INVESTOR SENTIMENT AND STOCK VOLATILITY: NEW EVIDENCE FROM BORSA ISTANBUL BENCHMARK AND SECTORAL INDICES

Öz

This paper analyzes the effect of investor sentiment on stock returns and volatility in BIST benchmark and sectoral indices, using daily data from 2010 to 2023. Following the Baker and Wurgler methodology, we develop an Investor Sentiment Index and examine its effects on the returns and volatility of stock indices. Our findings show that investor sentiment has a significant negative effect on returns and a positive effect on the conditional volatility of Borsa Istanbul's benchmark and sectoral indices. Sub-sample analysis also emphasize that sentiment-driven investment decisions have declined in the post Covid-19 period, suggesting a shift toward more rational and information-based decision-making in the aftermath of the crisis. Finally, we assess the investment performance of BIST Sectoral Indices using portfolio performance metrics, considering the role of investor sentiment. Moreover, we classify sectors as high- or low-performing, based on how investor sentiment affects their conditional volatility to support investment decisions.

Anahtar Kelimeler

• Investor sentiment
• conditional volatility
• portfolio performance

Destekleyen Kurum

This study did not receive any specific funding or support.

Etik Beyan

The study utilized data that do not necessitate ethics committee approval.

YATIRIMCI DUYARLILIĞI VE PAY SENEDİ VOLATİLİTESİ: BORSA İSTANBUL GÖSTERGE VE SEKTÖR ENDEKSLERİNDEN YENİ BULGULAR

Öz

Bu çalışma, 2010-2023 dönemine ait günlük veriler kullanarak yatırımcı duyarlılığının Borsa İstanbul gösterge ve sektör endekslerinin getiri ve volatilitesi üzerindeki etkisini incelemektedir. Bu kapsamda Baker ve Wurgler (2006) metodolojisi takip edilerek bir Yatırımcı Duyarlılığı Endeksi oluşturulmuş ve bu endeksin pay senedi endekslerinin getirileri ve koşullu volatilitesi üzerindeki etkileri analiz edilmiştir. Elde edilen bulgular, yatırımcı duyarlılığının Borsa İstanbul gösterge ve sektör endekslerinin getirileri üzerinde anlamlı ve negatif, volatiliteleri üzerinde ise anlamlı ve pozitif etkisi olduğunu ortaya koymaktadır. Alt örneklemler ile gerçekleştirilen analizler ise Covid-19 sonrası dönemde duyarlılığa dayalı yatırım kararlarının azaldığını ve kriz sonrası dönemde daha rasyonel ve bilgi temelli karar alma eğilimine geçildiğini göstermektedir. Son olarak, yatırımcı duyarlılığının rolü dikkate alınarak portföy performans ölçütleri ile BİST Sektör Endekslerinin yatırım performansı değerlendirilmiştir. Dahası, yatırımcı duyarlılığının koşullu volatilite üzerindeki etkisine göre yüksek ve düşük performanslı sektörler sınıflandırılmış ve yatırım kararlarını desteklemeye yönelik öneriler sunulmuştur.

Anahtar Kelimeler

• Yatırımcı duyarlılığı
• koşullu volatilite
• portföy performansı

Destekleyen Kurum

Bu çalışma herhangi bir özel fon veya destek almamıştır.

Etik Beyan

Çalışmada etik kurul onayı gerektirmeyen veriler kullanılmıştır.

Kaynakça

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