Research Article
BibTex RIS Cite

THE EFFECTS OF CHANGES IN CONFIDENCE INDEXES ON STOCK EXCHANGE MARKETS: EVIDENCE FROM BORSA İSTANBUL

Year 2017, Volume: 22 Issue: 3, 685 - 695, 30.07.2017

Abstract

The main aim of this study is to examine the effect of changes in consumer confidence index and real sector confidence index on Borsa İstanbul 100 Index in the period of 2007:01 – 2017:01. We applied KSS cointegration test, developed by Kapetanios, Shin and Snell (2006); and determined that both Consumer Confidence Index – BIST 100 Index and Real Sector Confidence Index – BIST 100 Index are cointegrated. We also analyzed the short and long run relationships between the variables. According to the findings; both Consumer and Real Sector Confidence Indexes affect BIST 100 Index positively in the short and long run. However, in the long run Consumer Confidence Index has more positive impact on BIST 100 than Real Sector Confidence Index has and vice versa in the short run.

References

  • ARISOY, İ. (2012). Türkiye Ekonomisinde İktisadi Güven Endeksleri ve Seçilmiş Makro Değişkenler Arasındaki İlişkilerin VAR Analizi. Maliye Dergisi, 162, 304-315.
  • BANDOPADHYAYA, A., & Jones, A. L. (2006). Measuring investor sentiment in equity markets. Journal of Asset Management, 7(3-4), 208-215.
  • BREMMER, D. S., & Christ, K. P. (2003). The relationship between consumer sentiment and stock prices. In Annual Conference of the Western Economic Association International, Denver, USA.
  • BROWN, G. W., & Cliff, M. T. (2004). Investor sentiment and the near-term stock market. Journal of Empirical Finance, 11(1), 1-27.
  • CAMPBELL, J. Y., & Perron, P. (1991). Pitfalls and opportunities: what macroeconomists should know about unit roots. NBER macroeconomics annual, 6, 141-201.
  • CANBAŞ, S., & Kandır, S. Y. (2006). Hisse Senedi Getirilerinde Yatirimci Psikolojisinin Etkisinin Yatirim Ortakliklari Iskontosu Ile Incelenmesi. Muhasebe ve Finansman Dergisi, (29).
  • CELIK, S., Aslanoglu, E., & Uzun, S. (2010). The Relationship between Consumer Confidence and Financial Market: Variables in Turkey during the Global Crisis. Topics in Middle Eastern and North African Economies. 134.
  • DICKEY, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, 1057-1072.
  • DIJK, D. V., Teräsvirta, T., & Franses, P. H. (2002). Smooth transition autoregressive models—a survey of recent developments. Econometric reviews, 21(1), 1-47.
  • DUNN, L. F., & Mirzaie, I. A. (2006). Turns in consumer confidence: An information advantage linked to manufacturing. Economic Inquiry, 44(2), 343-351.
  • ENGLE, R. F., & Granger, C. W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica: journal of the Econometric Society, 251-276.
  • EPPRIGHT, D. R., Arguea, N. M., & Huth, W. L. (1998). Aggregate consumer expectation indexes as indicators of future consumer expenditures. Journal of Economic Psychology, 19(2), 215-235.
  • FISHER, K. L., & Statman, M. (2003). Consumer confidence and stock returns. The Journal of Portfolio Management, 30(1), 115-127.
  • GÖRMÜŞ, Ş., & Güneş, S. (2010). Consumer Confidence, Stock Prices and Exchange Rates: The Case of Turkey. Applied Econometrics and International Development, 10(2).
  • JANSEN, W. J., & Nahuis, N. J. (2003). The stock market and consumer confidence: European evidence. Economics Letters, 79(1), 89-98.
  • KAHNEMAN, D., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica: Journal of the econometric society, 263-291.
  • KAPETANIOS, G., Shin, Y., & Snell, A. (2006). Testing for cointegration in nonlinear smooth transition error correction models. Econometric Theory, 22(02), 279-303.
  • KLING, G., & Gao, L. (2008). Chinese institutional investors’ sentiment. Journal of International Financial Markets, Institutions and Money, 18(4), 374-387.
  • KORKMAZ, T., & Çevik, E. İ. (2009). Reel Kesim Güven Endeksi ile İMKB m100 Endeksi Arasındaki Dinamik Nedensellik İlişkisi. İstanbul Üniversitesi İşletme Fakültesi Dergisi, Cilt 38, No: 1, 24-37.
  • LEE, C., Shleifer, A., & Thaler, R. H. (1991). Investor sentiment and the closed‐end fund puzzle. The Journal of Finance, 46(1), 75-109.
  • LEONARD, D. C., & 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), 117-126.
  • LORIA, E., & Brito, L. (2004). Is the Consumer Confidence Index a sound predictor of the private demand in the United States?. Estudios de economía aplicada, 22(3), 727-728.
  • MAKI, D. (2006). Non-linear adjustment in the term structure of interest rates: a cointegration analysis in the non-linear STAR framework. Applied Financial Economics, 16(17), 1301-1307.
  • OLGAÇ, S., & Temİzel, F. (2008). Yatırımcı Duyarlılığı Hisse Senedi Getirileri İlişkisi: Türkiye Örneği. TISK Academy/TISK Akademi, 3(6).
  • OTOO, M. W. (1999). Consumer sentiment and the stock market. ttps://papers.ssrn.com/sol3/papers.cfm? abstract_id=205028, (Erişim Tarihi: 20.05.2017)
  • SCHMELING, M. (2009). Investor sentiment and stock returns: Some international evidence. Journal of empirical finance, 16(3), 394-408.
  • SCHWERT, G. W. (1989). Tests for unit roots: A Monte Carlo investigation. Journal of Business & Economic Statistics, 7:147-160.
  • TOPUZ, Y. V. (2011). Tüketici Güveni ve Hisse Senedi Fiyatları Arasındaki Nedensellik İlişkisi: Türkiye Örneği. AİBÜ-İİBF Ekonomik ve Sosyal Araştırmalar Dergisi, Cilt 7, Sayı: 1, 53-65.
  • UTAKA, A. (2003). Confidence and the real economy-the Japanese case. Applied Economics, 35(3), 337-342.
  • YILANCI, V. (2009). Fisher Hipotezinin Türkiye İçin Sınanması: Doğrusal Olmayan Eşbütünleşme Analizi. Ataturk University Journal of Economics & Administrative Sciences, 23(4).
  • http://www.tuik.gov.tr/PreTablo.do?alt _id=1104 (Erişim Tarihi: 10/03/2017)
  • http://www.tcmb.gov.tr/wps/wcm/conn ect/TCMB+TR/TCMB+TR/Main+Men u/Istatistikler/Egilim+Anketleri/Iktisadi +Yonelim+Istatistikleri+ve+Reel+Kesi m+Guven+Endeksi (Erişim Tarihi: 12/02/2017)
  • http://evds.tcmb.gov.tr/
  • http://www.tuik.gov.tr

GÜVEN ENDEKSLERİNDEKİ DEĞİŞİMLERİN HİSSE SENEDİ PİYASALARINA ETKİLERİ: BORSA İSTANBUL ÖRNEĞİ

Year 2017, Volume: 22 Issue: 3, 685 - 695, 30.07.2017

Abstract

Bu çalışmanın temel amacı; tüketici ve reel kesim güven endekslerindeki değişimlerin 2007:01- 2017:01 döneminde Borsa İstanbul 100 (BİST 100) endeksine etkisini incelemektir. Bu bağlamda verilere Kapetanios, Shin ve Snell (2006) tarafından geliştirilen KSS eşbütünleşme testi uygulanmış ve hem Tüketici Güven Endeksi ile BİST 100 endeksi, hem de Reel Kesim Güven Endeksi ile BİST 100 endeksi arasında eşbütünleşme ilişkisi olduğu tespit edilmiştir. Oluşturulan modellerin uzun ve kısa dönem eşbütünleşme katsayıları incelendiğinde; Tüketici ve Reel Kesim Güven Endekslerinin hisse senedi piyasalarını kısa ve uzun dönemde pozitif etkiledikleri, uzun dönemde Tüketici Güven Endeksinin, BİST 100 endeksi üzerinde pozitif etkisinin Reel Kesim Güven Endeksine göre daha fazla, kısa dönemde ise Reel Kesim Güven Endeksinin pozitif etkisinin Tüketici Güven Endeksine göre daha fazla olduğu görülmüştür.

References

  • ARISOY, İ. (2012). Türkiye Ekonomisinde İktisadi Güven Endeksleri ve Seçilmiş Makro Değişkenler Arasındaki İlişkilerin VAR Analizi. Maliye Dergisi, 162, 304-315.
  • BANDOPADHYAYA, A., & Jones, A. L. (2006). Measuring investor sentiment in equity markets. Journal of Asset Management, 7(3-4), 208-215.
  • BREMMER, D. S., & Christ, K. P. (2003). The relationship between consumer sentiment and stock prices. In Annual Conference of the Western Economic Association International, Denver, USA.
  • BROWN, G. W., & Cliff, M. T. (2004). Investor sentiment and the near-term stock market. Journal of Empirical Finance, 11(1), 1-27.
  • CAMPBELL, J. Y., & Perron, P. (1991). Pitfalls and opportunities: what macroeconomists should know about unit roots. NBER macroeconomics annual, 6, 141-201.
  • CANBAŞ, S., & Kandır, S. Y. (2006). Hisse Senedi Getirilerinde Yatirimci Psikolojisinin Etkisinin Yatirim Ortakliklari Iskontosu Ile Incelenmesi. Muhasebe ve Finansman Dergisi, (29).
  • CELIK, S., Aslanoglu, E., & Uzun, S. (2010). The Relationship between Consumer Confidence and Financial Market: Variables in Turkey during the Global Crisis. Topics in Middle Eastern and North African Economies. 134.
  • DICKEY, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, 1057-1072.
  • DIJK, D. V., Teräsvirta, T., & Franses, P. H. (2002). Smooth transition autoregressive models—a survey of recent developments. Econometric reviews, 21(1), 1-47.
  • DUNN, L. F., & Mirzaie, I. A. (2006). Turns in consumer confidence: An information advantage linked to manufacturing. Economic Inquiry, 44(2), 343-351.
  • ENGLE, R. F., & Granger, C. W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica: journal of the Econometric Society, 251-276.
  • EPPRIGHT, D. R., Arguea, N. M., & Huth, W. L. (1998). Aggregate consumer expectation indexes as indicators of future consumer expenditures. Journal of Economic Psychology, 19(2), 215-235.
  • FISHER, K. L., & Statman, M. (2003). Consumer confidence and stock returns. The Journal of Portfolio Management, 30(1), 115-127.
  • GÖRMÜŞ, Ş., & Güneş, S. (2010). Consumer Confidence, Stock Prices and Exchange Rates: The Case of Turkey. Applied Econometrics and International Development, 10(2).
  • JANSEN, W. J., & Nahuis, N. J. (2003). The stock market and consumer confidence: European evidence. Economics Letters, 79(1), 89-98.
  • KAHNEMAN, D., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica: Journal of the econometric society, 263-291.
  • KAPETANIOS, G., Shin, Y., & Snell, A. (2006). Testing for cointegration in nonlinear smooth transition error correction models. Econometric Theory, 22(02), 279-303.
  • KLING, G., & Gao, L. (2008). Chinese institutional investors’ sentiment. Journal of International Financial Markets, Institutions and Money, 18(4), 374-387.
  • KORKMAZ, T., & Çevik, E. İ. (2009). Reel Kesim Güven Endeksi ile İMKB m100 Endeksi Arasındaki Dinamik Nedensellik İlişkisi. İstanbul Üniversitesi İşletme Fakültesi Dergisi, Cilt 38, No: 1, 24-37.
  • LEE, C., Shleifer, A., & Thaler, R. H. (1991). Investor sentiment and the closed‐end fund puzzle. The Journal of Finance, 46(1), 75-109.
  • LEONARD, D. C., & 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), 117-126.
  • LORIA, E., & Brito, L. (2004). Is the Consumer Confidence Index a sound predictor of the private demand in the United States?. Estudios de economía aplicada, 22(3), 727-728.
  • MAKI, D. (2006). Non-linear adjustment in the term structure of interest rates: a cointegration analysis in the non-linear STAR framework. Applied Financial Economics, 16(17), 1301-1307.
  • OLGAÇ, S., & Temİzel, F. (2008). Yatırımcı Duyarlılığı Hisse Senedi Getirileri İlişkisi: Türkiye Örneği. TISK Academy/TISK Akademi, 3(6).
  • OTOO, M. W. (1999). Consumer sentiment and the stock market. ttps://papers.ssrn.com/sol3/papers.cfm? abstract_id=205028, (Erişim Tarihi: 20.05.2017)
  • SCHMELING, M. (2009). Investor sentiment and stock returns: Some international evidence. Journal of empirical finance, 16(3), 394-408.
  • SCHWERT, G. W. (1989). Tests for unit roots: A Monte Carlo investigation. Journal of Business & Economic Statistics, 7:147-160.
  • TOPUZ, Y. V. (2011). Tüketici Güveni ve Hisse Senedi Fiyatları Arasındaki Nedensellik İlişkisi: Türkiye Örneği. AİBÜ-İİBF Ekonomik ve Sosyal Araştırmalar Dergisi, Cilt 7, Sayı: 1, 53-65.
  • UTAKA, A. (2003). Confidence and the real economy-the Japanese case. Applied Economics, 35(3), 337-342.
  • YILANCI, V. (2009). Fisher Hipotezinin Türkiye İçin Sınanması: Doğrusal Olmayan Eşbütünleşme Analizi. Ataturk University Journal of Economics & Administrative Sciences, 23(4).
  • http://www.tuik.gov.tr/PreTablo.do?alt _id=1104 (Erişim Tarihi: 10/03/2017)
  • http://www.tcmb.gov.tr/wps/wcm/conn ect/TCMB+TR/TCMB+TR/Main+Men u/Istatistikler/Egilim+Anketleri/Iktisadi +Yonelim+Istatistikleri+ve+Reel+Kesi m+Guven+Endeksi (Erişim Tarihi: 12/02/2017)
  • http://evds.tcmb.gov.tr/
  • http://www.tuik.gov.tr
There are 34 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Hayrettin Usul

Engin Küçüksille

Dr. Sadik Karaoğlan

Publication Date July 30, 2017
Published in Issue Year 2017 Volume: 22 Issue: 3

Cite

APA Usul, H., Küçüksille, E., & Karaoğlan, D. S. (2017). GÜVEN ENDEKSLERİNDEKİ DEĞİŞİMLERİN HİSSE SENEDİ PİYASALARINA ETKİLERİ: BORSA İSTANBUL ÖRNEĞİ. Süleyman Demirel Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 22(3), 685-695.