Korku ve açgözlülüğün hisse senedi piyasalarına etkisi: CNN Korku ve Açgözlülük endeksi ile Borsa İstanbul arasındaki zamanla değişen asimetrik nedensellik

Öz

Bu çalışmanın amacı, yatırımcı duyarlılığının önemli göstergelerinden biri olan CNN Korku ve Açgözlülük (KA) endeksi ile Türkiye hisse senedi piyasası arasındaki ilişkiyi incelemektir. Türkiye’de hisse senedi piyasasını temsilen Borsa İstanbul 100 (BIST100) endeksi verileri kullanılmıştır. Analizde Nisan 2013 - Aralık 2024 dönemine ait aylık veriler kullanılmış ve Hatemi-J asimetrik nedensellik testi uygulanmıştır. Yatırımcıların pozitif ve negatif şoklara farklı tepkiler verdiği varsayımından hareketle, öncelikle asimetrik nedensellik ilişkileri Hatemi-J testi kullanılarak değerlendirilmiştir. Ardından, zamanla değişen asimetrik nedensellik analizi ile bu ilişkilerin zaman içinde farklılık gösterip göstermediği incelenmiştir. Bulgular, genel örneklem dönemi boyunca KA endeksi ile BIST100 endeksi arasında pozitif veya negatif şoklar açısından anlamlı bir nedensellik ilişkisi bulunmadığını göstermektedir. Bununla birlikte, zamanla değişen analiz sonuçları belirli dönemlerde geçici ve asimetrik nedensellik ilişkilerinin ortaya çıktığını ortaya koymaktadır. Özellikle 2023–2024 döneminde, pozitif şoklar altında BIST100 endeksinden KA endeksine doğru geçici bir nedensellik ilişkisi gözlemlenirken, negatif şoklar altında KA endeksinden BIST100 endeksine doğru daha kalıcı bir nedensellik ilişkisi tespit edilmiştir. Bu çalışma, yatırımcı duyarlılığını temsil eden KA endeksi ile Türkiye hisse senedi piyasası arasındaki ilişkiyi zamanla değişen asimetrik nedensellik yaklaşımıyla inceleyerek, duyarlılık temelli göstergelerin gelişmekte olan piyasalardaki açıklayıcı gücüne ilişkin yeni kanıtlar sunmaktadır.

Anahtar Kelimeler

• CNN Korku ve Açgözlülük Endeksi
• BİST100 Endeksi
• zamanla değişen asimetrik nedensellik

The impact of fear and greed on stock markets: time-varying asymmetric causality between the CNN Fear and Greed index and Istanbul stock exchange

Öz

The aim of this study is to examine the relationship between the CNN Fear and Greed (KA) index, one of the important indicators of investor sentiment, and the stock market in Türkiye. The Borsa Istanbul 100 (BIST100) index is used to represent the Turkish stock market. Monthly data covering the period from April 2013 to December 2024 are employed in the analysis, and the Hatemi-J asymmetric causality test is applied. Based on the assumption that investors respond differently to positive and negative shocks, asymmetric causality relationships are first evaluated using the Hatemi-J test. Subsequently, a time-varying asymmetric causality analysis is conducted to examine whether these relationships vary over time. The findings indicate that there is no significant causality relationship between the KA index and the BIST100 index in terms of either positive or negative shocks over the entire sample period. However, the results of the time-varying analysis reveal that temporary and asymmetric causality relationships emerge during certain periods. In particular, during the 2023–2024 period, a temporary causality relationship from the BIST100 index to the KA index is observed under positive shocks, whereas a more persistent causality relationship from the KA index to the BIST100 index is identified under negative shocks. By examining the relationship between the KA index, which represents investor sentiment, and the Turkish stock market through a time-varying asymmetric causality approach, this study provides new evidence regarding the explanatory power of sentiment-based indicators in emerging markets.

Anahtar Kelimeler

• CNN Fear and Greed Index
• BIST100 Index
• Time-Varying Asymmetric Causality

Kaynakça

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