The Causality Relationship Between Istanbul Stock Exchange 100 Index and Consumer Confidence Index: The Case of Turkey

Abstract

Traditional finance theories ignore investors’ sensitivity and psychology, assuming that they are rational. This situation leads to emergence of behavioral finance theories. The purpose of this study is to analyze the relationship between the Consumer Confidence Indices announced for Turkey and the Istanbul Stock Exchange Index. Within this scope, the monthly data from 2004 to 2017 have been analyzed using the Toda-Yamamoto Causality Test, which will be used for the first time in this subject. According to the analysis result, it is determined that there is a one-way causality relation from stock returns to consumer confidence. As a result, consumers’ confidence for the economy is affected by fluctuations in stock exchanges.

Keywords

• Behavioral Finance,Investor Sentiment,Consumer Confidence Index,Toda-Yamamoto CausaliyTest

Kaynakça

1. Arısoy, İ. (2012). Türkiye Ekonomisinde İktisadi Güven Endeksleri ve Seçilmiş Makro Değişkenler Arasındaki İlişkilerin VAR Analizi. Maliye Dergisi, 162, 304-315.
2. Ayuningtyas, R., & Koesrindartoto, D. P. (2014). The Relationship between Business Confidence, Consumer Confidence, and Indexes Return: Empirical Evidence in Indonesia Stock Exchange. International Conference on Trends in Economics, Humanities and Management. 21-25.
3. Bacık, E., Özer, M., & Altınırmak, S. (2017). Terörün Volatilitiye Etkisi: Türkiye BIST 100 Endeksinde Bir Uygulama. Optimum: Journal of Economics & Management Sciences/Ekonomi ve Yönetim Bilimleri Dergisi, 4(2), 55-75.
4. 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.
5. Cevher, E. (2015). Türkiye’de Doğrudan Yabancı Sermaye Yatırımının Belirleyicilerinin Zaman Serileriyle Ekonometrik Analizi. Ankara: Zenodo. http://doi.org/10.5281/zenodo.35596
6. 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.
7. Fama, E. (1970). Efficient Capital Markets: A Review Theory and Empirical Work, Journal of Finance, 25(2), 383-417.
8. Fukuyama, F. (2000). Güven, Sosyal Erdemler ve Refahın Yaratılması, Çev. Ahmet Buğdaycı. Türkiye İş Bankası, Kültür Yayınları, (370).

9. Granger, C. W. (1969). Investigating Causal Relations by Econometric Models and Cross-Spectral Methods. Econometrica: Journal of the Econometric Society, 37(3), 424-438.
10. 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.
11. Jansen, W. J., & Nahuis, N. J. (2003). The Stock Market and Consumer Confidence: European Evidence. Economics Letters, 79(1), 89-98.
12. Kahneman, D., & Tversky, A. (1979). Prospect Theory: An Analysis of Decision under Risk. Econometrica, 47(2), 263-292.
13. Kale, S., & Akkaya, M. (2016). The Relation between Confidence Climate and Stock Returns: The Case of Turkey. Procedia Economics and Finance, 38, 150-162.
14. Kandır, S. Y. (2006). Tüketici Güveni ve Hisse Senedi Getirileri İlişkisi: İMKB Mali Sektör Şirketleri Üzerinde Bir Uygulama. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 15(2), 217-230.
15. Katona, G. (1968). Consumer Behavior: Theory and Findings on Expectations and Aspirations. The American Economic Review, 58(2), 19-30.
16. Kıyılar, M., & Akkaya, M. (2016). Davranışsal Finans, Literatür Yayıncılık, İstanbul.
17. Kloet, N. L. (2013). The Relationship between Consumer Confidence and the Stock Market in the European Union. Erasmus University Rotterdam, Erasmus School of Economics, MSc Econometrics and Management Science, Quantitative Finance, Master Thesis.
18. Koy, A., & Akkaya, M. (2017). The Role of Consumer Confidence as a Leading Indicator on Stock Returns: A Markov Switching Approach. Annals of the University Dunarea de Jos of Galati: Fascicle: I, Economics & Applied Informatics, 23(1), 36-47.
19. Köse, A., & Akkaya, M. (2016). The Effects of Sentiment and Confidence Indices on Financial Markets: An Application on BIST 100. Bankacılar Dergisi, 99, 3-15.
20. Otoo, M. W. (1999). Consumer Sentiment and the Stock Market. Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board.
21. Özsağır, A. (2007). Ekonomide Güven Faktörü. Elektronik Sosyal Bilimler Dergisi, 20(20), 46-62.
22. Samuelson, P. A. (1965). Proof that Properly Anticipated Prices Fluctuate Randomly. Industrial Management Review, 6(2), 41-49.
23. Schmeling, M. (2009). Investor Sentiment and Stock Returns: Some International Evidence. Journal of Empirical Finance, 16(3), 394-408.
24. Sum, V. (2014). Effects of Business and Consumer Confidence on Stock Market Returns: Cross-Sectional Evidence. Economics, Management and Financial Markets, 9(1), 21-25.
25. Toda, H. Y., & Yamamoto, T. (1995). Statistical Inference in Vector Autoregressions with Possibly Integrated Processes. Journal of Econometrics, 66(1), 225-250.
26. Topuz, Y. V. (2010). Tüketici Güveni ve Hisse Senedi Fiyatları Arasındaki Nedensellik İlişkisi: Türkiye Örneği. AİBÜ-İİBF Ekonomik ve Sosyal Araştırmalar Dergisi, 7(1), 53-65.
27. Von Neumann, J., & Morgenstern, O. (1945). Theory of Games and Economic Behavior. Princeton University Press.