EFFECT OF INVESTOR ATTENTION ON RETURNS: AN APPLICATION ON BIST SECTOR INDICES

Yıl 2024, Cilt: 26 Sayı: 47, 855 - 869, 31.12.2024

Fahrettin Söker , Yaşar Alptürk

https://doi.org/10.18493/kmusekad.1455827

Öz

The aim of this study is to examine the impact of investor attention on returns by taking into account sector and firm size. In this context, panel data analysis was conducted using weekly data of firms traded on Borsa Istanbul (BIST) Industrial, Financial and Services indices for the period 2019-2023. In the analysis, investor attention is represented by Google search volume index, and abnormal returns are used to represent returns. The analysis results show that investor attention has significant and positive effect on returns in all sectors, but when lagged values are taken into account, it is determined that this positive effect was replaced by negative effect after one-week lag. It is also determined that these results have similar effects, but are more pronounced in the service sector and small-sized firms. The results reveal the important role of investor attention in explaining returns in terms of sectors and firm size in Turkey and show that this role is more effective in the service sector and small-sized firms.

Anahtar Kelimeler

Investor Attention, Google Search Volume Index, Abnormal Returns, BIST

YATIRIMCI İLGİSİNİN GETİRİLERE ETKİSİ: BIST SEKTÖR ENDEKSLERİNDE BİR UYGULAMA

Öz

Bu çalışmanın amacı sektör ve firma büyüklüğünü dikkate alarak yatırımcı ilgisinin getiriler üzerindeki etkisini incelemektir. Çalışmanın amacı kapsamında, Borsa İstanbul (BIST) Sınai, Mali ve Hizmet endekslerinde işlem gören firmaların 2019-2023 dönemi haftalık verileri kullanılarak panel veri analizi yapılmıştır. Analizde yatırımcıların pay senetlerine olan ilgisi Google arama hacmi endeksi ile temsil edilmiş, getirileri temsilen ise anormal getiriler kullanılmıştır. Analiz sonuçlarında tüm sektörlerde yatırımcı ilgisinin getiriler üzerinde anlamlı ve pozitif etkisi olduğu tespit edilmiş, ancak gecikmeli değerler dikkate alındığında, bu pozitif etkinin bir haftalık gecikmede yerini negatif etkiye bıraktığı belirlenmiştir. Ayrıca bu sonuçların birbirine yakın etkilere sahip olmakla birlikte hizmet sektöründe ve küçük ölçekli firmalarda daha belirgin olduğu tespit edilmiştir. Analiz sonuçları getirileri açıklamada yatırımcı ilgisinin önemli rolünü Türkiye’de sektörler ve firma büyüklüğü açısından ortaya koymakta ve bu rolün küçük ölçekli firmalarla birlikte hizmet sektöründe daha etkili olduğunu göstermektedir.

Anahtar Kelimeler

Yatırımcı İlgisi, Google Arama Hacmi Endeksi, Anormal Getiriler, BIST

Kaynakça

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