişkenler arasındaki ilişki. In Uluslararası Politik, Ekonomik ve Sosyal Araştırmalar Kongresi bildiriler kitabı (pp. 475–487).
11. Black, F. (1986). Noise. The Journal of Finance, 41(3), 528–543.
12. Bollen, J., Mao, H., & Zeng, X. (2011). Twitter mood predicts the stock market. Journal of Computational Science, 2(1), 1–8. https://doi.org/10.1016/j.jocs.2010.12.007
13. Brown, G. W., & Cliff, M. T. (2004). Investor sentiment and the near-term stock market. Journal of Empirical Finance, 11(1), 1–27. https://doi.org/10.1016/j.jempfin.2002.12.001
14. Calafiore, P., Soydemir, G., & Verma, R. (2010). The impact of business and consumer sentiment on stock market returns: Evidence from Brazil. In B. Bruce (Ed.), Handbook of behavioral finance (pp. 362–379). Edward Elgar Publishing. https://doi.org/10.4337/9781849809108.00028
15. Caleiro, A. (2006). How is confidence related to unemployment in Portugal? Applied Economics Letters, 13(13), 887–890. https://doi.org/10.1080/13504850500425139
16. Canöz, İ. (2018). Borsa İstanbul 100 endeksi ile tüketici güven endeksleri arasındaki nedensellik ilişkisi: Türkiye örneği. Fiscaoeconomia, 2(1), 136–153.
17. Chen, S. S. (2011). Lack of consumer confidence and stock returns. Journal of Empirical Finance, 18(2), 225–236. https://doi.org/10.1016/j.jempfin.2010.12.004
18. Chen, S. S. (2012). Revisiting the empirical linkages between stock returns and trading volume. Journal of Banking and Finance, 36(6), 1781–1788. https://doi.org/10.1016/j.jbankfin.2012.02.003
19. Chen, X. (2024). The impact of investor sentiment on stock returns. Transactions on Economics, Business and Management Research, 13, 490–503. https://doi.org/10.62051/s554wz06
20. Chung, S., Hung, C., & Yeh, C. (2012). When does investor sentiment predict stock returns? Journal of Empirical Finance, 19(2), 217–240. https://doi.org/10.1016/j.jempfin.2012.01.002
21. Clarke, R. G., & Statman, M. (1998). Bullish or bearish? Financial Analysts Journal, 54(3), 63–72. https://doi.org/10.2469/faj.v54.n3.2182
22. Cevik, E., Altinkeski, B. K., Cevik, E. İ., & Dibooglu, S. (2022). Investor sentiments and stock markets during the COVID‑19 pandemic. Financial Innovation, 8, 1–34. https://doi.org/10.1186/s40854-022-00375-0
23. Çelik, S., & Özerkek, Y. (2009). Panel cointegration analysis of consumer confidence and personal consumption in the European Union. Journal of Business Economics and Management, 10(2), 161–168. https://doi.org/10.3846/1611-1699.2009.10.161-168
24. Çelik, S., Aslanoğlu, E., & Uzun, S. (2010). Determinants of consumer confidence in emerging economies: A panel cointegration analysis. Topics in Middle Eastern and North African Economies, 12.
25. Çelik, S., & Deniz, P. (2017). Globalization of consumer confidence. Panoeconomicus, 64(3), 337–352. https://doi.org/10.2298/pan150128001c
26. Çetin, A. C. (2021). Türkiye’de tüketici güven endeksini etkileyen faktörlerin analizi. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 9(5), 1259–1278. https://doi.org/10.18506/anemon.891302
27. Dalika, N. K., & Seetharam, Y. (2015). Sentiment and returns: An analysis of investor sentiment in the South African market. Investment Management and Financial Innovation, 12(1), 267–276.
28. Das, P. K., Freybote, J., & Marcato, G. (2015). An investigation into sentiment-induced institutional trading behavior and asset pricing in the REIT market. The Journal of Real Estate Financial Economics, 51(2), 160–189. https://doi.org/10.1007/s11146-014-9490-z
29. De Bondt, W. F. M. (1993). Betting on trends: Intuitive forecasts of financial risk and return. International Journal of Forecasting, 9(3), 355–371. https://doi.org/10.1016/0169-2070(93)90030-q
30. De Long, J. B., Shleifer, A., Summer, L. H., & Waldmann, R. J. (1990). Noise trader risk in financial markets. Journal of Political Economy, 98(4), 703–738. https://doi.org/10.1086/261703
31. Dergiades, T. (2012). Do investors’ sentiment dynamics affect stock returns? Evidence from the US economy. Economics Letters, 116(3), 404–407. https://doi.org/10.1016/j.econlet.2012.04.018
32. Dosumu, O. E., Sakariyahu, R., Oyekola, O., & Lawal, R. (2023). Panic bank runs, global market contagion and the financial consequences of social media. Economics Letters, 228, 111170, 1–3. https://doi.org/10.1016/j.econlet.2023.111170
33. Eyüboğlu, K., & Eyüboğlu, S. (2017). Ekonomik güven endeksi ile hisse senedi fiyatları arasındaki ilişkinin incelenmesi: Türkiye örneği. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 19(2), 603–614.
34. Ernawati, E., Nugraha, N., Waspada, I., & Sari, M. (2022). The investor sentiment and market reaction before and during the Covid-19 pandemic on Indonesia Stock Exchange. Advances in Economics, Business and Management Research (Vol 220, pp. 118–124) Proceeding of the 6th Global Conference on Business, Management, and Entrepreneurship (GCBME 2021), https://doi.org/10.2991/aebmr.k.220701.024
35. Fabozzi, F. J., & Francis, J. C. (1977). Stability tests for alphas and betas over bull and bear market conditions. The Journal of Finance, 32(4), 1093–1099. https://doi.org/10.1111/j.1540-6261.1977.tb03312.x
36. Fisher, K. L., & Statman, M. (2000). Investor sentiment and stock returns. Financial Analysts Journal, 56(2), 16–23. https://doi.org/10.2469/faj.v56.n2.2340
37. Fisher, K. L., & Statman, M. (2003). Consumer confidence and stock returns. Journal of Portfolio Management, 30(1), 115–127. https://doi.org/10.3905/jpm.2003.319925
38. Finter, P., Niessen-Ruenzi, A., & Ruenzi, S. (2012). The impact of investor sentiment on the German stock market. Journal of Business Economics, 82(2), 133–163. https://doi.org/10.1007/s11573-011-0536-x
39. Fuhrer, J. (1993). What role does consumer sentiment play in the U.S. macroeconomy? New England Economic Review, January/February, 32–44.
40. Gervais, S., & Odean, T. (2001). Learning to be overconfident. The Review of Financial Studies, 14(1), 1–27. https://doi.org/10.1093/rfs/14.1.1
41. Ghosh, S. (2021). Consumer confidence and consumer spending in Brazil: A nonlinear autoregressive distributed lag model analysis. Arthaniti: Journal of Economic Theory and Practice, 20(1). https://doi.org/10.1177/0976747919898906
42. Golinelli, R., & Parigi, G. (2004). Consumer sentiment and economic activity: A cross country comparison. Journal of Business Cycle Measurement and Analysis, 1(2), 147–170. https://doi.org/10.1787/jbcma-v2004-art10-en
43. Granger, C.W.J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37(3), 424–438. https://doi.org/10.2307/1912791
44. He, Z., He, L., & Wen, F. (2019). Risk compensation and market returns: The role of investor sentiment in the stock market. Emerging Markets Finance and Trade, 55(3), 704–718. https://doi.org/10.1080/1540496x.2018.1460724
45. Ho, C., & Hung, C. H. (2009). Investor sentiment as conditioning information in asset pricing. Journal of Banking and Finance, 33(5), 892–903. https://doi.org/10.1016/j.jbankfin.2008.10.004
46. Hsu, C. C., Lin, H. Y., & Wu, J. Y. (2011). Consumer confidence and stock markets: The panel causality evidence. International Journal of Economics and Finance, 3(6), 91–98. https://doi.org/10.5539/ijef.v3n6p91
47. Jansen, W. J., & Nahuis, N. J. (2003). The stock market and consumer confidence: European evidence. Economics Letters, 79(1), 89–98. https://doi.org/10.1016/s0165-1765(02)00292-6
48. Kadilli, A. (2015). Predictability of stock returns of financial companies and the role of investor sentiment: A multi-country analysis. Journal of Financial Stability, 21, 26–45. https://doi.org/10.1016/j.jfs.2015.09.004
49. Kahneman, D., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 263–292. https://doi.org/10.2307/1914185
50. Kılıç, E., & Çankaya, S. (2016). Consumer confidence and economic activity: A factor augmented VAR approach. Applied Economics, 48(32), 3062–3080. https://doi.org/10.1080/00036846.2015.1133902
51. Kocabıyık, T., & Alptürk, Y. (2020). Güven endeksleri ve CDS primleri ile hisse senedi fiyatları arasındaki ilişkinin keşfi. International Journal of Business Economics and Management Perspectives, 4(1), 149–168. https://doi.org/10.29228/ijbemp.42783
52. Korkmaz, T., & Çevik, E. (2009). Reel kesim güven endeksi ile İMKB 100 endeksi arasındaki dinamik nedensellik ilişkisi. İstanbul Üniversitesi İşletme Fakültesi Dergisi, 38(1), 24–37.
53. Koy, A., & Akkaya, M. (2017). The role of consumer confidence as a leading indicator on stock returns: A Markov switching approach. Annals of “Dunarea de Jos” University of Galati: Fascicle I. Economics and Applied Informatics, 23, 36–47. https://doi.org/10.2139/ssrn.2985299
54. Köse, A. K., & Akkaya, M. (2016). Beklenti ve güven anketlerinin finansal piyasalara etkisi: BIST 100 üzerine bir uygulama. Bankacılar Dergisi, 99, 3–15. https://doi.org/10.2139/ssrn.2960106
55. Küçükçaylı, M. F., & Akıncı, G. Y. (2018). Tüketici güveninin makroekonomik belirleyicileri: Bir zaman serisi analizi. Uluslararası İktisadi ve İdari İncelemeler Dergisi, 17, 459–472. https://doi.org/10.18092/ulikidince.433056
56. Lee, C., Shleifer, A., & Thaler, R. (1991). Investor sentiment and the closed-end fund puzzle. The Journal of Finance, 46(1), 75–109. https://doi.org/10.2307/2328690
57. Lemmon, M. L., & Portniaguina, E. (2006). Consumer confidence and asset prices: Some empirical evidence. The Review of Financial Studies, 19(4), 1499–1529. https://doi.org/10.1093/rfs/hhj038
58. Levy, R. A. (1974). Beta coefficients as predictors of returns. Financial Analysts Journal, 30(1), 61–69. https://doi.org/10.2469/faj.v30.n1.61
59. Li, X., & Luo, D. (2017). Investor sentiment, limited arbitrage, and the cash holding effect. Review of Finance, 21(6), 2141–2168. https://doi.org/10.1093/rof/rfw031
60. Liang, H., Yang, C., Zhang, R., & Cai, C. (2017). Bounded rationality, anchoring-and-adjustment sentiment, and asset pricing. The North American Journal of Economics and Finance, 40, 85–102. https://doi.org/10.1016/j.najef.2017.02.001
61. Ludvigson, S. C. (2004). Consumer confidence and consumer spending. Journal of Economic Perspectives, 18(2), 29–50. https://doi.org/10.1257/0895330041371222
62. Marschner, .F,Ceretta, P.S. & Ambrozini, M.A.(2024). Impacts of investors' rational and irrational sentiment on the Brazilian market. Revista Contabilidade e Finanças, 35(95), 1–18, https://doi.org/10.1590/1808-057x20231760.en
63. Moodley, F., Ferreira-Schenk, S., & Matlhaku, K. (2025). The effects of investor sentiment on stock return indices under changing market conditions: Evidence from South Africa. International Journal of Financial Studies, 13(2), 1–24. https://doi.org/10.3390/ijfs13020070
64. Münyas, T. (2019). Borsa İstanbul endeksleri ile güven endeksleri arasındaki ilişkinin araştırılması üzerine bir inceleme. Tesam Akademi Dergisi, 6, 299–320. https://doi.org/10.30626/tesamakademi.584304
65. Neal, R., & Wheatley, S.M. (1998). Do measures of investor sentiment predict returns? The Journal of Financial and Quantitative Analysis, 33(4), 523–547. https://doi.org/10.2307/2331130
66. Nofsinger, J. (2005). Social mood and financial economics. Journal of Behavioral Finance, 6(3), 144–160. https://doi.org/10.1207/s15427579jpfm0603_4
67. Oliveira, N., Cortez, P., & Areal, N. (2013). On the predictability of stock market behavior using StockTwits sentiment and posting volume. In L. Correia, L. P. Reis, & J. Cascalho (Eds.), Progress in artificial intelligence (pp. 355–365). Springer. https://doi.org/10.1007/978-3-642-40669-0_31
68. Otoo, M. W. (1999). Consumer sentiment and the stock market (FEDS Working Paper, No. 99–60).
69. Paradiso, A., Kumar, S., & Margani, P. (2014). Are Italian consumer confidence adjustments asymmetric? A macroeconomic and psychological motives approach. Journal of Economic Psychology, 43, 48–63. https://doi.org/10.1016/j.joep.2014.04.006
70. Paterson, A., Sakariyahu, R., Lawal, R., & Alabi, A. (2024). The impact of government policy responses to the COVID-19 pandemic and Brexit on the UK financial market: A behavioural perspective. British Journal of Management, 35(1), 174–191. https://doi.org/10.1111/1467-8551.12702
71. Pettengill, G. N., Sundaram, S., & Mathur, I. (1995). The conditional relation between beta and returns. Journal of Financial and Quantitative Analysis, 30(1), 101–116. https://doi.org/10.2307/2331255
72. Raaij, W. F. van. (2012). Consumer confidence and trust in the economy. In Economic psychology in modern world: Collected papers (pp. 377–395). Ekon-Inform.
73. Qiu, L., & Welch, I. (2004). Investor sentiment measures (NBER Working Paper No. 10794). National Bureau of Economic Research.
74. Ramalho, E. A., Caleiro, A., & Dionfsio, A. (2011). Explaining consumer confidence in Portugal. Journal of Economic Psychology, 32(1), 25–32. https://doi.org/10.1016/j.joep.2010.10.004
75. Ramiah, V., Xu, X., & Moosa, I. A. (2015). Neoclassical finance, behavioral finance, and noise traders: A review and assessment of the literature. International Review of Financial Analysis, 41, 89–100. https://doi.org/10.1016/j.irfa.2015.05.021
76. Rao, T., & Srivastava, S. (2012). Analyzing stock market movements using Twitter sentiment analysis. In Proceedings of the 2012 International Conference on Advances in Social Networks Analysis and Mining (ASONAM 2012) (pp. 119–123). IEEE Computer Society. https://doi.org/10.5555/2456719.2456923
77. Salhin, A., Sherif, M., & Jones, E. (2016). Managerial sentiment, consumer confidence and sector returns. International Review of Financial Analysis, 47, 24–38. https://doi.org/10.1016/j.irfa.2016.06.009
78. Sakariyahu, R., Paterson, A., Chatzivgeri, E., & Lawal, R. (2024). Chasing noise in the stock market: An inquiry into the dynamics of investor sentiment and asset pricing. Review of Quantitative Finance and Accounting, 62, 135–169. https://doi.org/10.1007/s11156-023-01214-8
79. Schmeling, M. (2009). Investor sentiment and stock returns: Some international evidence. Journal of Empirical Finance, 16(3), 394–408. https://doi.org/10.1016/j.jempfin.2009.01.002
80. Schumaker, R. P., & Chen, H. (2009). Textual analysis of stock market prediction using breaking financial news: The AZFin text system. ACM Transactions on Information Systems, 27(2), 1–19. https://doi.org/10.1145/1462198.1462204
81. Singh, P., & Dubey, P. (2025). A study of investor sentiment and market volatility during the Covid – 19 pandemic. International Scientific Journal of Engineering and Management (ISJEM), 4(6), 1–6. https://doi.org/10.55041/isjem04108
82. Sun, Y., & Yang, C. (2025). The influence of investor sentiment on the Chinese stock market amid COVID-19: An event study analysis. PLoS One, 20(9), 1–21. https://doi.org/10.1371/journal.pone.0332216
83. Stambaugh, R. F., Yu, J., & Yuan, Y. (2012). The short of it: Investor sentiment and anomalies. Journal of Financial Economics, 104(2), 288–302. https://doi.org/10.1016/j.jfineco.2011.12.001
84. Solt, M. E., & Statman, M. (1988). How useful is the sentiment index? Financial Analysts Journal, 44(5), 45–55. https://doi.org/10.2469/faj.v44.n5.45
85. Tetlock, P. C., Saar-Tsechansky, M., & Macskassy, S. (2008). More than words: Quantifying language to measure firms’ fundamentals. The Journal of Finance, 63(3), 1437–1467. https://doi.org/10.1111/j.1540-6261.2008.01362.x
86. Throop, A. W. (1992). Consumer sentiment: Its causes and effects. Economic Review, Federal Reserve Bank of San Francisco, 1992(1), 35–59.
87. Uhl, M. W. (2014). Reuters sentiment and stock returns. Journal of Behavioral Finance, 15(4), 287–298. https://doi.org/10.1080/15427560.2014.967852
88. Usul, H., Küçüksille, E., & Karaoğlan, S. (2017). Güven endekslerindeki değişimlerin hisse senedi piyasalarına etkileri: Borsa İstanbul örneği. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 22(3), 685–695.
89. Verma, R., Baklaci, H., & Soydemir, G. (2008). The impact of rational and irrational sentiments of individual and institutional investors on DJIA and S&P500 index returns. Applied Financial Economics, 18(16), 1303–1317. https://doi.org/10.1080/09603100701704272
90. Verma, R., & Soydemir, G. (2006). The impact of U.S. individual and institutional investor sentiment on foreign stock markets. Journal of Behavioral Finance, 7(3), 128–144. https://doi.org/10.1207/s15427579jpfm0703_2
91. Wang, W., Su, C., & Duxburry, D. (2022). The conditional impact of investor sentiment in global stock markets: A two-channel examination. Journal of Banking and Finance, 138, 106458, 1–21. https://doi.org/10.1016/j.jbankfin.2022.106458
92. Westerlund, J. (2007). Testing for error correction in panel data. Oxford Bulletin of Economics and Statistics, 69(6), 709–748. https://doi.org/10.1111/j.1468-0084.2007.00477.x
93. Xu, Y., & Green, C. J. (2013). Asset pricing with investor sentiment: Evidence from Chinese stock markets. The Manchester School, 81(1), 1–32. https://doi.org/10.1111/j.1467-9957.2011.02260.x
94. Yadav, A., & Chakraborty, A. (2022). Investor sentiment and stock market returns: Evidence from the Indian market. Purushartha-A Journal of Management Ethics and Spirituality, 15(1), 79–93. https://doi.org/10.21844/16202115106
95. Yang, C., & Zhang, R. (2013). Sentiment asset pricing model with consumption. Economic Modelling, 30, 462–467. https://doi.org/10.1016/j.econmod.2012.11.004
96. Zou, H., & Sun, L. (2012). The influence of investor sentiment on stock return and its volatility under different market states. In 2012 Fifth International Conference on Business Intelligence and Financial Engineering. https://doi.org/10.1109/bife.2012.77
97. Zouaoui, M., Nouyrigat, G., & Beer, F. (2011). How does investor sentiment affect stock market crises? Evidence from panel data. The Financial Review, 46(4), 723–747. https://doi.org/10.1111/j.1540-6288.2011.00318.x
98. Zweig, M. (1973). An investor expectations stock price predictive model using closed-end fund premiums. The Journal of Finance, 28(1), 67–87. https://doi.org/10.2307/2978169