Piyasa Hareketlerine göre Koşullu Güven Endeksine Dayalı Yatırımcı Duyarlılıklarının Avrupa Hisse Senedi Piyasası Getirilerine Etkisi

Öz

Bu çalışmanın amacı, yatırımcıların piyasa hareketlerine bağlı olarak makroekonomik gelişmelere verdikleri asimetrik tepkileri dikkate alarak oluşturulan rasyonel ve irrasyonel yatırımcı duyarlılıklarının 13 Avrupa borsasında getiri oranları üzerindeki etkilerini analiz etmektir. Şubat 2005 ile Aralık 2024 arasındaki örnek döneme ait aylık verilerin kullanılması ile uygulanan panel veri analizi sonuçları, koşullu modellerden türetilen yatırımcı duyarlılıklarının piyasa getirilerini açıklamada istatistiksel olarak anlamlı olduğunu ve koşullu yöntemin uygulanmasının modellerin açıklama gücünü artırdığını göstermektedir. Çalışma sonucunda ayrıca piyasa getirileri ve irrasyonel duygular arasında çift yönlü nedenselliklerin yanı sıra anlamlı karşılıklı tepkilere dair bulgular elde edilmiştir.

Anahtar Kelimeler

• yatırımcı duyarlılığı
• güven endeksi
• panel veri analizi

The Effects of Confidence Index-Based Investor Sentiments Conditional upon Market Movements on European Stock Market Returns

Öz

The aim of this research is to analyze the effects of rational and irrational investor sentiments on 13 European stock markets by considering the asymmetric reactions of the investors to macroeconomics developments conditional upon market movements. We use monthly data over the sample period of February 2005 to December 2024 and implement panel data analyses. The results show that all investor sentiments derived from conditional models are statistically significant in explaining market returns and implementing conditional method increases the explanation power of the models. We find the evidence of bilateral causal relations as well as significant reciprocal responses among market returns and irrational sentiments.

Anahtar Kelimeler

• investor sentiment
• confidence index
• panel data analysis

Kaynakça

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