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YATIRIMCI DUYARLILIĞININ BORSA İSTANBUL SEKTÖR ENDEKS GETİRİLERİ ÜZERİNE ETKİSİ

Yıl 2015, Cilt: 1 Sayı: 104, 29 - 52, 19.12.2015

Berna Aydoğan Gülin Vardar

Öz

Anahtar Kelimeler

-

Kaynakça

  • Arquette, G., Brown Jr., W. ve R. Burdekin, 2008. US ADR and Hong Kong H-share discounts of Shanghai-listed firms. Journal of Banking and Finance 32:1916— 1927.
  • Baker, M. ve J. Wurgler. 2006. Investor sentiment in the stock market. Journal of Economic Perspectives December18z1-37.
  • Baker, M., ve J. Wurgler. 2007. Investor sentiment in the stock market. Journal of Economic Perspectives 21 :129-151 .
  • Barberis, N. ve R. Thaler. 2003. A survey of behavioral finance. http://ssrn. com (Kasım 27, 2011).
  • Biatkowskia, J., Etebarib, A. ve T.P. Wisniewskic. 2012. Fast profits: Inves- tor sentiment and stock returns during Ramadan. Journal of Banking and Finance 36(3): 835-845.
  • Black, F. 1986. Noise. Journal of Finance. 41 (3): 529-543.
  • Brown, G. W. and M. T. Cliff. 2004. Investor sentiment and the near-term stock market. Journal of Empirical Finance 1 1 (4): 1-27 .
  • Brown, G. W. ve M. T. Cliff. 2005. Investor sentiment and asset valuation. Journal of Business 78: 405-440.
  • Calatiore, P. J. 2010. Two essays on the impact of rational and irrational inves- tor sentiments on equity market return and volatility: Evidence from the U.S. and Brazil. http://umi.com/ (18 Temmuz 2011).
  • Canbaş, S., ve S.Y. Kandir. 2007.“Yatırımcı duyarliliğinin IMKB sektör getirileri üzerindeki etkisi. Dokuz Eylül Universitesi Iktisadi ve Idari Bilimler Fakültesi Dergisi 22(2):21 9-248.
  • Charoenrook, A. 2003. Deoes sentiment matter?, 2004 FMA Annual Meeting — New Orleans, No: 3301937.
  • Chen, M., Chen, P., ve C. Lee. 2013. Asymmetric effects of investor sentiment on industry stock returns: Panel data evidence. Emerging Markets Review 14: 35—54.
  • Christ, K.P. ve D.S. Bremmer 2003. The Relationship Between Consumer Sen- timent and Stock Prices. Financial Economic Session of The 78th Annual Conference of The Western Economics Association International: Denver Colarado
  • Corredor, P., Ferrer, E., ve R. Santamaria. 2013. Investor sentiment effect in stock markets: Stock characteristics or country-specific factors? International Review of Economics and Finance 27: 57 2—591 .
  • De Long, J. B., Shleifer, A., Lawrance, H. S. ve RJ. Waldmann. 1990. Noise trader risk in financial markets. Journal of Political Economy 98(4): 703-738.
  • Fisher, K. L. ve M. Statman. 2003. Consumer Confidence and Stock Returns. Journal of Portfolio Management FaII 2003: 1 15-127.
  • Fuller, R.J. 2000. Behavioural finance and the sources of alpha. (September 7, 2012). http://www.fu||erthaIer.com/downIoads/Iofsoa.pdf.
  • Jiang, L. ve G. Li. 2013. Investor sentiment and IPO pricing during pre-market and aftermarket periods: Evidence from Hong Kong. Pacific-Basin Finance Journal 23: 65—82.
  • Kandır, S.Y. 2006. Tüketici güveni ve hisse senedi getirileri ilişkisi: İMKB mali sektör şirketleri üzerine bir uygulama. Ç. U. Sosyal Bilimler Dergisi 15 (2): 217-230.
  • Kasapoğlu, Ö. 2007. Parasal Aktarim Mekanizmalari: Türkiye için uygulama. TCMB Uzmanlık Yeterlilik Tezi. Ankara: Şubat 2007.
  • Keating, J.W. 1990. Identifying VAR models under rational expectations. Jour- nal of Monetary Economics 25 (3): 453—476.
  • Korkmaz, T., ve El. Çevik. 2007. Güven endeksi ve yatirimcilarin sezgileri: Türkiye örneği. 1 1. Ulusal Finans Sempozyumu Bildiriler Kitabı. Zonguldak, 389-410.
  • Kumar, A. ve C.M.C. Lee. 2006. Retail investor sentiment and return comeve- ment. Journal of Finance LXI, 5, October: 2451-2486.
  • Lee, C., Shleifer, A. ve R. Thaler. 1991. Investor sentiment and the closed-end fund puzzle. Journal of Finance 46 (1): 75-109
  • Lee W. Y., Jiang C. X. ve D. C. Indro. 2002. Stock market voIatiIity, excess returns, and the role of investor sentiment. Journal of Banking and Finance 26 (12): 2277-2299
  • Lemmon, M., ve E. Portniaguina. 2006. Consumer confidence and asset prices: Some empirical evidence. The Review of Financial Studies 19(4).
  • LeRoy, S.F, ve R.D. Porter. 1981. The pressent value-relation: Tests based on implied variance bounds. Econometrica 49: 555-574.
  • Lux, T. 201 I . Sentiment Dynamics and Stock Returns: the Case of the German Stock Market. Empirical Economics 41: 663-679.
  • Qiu, L. X. ve I. Welch. 2006. Investor sentiment measures. http://ssrn.com/ (18 Kasım 2010).
  • Olgaç, S., ve F. Temizel. 2008. Yatrımcı duyarlılığı hisse senedi getirileri ilişki- si: Türkiye örneği. Tisk Akademi 3: 224-239.
  • Otto, M.V. 1999. Consumer sentiment and the stock market. Retrieved from http://www.federalreserve.gov/pubs/feds/1999/199960/199960pap. pdf, 09.1 1.2007.
  • Schmeling, M. 2009. Investor sentiment and stock returns: Some international evidence. Journal of Empirical Finance 16(3): 394-408.
  • Shiller, R.J. 1981 . Do stock prices move too much to be iustified by subsequent changes in dividends? American Economic Review 71 : 421-436.
  • Shleifer, A. ve L. Summers. 1990. The noise trader approach to finance. Journal of Economics Perspective 4 (2): 19-33.
  • Simpson, M. W., ve S. Ramchander. 2002. Is differential sentiment a cause of closed- end country fund premio? An empirical examination of the Australi- an case. Applied Economics Letters 9: 615-619.
  • Sims, C. 1980. Macroeconomic and reality. Econometrica 48 (1): 1-49.
  • Statman, M., Thorley, S. ve K. Vorkink. 2006. Investor overconfidence and trading volume. The Review of Financial Studies 19 (4): 1531-1565.
  • Topuz, Y.V. 201 1. Tüketici güveni ve hisse senedi fiyatlari arasindaki neden- sellik ilişkisi: Türkiye örneği. Ekonomik ve Sosyal Arastırma/ar Dergisi 7 (1 ): 7, 53-65.
  • Tsuii, C. 2006. Does investor's sentiment predict stock price changes? With analyses of na'ı've extrapoIation and the saIience hypothesis in Japan. App- lied Financial Economics Letters 2: 353-359.
  • Verma, R. ve G. Soydemir. 2006. The impact of U.S. individual and institu- tional investor sentiment on foreign stock markets. Journal of Behavioral Finance7 (3): 128-144.
  • Vuchelen, J. 2004. Consumer sentiment and macroeconomic forecasts. Journal of Economic Psychology 25(4): 493-506.
  • Yamak, R. ve_A. Korkmaz. 2005. ReeI döviz kuru ve dis ticaret dengesi ilişkisi. İstanbul Universitesi Iktisat Fakültesi Ekonometri ve Istatistik Dergisi 2: 1 1-29.
  • Yu, J., ve Y. Yuan. 201 1. Investor sentiment and the mean—variance relation. Journal of Financial Economics 100: 367—381.

Yatırımcı Duyarlılığının Borsa İstanbul Sektör Endeks Getirileri Üzerine Etkisi

Yıl 2015, Cilt: 1 Sayı: 104, 29 - 52, 19.12.2015

Berna Aydoğan Gülin Vardar

Öz

Anahtar Kelimeler

Yatırımcı duyarlılığı Yapısal Olmayan Vektör Otoregresyonu Sektör endeks getirileri Borsa İstanbul

Kaynakça

  • Arquette, G., Brown Jr., W. ve R. Burdekin, 2008. US ADR and Hong Kong H-share discounts of Shanghai-listed firms. Journal of Banking and Finance 32:1916— 1927.
  • Baker, M. ve J. Wurgler. 2006. Investor sentiment in the stock market. Journal of Economic Perspectives December18z1-37.
  • Baker, M., ve J. Wurgler. 2007. Investor sentiment in the stock market. Journal of Economic Perspectives 21 :129-151 .
  • Barberis, N. ve R. Thaler. 2003. A survey of behavioral finance. http://ssrn. com (Kasım 27, 2011).
  • Biatkowskia, J., Etebarib, A. ve T.P. Wisniewskic. 2012. Fast profits: Inves- tor sentiment and stock returns during Ramadan. Journal of Banking and Finance 36(3): 835-845.
  • Black, F. 1986. Noise. Journal of Finance. 41 (3): 529-543.
  • Brown, G. W. and M. T. Cliff. 2004. Investor sentiment and the near-term stock market. Journal of Empirical Finance 1 1 (4): 1-27 .
  • Brown, G. W. ve M. T. Cliff. 2005. Investor sentiment and asset valuation. Journal of Business 78: 405-440.
  • Calatiore, P. J. 2010. Two essays on the impact of rational and irrational inves- tor sentiments on equity market return and volatility: Evidence from the U.S. and Brazil. http://umi.com/ (18 Temmuz 2011).
  • Canbaş, S., ve S.Y. Kandir. 2007.“Yatırımcı duyarliliğinin IMKB sektör getirileri üzerindeki etkisi. Dokuz Eylül Universitesi Iktisadi ve Idari Bilimler Fakültesi Dergisi 22(2):21 9-248.
  • Charoenrook, A. 2003. Deoes sentiment matter?, 2004 FMA Annual Meeting — New Orleans, No: 3301937.
  • Chen, M., Chen, P., ve C. Lee. 2013. Asymmetric effects of investor sentiment on industry stock returns: Panel data evidence. Emerging Markets Review 14: 35—54.
  • Christ, K.P. ve D.S. Bremmer 2003. The Relationship Between Consumer Sen- timent and Stock Prices. Financial Economic Session of The 78th Annual Conference of The Western Economics Association International: Denver Colarado
  • Corredor, P., Ferrer, E., ve R. Santamaria. 2013. Investor sentiment effect in stock markets: Stock characteristics or country-specific factors? International Review of Economics and Finance 27: 57 2—591 .
  • De Long, J. B., Shleifer, A., Lawrance, H. S. ve RJ. Waldmann. 1990. Noise trader risk in financial markets. Journal of Political Economy 98(4): 703-738.
  • Fisher, K. L. ve M. Statman. 2003. Consumer Confidence and Stock Returns. Journal of Portfolio Management FaII 2003: 1 15-127.
  • Fuller, R.J. 2000. Behavioural finance and the sources of alpha. (September 7, 2012). http://www.fu||erthaIer.com/downIoads/Iofsoa.pdf.
  • Jiang, L. ve G. Li. 2013. Investor sentiment and IPO pricing during pre-market and aftermarket periods: Evidence from Hong Kong. Pacific-Basin Finance Journal 23: 65—82.
  • Kandır, S.Y. 2006. Tüketici güveni ve hisse senedi getirileri ilişkisi: İMKB mali sektör şirketleri üzerine bir uygulama. Ç. U. Sosyal Bilimler Dergisi 15 (2): 217-230.
  • Kasapoğlu, Ö. 2007. Parasal Aktarim Mekanizmalari: Türkiye için uygulama. TCMB Uzmanlık Yeterlilik Tezi. Ankara: Şubat 2007.
  • Keating, J.W. 1990. Identifying VAR models under rational expectations. Jour- nal of Monetary Economics 25 (3): 453—476.
  • Korkmaz, T., ve El. Çevik. 2007. Güven endeksi ve yatirimcilarin sezgileri: Türkiye örneği. 1 1. Ulusal Finans Sempozyumu Bildiriler Kitabı. Zonguldak, 389-410.
  • Kumar, A. ve C.M.C. Lee. 2006. Retail investor sentiment and return comeve- ment. Journal of Finance LXI, 5, October: 2451-2486.
  • Lee, C., Shleifer, A. ve R. Thaler. 1991. Investor sentiment and the closed-end fund puzzle. Journal of Finance 46 (1): 75-109
  • Lee W. Y., Jiang C. X. ve D. C. Indro. 2002. Stock market voIatiIity, excess returns, and the role of investor sentiment. Journal of Banking and Finance 26 (12): 2277-2299
  • Lemmon, M., ve E. Portniaguina. 2006. Consumer confidence and asset prices: Some empirical evidence. The Review of Financial Studies 19(4).
  • LeRoy, S.F, ve R.D. Porter. 1981. The pressent value-relation: Tests based on implied variance bounds. Econometrica 49: 555-574.
  • Lux, T. 201 I . Sentiment Dynamics and Stock Returns: the Case of the German Stock Market. Empirical Economics 41: 663-679.
  • Qiu, L. X. ve I. Welch. 2006. Investor sentiment measures. http://ssrn.com/ (18 Kasım 2010).
  • Olgaç, S., ve F. Temizel. 2008. Yatrımcı duyarlılığı hisse senedi getirileri ilişki- si: Türkiye örneği. Tisk Akademi 3: 224-239.
  • Otto, M.V. 1999. Consumer sentiment and the stock market. Retrieved from http://www.federalreserve.gov/pubs/feds/1999/199960/199960pap. pdf, 09.1 1.2007.
  • Schmeling, M. 2009. Investor sentiment and stock returns: Some international evidence. Journal of Empirical Finance 16(3): 394-408.
  • Shiller, R.J. 1981 . Do stock prices move too much to be iustified by subsequent changes in dividends? American Economic Review 71 : 421-436.
  • Shleifer, A. ve L. Summers. 1990. The noise trader approach to finance. Journal of Economics Perspective 4 (2): 19-33.
  • Simpson, M. W., ve S. Ramchander. 2002. Is differential sentiment a cause of closed- end country fund premio? An empirical examination of the Australi- an case. Applied Economics Letters 9: 615-619.
  • Sims, C. 1980. Macroeconomic and reality. Econometrica 48 (1): 1-49.
  • Statman, M., Thorley, S. ve K. Vorkink. 2006. Investor overconfidence and trading volume. The Review of Financial Studies 19 (4): 1531-1565.
  • Topuz, Y.V. 201 1. Tüketici güveni ve hisse senedi fiyatlari arasindaki neden- sellik ilişkisi: Türkiye örneği. Ekonomik ve Sosyal Arastırma/ar Dergisi 7 (1 ): 7, 53-65.
  • Tsuii, C. 2006. Does investor's sentiment predict stock price changes? With analyses of na'ı've extrapoIation and the saIience hypothesis in Japan. App- lied Financial Economics Letters 2: 353-359.
  • Verma, R. ve G. Soydemir. 2006. The impact of U.S. individual and institu- tional investor sentiment on foreign stock markets. Journal of Behavioral Finance7 (3): 128-144.
  • Vuchelen, J. 2004. Consumer sentiment and macroeconomic forecasts. Journal of Economic Psychology 25(4): 493-506.
  • Yamak, R. ve_A. Korkmaz. 2005. ReeI döviz kuru ve dis ticaret dengesi ilişkisi. İstanbul Universitesi Iktisat Fakültesi Ekonometri ve Istatistik Dergisi 2: 1 1-29.
  • Yu, J., ve Y. Yuan. 201 1. Investor sentiment and the mean—variance relation. Journal of Financial Economics 100: 367—381.
Toplam 43 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Berna Aydoğan Bu kişi benim

Gülin Vardar Bu kişi benim

Yayımlanma Tarihi 19 Aralık 2015
Gönderilme Tarihi 19 Aralık 2015
Yayımlandığı Sayı Yıl 2015 Cilt: 1 Sayı: 104

Kaynak Göster

APA Aydoğan, B., & Vardar, G. (2015). Yatırımcı Duyarlılığının Borsa İstanbul Sektör Endeks Getirileri Üzerine Etkisi. Maliye Ve Finans Yazıları, 1(104), 29-52.

Dergi özellikle maliye, finans ve bankacılık alanlarında faaliyet göstermektedir.