Araştırma Makalesi
BibTex RIS Kaynak Göster
Yıl 2019, Cilt: 10 Sayı: 1, 12 - 16, 30.12.2019

Öz

Kaynakça

  • Baker, M., & Stein, J. C. (2004). Market liquidity as a sentiment indicator. Journal of Financial Markets, 7, 271 - 299.
  • Baker, M., &Wurgler, J. (2006). Investor sentiment and the cross-section of stock returns. The Journal of Finance, 61 (4), 1645 - 1680.
  • Baker, M., &Wurgler, J. (2007). Investor sentiment in the stock market. Journal of Economic Perspectives, 21 (2), 129 - 151.
  • Bathia, D., & Bredin, D. (2013). An examination of investor sentiment effect on G7 stock market returns. The European Journal of Finance, 19 (9), 909 - 937.
  • Fakhry, B., Aktan, B., Masood, O., Tvaronavičienė, M., &Celik, S. (2018). The impact of a recent natural disaster on the Japanese financial markets: Empirical evidence. Journal of Competitiveness, 10 (2), 56 - 71.
  • Ferreira, S., &Karali, B. (2015). Do earthquakes shake stock markets? PLos ONE, 10 (7).
  • Fisher, K. L., & Statman, M. (2003). Consumer confidence and stock returns. The Journal of Portfolio Management, 30 (1), 115 - 127.
  • Hirshleifer, D. (2001). Investor psychology and asset pricing. The Journal of Finance, 56 (4), 1533 - 1597.
  • Hood, M., Kamesaka, A., Nofsinger, J., & Tamura, T. (2013). Investor response to a natural disaster: Evidence from Japan's 2011 earthquake. Pacific-Basin Finance Journal, 25, 240 - 252.
  • Horton, B., Bird, M., Birkland, T., Cowie, S., Eong, O. J., Hawkes, A., . . . Yasin, Z. (2008). Environmental and socioeconomic dynamics of the Indian Ocean tsunami in Penang, Malaysia. Singapore Journal of Tropical Geography, 29, 307 - 324.
  • Hudson, Y., & Green, C. J. (2015). Is investor sentiment contagious? International sentiment and UK equity returns. Journal of Behavioral and Experimental Finance, 5, 46 - 59.
  • Lee, C. M., Shleifer, A., & Thaler, R. H. (1991). Investor sentiment and the closed-end fund puzzle. The Journal of Finance, 46 (1), 75 - 109.
  • Luo, N. (2012). The impact of natural disasters on global stock market: The case of the Japanese 2011 earthquake.
  • Qui, L., & Welch, I. (2004). Investor sentiment measures. NBER Working Paper.
  • Ramiah, V. (2013). Effects of the Boxing Day tsunami on the world capital markets. Review of Quantitative Finance and Accounting, 40 (2), 383 - 401.
  • Rigg, J., Grundy-Warr, C., Law, L., & May, T.-M. (2008). Grounding a natural disaster: Thailand and the 2004 tsunami. Asia Pacific Viewpoint, 49 (2), 137 - 154.
  • Rossetto, T., Peiris, N., Pomonis, A., Wilkinson, S. M., Del Re, D., Koo, R., &Gallocher, S. (2007). The Indian Ocean tsunami of December 24, 2004: Observations in Sri Lanka and Thailand. Nat Hazards, 42, 105 - 124.
  • Sheth, A., Sanyal, S., Jaiswal, A., & Gandhi, P. (2006). Effects of the December 2004 Indian Ocean tsunami on the Indian mainland. Earthquake Spectra, 22 (3), 435 - 473.
  • Valizadeh, P., Karali, B., & Ferreira, S. (2017). Ripple effects of the 2011 Japan earthquake on international stock markets. Research in International Business and Finance, 41, 556 - 576.
  • Verma, R., &Verma, P. (2007). Noise trading and stock market volatility. Journal of Multinational Financial Management, 17, 231- 243.
  • Yu, J., & Yuan, Y. (2011). Investor sentiment and the mean-variance relation. Journal of Financial Economics, 100, 367 - 381

THE COMPARATIVE ANALYSIS OF INVESTOR SENTIMENT EFFECT ON TWO MAJOR EARTHQUAKES AND TSUNAMI INCIDENTS

Yıl 2019, Cilt: 10 Sayı: 1, 12 - 16, 30.12.2019

Öz

Purpose- Natural catastrophes such as earthquakes and tsunamis have been a great concern since the beginning of humanity and even before. Apart from the severe property damage they cause, these unforeseen incidents leave thousands of injured and dead. Events like the Indian Ocean and Japan earthquakes and tsunamis even lead to substantial impacts over the global economies. Through this interest, this study aims to determine the impacts of both incidents, over several stock market indices.
Methodology- In order to capture the influence of these events on various stock markets, an investor sentiment methodology is adopted. Trading volume is selected as an investor sentiment proxy and it is regressed against multiple macroeconomic data. The residuals of these analyses are assigned as investor sentiment indices for both cases respectively.Furthermore, an EGARCH model is developed to observe the impacts of investor sentiment associated with both incidents, on the considered stock markets.
Findings- The stock returns of Japan and Vietnam are negatively influenced by investor sentiment associated with the Indian Ocean Earthquake and Tsunami while the stock returns of Indonesia, South Korea, China and Singapore are positively influenced. Thus, the conditional volatilities of Sri Lanka, Indonesia, Thailand, Taiwan and Vietnam are negatively affected. Moreover, the stock returns of Indonesia, South Korea and Thailand are impacted negatively by investor sentiment related to the Japan Earthquake and Tsunami. Hence, the conditional volatility of Indonesia is positively influenced while it is negatively affected for Vietnam.
Conclusion- In contrast with the previous studies, there is strong evidence that most of the selected stock market indices are influenced by both events while the shocks brought by these events are long-lived through the selected stock markets. Moreover, Indian Ocean Earthquake and Tsunami incident seems to generate higher investor sentiment effects on the stock markets than Japan Earthquake and Tsunami incident does.Consequently, Indonesia and Vietnam are considered to be highly impacted by the investor sentiment related to both events. However, Hong Kong, Malaysia and India do not happen to have any investor sentiment effects regarding both earthquakes and tsunami incidents.

Kaynakça

  • Baker, M., & Stein, J. C. (2004). Market liquidity as a sentiment indicator. Journal of Financial Markets, 7, 271 - 299.
  • Baker, M., &Wurgler, J. (2006). Investor sentiment and the cross-section of stock returns. The Journal of Finance, 61 (4), 1645 - 1680.
  • Baker, M., &Wurgler, J. (2007). Investor sentiment in the stock market. Journal of Economic Perspectives, 21 (2), 129 - 151.
  • Bathia, D., & Bredin, D. (2013). An examination of investor sentiment effect on G7 stock market returns. The European Journal of Finance, 19 (9), 909 - 937.
  • Fakhry, B., Aktan, B., Masood, O., Tvaronavičienė, M., &Celik, S. (2018). The impact of a recent natural disaster on the Japanese financial markets: Empirical evidence. Journal of Competitiveness, 10 (2), 56 - 71.
  • Ferreira, S., &Karali, B. (2015). Do earthquakes shake stock markets? PLos ONE, 10 (7).
  • Fisher, K. L., & Statman, M. (2003). Consumer confidence and stock returns. The Journal of Portfolio Management, 30 (1), 115 - 127.
  • Hirshleifer, D. (2001). Investor psychology and asset pricing. The Journal of Finance, 56 (4), 1533 - 1597.
  • Hood, M., Kamesaka, A., Nofsinger, J., & Tamura, T. (2013). Investor response to a natural disaster: Evidence from Japan's 2011 earthquake. Pacific-Basin Finance Journal, 25, 240 - 252.
  • Horton, B., Bird, M., Birkland, T., Cowie, S., Eong, O. J., Hawkes, A., . . . Yasin, Z. (2008). Environmental and socioeconomic dynamics of the Indian Ocean tsunami in Penang, Malaysia. Singapore Journal of Tropical Geography, 29, 307 - 324.
  • Hudson, Y., & Green, C. J. (2015). Is investor sentiment contagious? International sentiment and UK equity returns. Journal of Behavioral and Experimental Finance, 5, 46 - 59.
  • Lee, C. M., Shleifer, A., & Thaler, R. H. (1991). Investor sentiment and the closed-end fund puzzle. The Journal of Finance, 46 (1), 75 - 109.
  • Luo, N. (2012). The impact of natural disasters on global stock market: The case of the Japanese 2011 earthquake.
  • Qui, L., & Welch, I. (2004). Investor sentiment measures. NBER Working Paper.
  • Ramiah, V. (2013). Effects of the Boxing Day tsunami on the world capital markets. Review of Quantitative Finance and Accounting, 40 (2), 383 - 401.
  • Rigg, J., Grundy-Warr, C., Law, L., & May, T.-M. (2008). Grounding a natural disaster: Thailand and the 2004 tsunami. Asia Pacific Viewpoint, 49 (2), 137 - 154.
  • Rossetto, T., Peiris, N., Pomonis, A., Wilkinson, S. M., Del Re, D., Koo, R., &Gallocher, S. (2007). The Indian Ocean tsunami of December 24, 2004: Observations in Sri Lanka and Thailand. Nat Hazards, 42, 105 - 124.
  • Sheth, A., Sanyal, S., Jaiswal, A., & Gandhi, P. (2006). Effects of the December 2004 Indian Ocean tsunami on the Indian mainland. Earthquake Spectra, 22 (3), 435 - 473.
  • Valizadeh, P., Karali, B., & Ferreira, S. (2017). Ripple effects of the 2011 Japan earthquake on international stock markets. Research in International Business and Finance, 41, 556 - 576.
  • Verma, R., &Verma, P. (2007). Noise trading and stock market volatility. Journal of Multinational Financial Management, 17, 231- 243.
  • Yu, J., & Yuan, Y. (2011). Investor sentiment and the mean-variance relation. Journal of Financial Economics, 100, 367 - 381
Toplam 21 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Finans, İşletme
Bölüm Makaleler
Yazarlar

Oktay Tas Bu kişi benim 0000-0002-8019-5308

Mine Ceren Sen Bu kişi benim 0000-0002-2199-0117

Yayımlanma Tarihi 30 Aralık 2019
Yayımlandığı Sayı Yıl 2019 Cilt: 10 Sayı: 1

Kaynak Göster

APA Tas, O., & Sen, M. C. (2019). THE COMPARATIVE ANALYSIS OF INVESTOR SENTIMENT EFFECT ON TWO MAJOR EARTHQUAKES AND TSUNAMI INCIDENTS. PressAcademia Procedia, 10(1), 12-16.
AMA Tas O, Sen MC. THE COMPARATIVE ANALYSIS OF INVESTOR SENTIMENT EFFECT ON TWO MAJOR EARTHQUAKES AND TSUNAMI INCIDENTS. PAP. Aralık 2019;10(1):12-16.
Chicago Tas, Oktay, ve Mine Ceren Sen. “THE COMPARATIVE ANALYSIS OF INVESTOR SENTIMENT EFFECT ON TWO MAJOR EARTHQUAKES AND TSUNAMI INCIDENTS”. PressAcademia Procedia 10, sy. 1 (Aralık 2019): 12-16.
EndNote Tas O, Sen MC (01 Aralık 2019) THE COMPARATIVE ANALYSIS OF INVESTOR SENTIMENT EFFECT ON TWO MAJOR EARTHQUAKES AND TSUNAMI INCIDENTS. PressAcademia Procedia 10 1 12–16.
IEEE O. Tas ve M. C. Sen, “THE COMPARATIVE ANALYSIS OF INVESTOR SENTIMENT EFFECT ON TWO MAJOR EARTHQUAKES AND TSUNAMI INCIDENTS”, PAP, c. 10, sy. 1, ss. 12–16, 2019.
ISNAD Tas, Oktay - Sen, Mine Ceren. “THE COMPARATIVE ANALYSIS OF INVESTOR SENTIMENT EFFECT ON TWO MAJOR EARTHQUAKES AND TSUNAMI INCIDENTS”. PressAcademia Procedia 10/1 (Aralık 2019), 12-16.
JAMA Tas O, Sen MC. THE COMPARATIVE ANALYSIS OF INVESTOR SENTIMENT EFFECT ON TWO MAJOR EARTHQUAKES AND TSUNAMI INCIDENTS. PAP. 2019;10:12–16.
MLA Tas, Oktay ve Mine Ceren Sen. “THE COMPARATIVE ANALYSIS OF INVESTOR SENTIMENT EFFECT ON TWO MAJOR EARTHQUAKES AND TSUNAMI INCIDENTS”. PressAcademia Procedia, c. 10, sy. 1, 2019, ss. 12-16.
Vancouver Tas O, Sen MC. THE COMPARATIVE ANALYSIS OF INVESTOR SENTIMENT EFFECT ON TWO MAJOR EARTHQUAKES AND TSUNAMI INCIDENTS. PAP. 2019;10(1):12-6.

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