Yatırımcı İlgisinin Pay Piyasaları Üzerindeki Etkisi: Borsa İstanbul’da İşlem Gören Bankalar Üzerine Panel Veri Analizi

Yıl 2020, Cilt: 28 Sayı: 44, 191 - 214, 19.04.2020

Tuğba Nur Topaloğlu , İlhan Ege

https://doi.org/10.17233/sosyoekonomi.2020.02.09

Cited By: 1

Öz

Çalışmada GAT (Google Arama Trendleri) verileri ile ölçülen yatırımcı ilgisi ile pay senedi getirisi ve işlem hacmi arasındaki ilişkinin bankacılık sektöründe faaliyet gösteren ve Borsa İstanbul’a kote olan bankalarda 2010-2018 döneminde araştırılması amaçlanmıştır. Bu amaçla “banka adı hisse”, “banka adı borsa” ve “bankaların BİST kodu” anahtar kelimelerinin Google aranma sıklıkları ve aranma sıklıklarına ilişkin her bir endeksin toplamı olan “toplam GAT” bağımsız değişkenler olarak analize dâhil edilir iken bağımlı değişkenler olarak pay senedi getirisi ve işlem hacmi kullanılmıştır. Yapılan panel veri analizi sonucunda bağımlı değişken olan pay senedi getirisi ile “bankaların BİST kodu” arasında istatistiksel olarak anlamlı ve pozitif yönlü ilişki tespit edilirken diğer bağımsız değişkenler ile pay senedi getirisi arasında anlamlı ilişki tespit edilememiştir. Bunun yanı sıra, bir diğer bağımlı değişken olan işlem hacmi ile “banka adı hisse”, “bankaların BİST kodu” ve “toplam GAT” bağımsız değişkenleri ile istatistiksel olarak anlamlı ve pozitif yönlü bir ilişki tespit edilirken “banka adı borsa” değişkeni ile işlem hacmi arasında anlamlı ilişki tespit edilememiştir. Araştırma sonuçları genel olarak Merton (1987) Yatırımcı Tanınmışlık Hipotezi ve Barber ve Odean (2008) Fiyat Baskısı Hipotezi’ni destekler niteliktedir.

Anahtar Kelimeler

Yatırımcı İlgisi, Google Arama Trendleri, Pay Piyasası

The Effect of Investor Attention on Equity Markets: Panel Data Analysis on Banks Traded on Borsa Istanbul

Öz

In this study, it is aimed to investigate the relationship between investor’s attention measured by SVI (Google Search Volume Index) data and stock return and trading volume of the banks listed in Borsa İstanbul for the period 2010-2018. For this purpose, together with “bank name stock”, “bank name stock market”, “banks’ BIST code” keyword search volumes, “Total GAT” which is the sum of the each independent search volume index has been taken as independent variables while stock returns and trading volume are used as dependent variables. As a result of the panel data analysis, a statistically significant and positive relationship has been found between stock return, one of our dependent variables, and the “banks’ BIST code”, while no significant relationship has been found between other independent variables and stock return. In addition, while there exists a statistically significant and positive relationship between each of the independent variables namely “bank name stock market”, “banks’ BIST code”, “total GAT” and our other dependent variable trading volume, there is no statistically significant relationship between “bank name stock” variable and trading volume. The results of this research are generally supported by Merton (1987) Investor Recognition Hypothesis and Barber and Odean (2008) Price Pressure Hypothesis.

Anahtar Kelimeler

Investor Attention, Google Search Trends, Equity Market

Kaynakça

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