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EFFECT OF INVESTOR SENTIMENT ON STOCK MARKETS

Year 2014, Volume: 6 Issue: 11, 51 - 64, 27.01.2015
https://doi.org/10.14784/JFRS.2014117327

Abstract

Motivation of this study is to examine the relationship between investor sentiment and stock market by taking financial crisis period into account. When literature is examined, it is seen that there is a deficiency in this respect. Although there are studies examining same phenomena, none of them has considered the impact of financial crisis. To eliminate this deficiency, we have employed tests with structural breaks rather than conventional ones. At the end of these tests, structural breaks are observed at crisis period as it is expected. By employing data for the period December 2003- December 2012 existence of co-integration, which is an indicator of a long-term relationship between variables, is proved. This is a significant insight showing that consumer confidence index is a critical factor which is in an interaction with stock markets

References

  • AKHTAR, Shumi , Faff, Robert., OLIVER, Barry and SUBRAHMANYAM, Avanidhar (2011) “The power of bad: The negativity bias in Australian consumer sentiment announcements on stock returns” Journal of Banking and Finance, Vol.35,pp.1239-1249.
  • ASTERIOU, Dimitrios and HALL, G. Stephen (2007) Applied Econometrics, Palgrave Macmillan.
  • BAKER, Malcolm and WURGLER, Jeffrey (2007) “Investor Sentiment in the Stock Market” Journal of Economic Perspectives, Vol.21, issue 2, pp. 129-152.
  • BOLLERSLEV, Tim (1986) “Generalized Autoregressive Conditional Heteroscedasticity” Journal of Econometrics, Vol. 31, pp. 307-327.
  • BREMMER, Dale (2008) “Consumer Confidence and Stock Prices” 72nd Annual Meeting of the Midwest Economics Association Hyatt Regency, Chicago, Illinois, www.rose-hulman.edu/~bremmer/ professional/bremmer_midwest2008.pdf.
  • BROOKS, Chris (2008), Introductory Econometrics for Finance, 2nd Edition Chris Brooks, ICMA.
  • BROWN, W. Gregory and CLIFF, T. Michael (2004) “Investor Sentiment and the Near-Term Stock Market” Journal of Empirical Finance, Vol.11,pp.1-27.
  • CANBAŞ, Serpil and KANDIR, S.Yılmaz (2006) “Yatırımcı Duyarlılığının İMKB Sektör Gelirleri Üzerindeki Etkisi”, Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi,Cilt.22, sayı 2, ss.219- 248.
  • CHEN, Nai-fu., KAN, Raymond and MILLER, H. Merton (1993) “Are the Discounts on Closed-end Funds A Sentiment Index?” Journal of Finance, Vol.48, issue 2, pp. 795-800.
  • DELONG, J. Bradford, SHLEIFER, Andrei, SUMMERS, H Lawrence. and WALDMANN, J.Robert (1990) “Noise trader risk in financial markets” Journal of Political Economy, Vol. 98, pp.703-738.
  • DICKEY, D.A. and FULLER, W.A. (1979) “Distribution of the Estimators for Autoregressive Time Series with a Unit Root” Journal of the American Statistical Association, Vol. 74, pp. 427-431.
  • ENGLE, Robert (1982) “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of UK Inflation” Econometrica,Vol.50, pp.987–1008.
  • EUN, S. Cheol and SIM, Sangdal (1989) “International Transmission of Stock Market Movements” Journal of Financial and Quantitative Analysis,Vol.24, pp. 241–256
  • FISHER, Kenneth and STATMAN, Meir (2002) ‘‘Consumer Confidence and Stock Returns’’ Working paper, Santa Clara University.
  • FISHER, Kenneth. and STATMAN, Meir (2003) “Consumer Confidence and Stock Returns” Journal of Portfolio Management, Vol.30, pp. 115–128.
  • GRANGER, C.W.J. (1969) Investigating Causal Relations by Econometric Methods and Cross-Spectral Methods, Econometrica, Vol.37, issue 3, pp. 424-438.
  • GREGORY, W.Allan and HANSEN, E. Bruce (1996)“Residual-Based Tests for cointegration in models with regime shifts”, Journal of Econometrics,Vol.70, pp.99-126.
  • HOWREY, E. Philip (2001) “The Predictive Power of the Index of Consumer Sentiment” Brookings Paper on Economic Activity,Vol. 32, issue 1, pp. 175–216.
  • JANSEN ,W.Jos and NAHUIS, J. Niek (2003) “The Stock Market and Consumer Confidence: European Evidence” Economics Letters, Vol.79, pp. 89-98.
  • KALOTAY, Egon , GRAY, Philip and SIN, Samantha (2009) “Consumer expectations and short-horizon return predictability” Journal of Banking and Finance,Vol.31,pp. 3102-3124.
  • KORKMAZ, Turhan and ÇEVİK, E.İsmail (2009) “Reel Kesim Güven Endeksi ile İMKB 100 Endeksi arasındaki dinamik nedensellik ilişkisi” İstanbul Üniversitesi İşletme Fakültesi Dergisi, Vol. 38, issue 1,pp. 24-37.
  • MORCK, Randall, SCHLEIFER, Andrei and VISHNY,Robert (1990) “The Stock Market and Investment: Is the market a Sideshow?”, Brookings Papers on Economic Activity,Vol.2, pp. 157-202.
  • MURRAY, P. Michael (1994) “A Drunk and Her Dog: An Illustration of Cointegration and Error Correction.” The American Statistician, Vol.48, issue 1, pp. 37-39.
  • OTOO, M. Ward (1999) “Consumer Sentiment and the Stock Market”, Board of Governors of the Federal Reserve System, http://www.federalreserve.gov/pubs/feds/1999/199960/199960pap.pdf .
  • POTERBA, James and SAMWICK, Andrew (1995) “Stock Ownership Patterns, Stock Market Fluctuations and consumption” Brookings Papers on Economic Activity, Vol. 2, pp.295-357.
  • SHLEIFER, Andrei (2003), Inefficient Markets: An Introduction to Behavioral Finance , New York: Oxford University Press.
  • SCHMELING, Maik (2009) “ Investor Sentiment and Stock Returns: Some International Evidence” Journal of Empirical Finance, Vol.16,issue 3, pp. 394-408.
  • SIMS, A. Christopher (1980) “Macroeconomics and Reality” Econometrica, Vol. 48, issue 1,pp. 1-48.
  • SPYROU, Spyros (2012) “Sentiment Changes, Stock Returns and Volatility: Evidence from NYSE, AMEX and NASDAQ Stocks” Applied Financial Economics, Vol.22, issue 19, pp.1631-1646.
  • TOPUZ, Y. Volkan (2011), “ Tüketici Güveni ve Hisse Senedi Fiyatları Arasındaki Nedensellik İlişkisi: Türkiye Örneği” Ekonomik ve Sosyal Araştırmalar Dergisi, Vol.7, issue 1, pp. 53-65.
  • WEDER, Mark (1998), “Fickle Consumers, Durable Goods, and Business Cycles” Journal of Economic Theory, Vol.81, issue 1,pp. 37–57.
  • ZIVOT, Eric and ANDREWS, W.K. Donald (1992), “Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis” Journal of Business&Economic Statistics, Vol.3,pp. 251- 270.
  • ZOUAOUI, Mohamed, NOUYRIGAT, Genevieve and BEER, Francisca (2011) “How does investor sentiment affect stock market crises? Evidence from panel data” The Financial Review,Vol.46, pp. 723-747.

ATIRIMCI DUYARLILIĞININ HİSSE SENEDİ PİYASALARINA ETKİSİ

Year 2014, Volume: 6 Issue: 11, 51 - 64, 27.01.2015
https://doi.org/10.14784/JFRS.2014117327

Abstract

Bu çalışma finansal kriz döneminin etkisini de göz önünde bulundurarak yatırımcı duyarlılığı ile borsa arasındaki ilişkiyi araştırma amacıyla hazırlanmıştır. Akademik literatür incelendiğinde bu alanda bir eksiklik görülmüştür. Aynı konuyu araştıran birçok makale olmasına rağmen, hiçbiri finansal krizlerin etkisini hesaba katmamıştır. Bu eksikliği gidermek adına bu çalışmada standart testler yerine yapısal kırılmalı testler kullanılmıştır. Testlerin sonucunda beklentiye paralel olarak kriz döneminde yapısal kırılmalar tespit edilmiştir. Aralık 2003-Aralık 2012 verisi kullanılarak yapılan analizlerde değişkenler arasında uzun dönemli ilişkinin varlığını gösteren eşbütünleşmenin varlığı kanıtlanmıştır. Buda borsalarla etkileşim içinde olan tüketici güven endeksinin kritik bir faktör olduğu gösteren bir bulgudur.  

References

  • AKHTAR, Shumi , Faff, Robert., OLIVER, Barry and SUBRAHMANYAM, Avanidhar (2011) “The power of bad: The negativity bias in Australian consumer sentiment announcements on stock returns” Journal of Banking and Finance, Vol.35,pp.1239-1249.
  • ASTERIOU, Dimitrios and HALL, G. Stephen (2007) Applied Econometrics, Palgrave Macmillan.
  • BAKER, Malcolm and WURGLER, Jeffrey (2007) “Investor Sentiment in the Stock Market” Journal of Economic Perspectives, Vol.21, issue 2, pp. 129-152.
  • BOLLERSLEV, Tim (1986) “Generalized Autoregressive Conditional Heteroscedasticity” Journal of Econometrics, Vol. 31, pp. 307-327.
  • BREMMER, Dale (2008) “Consumer Confidence and Stock Prices” 72nd Annual Meeting of the Midwest Economics Association Hyatt Regency, Chicago, Illinois, www.rose-hulman.edu/~bremmer/ professional/bremmer_midwest2008.pdf.
  • BROOKS, Chris (2008), Introductory Econometrics for Finance, 2nd Edition Chris Brooks, ICMA.
  • BROWN, W. Gregory and CLIFF, T. Michael (2004) “Investor Sentiment and the Near-Term Stock Market” Journal of Empirical Finance, Vol.11,pp.1-27.
  • CANBAŞ, Serpil and KANDIR, S.Yılmaz (2006) “Yatırımcı Duyarlılığının İMKB Sektör Gelirleri Üzerindeki Etkisi”, Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi,Cilt.22, sayı 2, ss.219- 248.
  • CHEN, Nai-fu., KAN, Raymond and MILLER, H. Merton (1993) “Are the Discounts on Closed-end Funds A Sentiment Index?” Journal of Finance, Vol.48, issue 2, pp. 795-800.
  • DELONG, J. Bradford, SHLEIFER, Andrei, SUMMERS, H Lawrence. and WALDMANN, J.Robert (1990) “Noise trader risk in financial markets” Journal of Political Economy, Vol. 98, pp.703-738.
  • DICKEY, D.A. and FULLER, W.A. (1979) “Distribution of the Estimators for Autoregressive Time Series with a Unit Root” Journal of the American Statistical Association, Vol. 74, pp. 427-431.
  • ENGLE, Robert (1982) “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of UK Inflation” Econometrica,Vol.50, pp.987–1008.
  • EUN, S. Cheol and SIM, Sangdal (1989) “International Transmission of Stock Market Movements” Journal of Financial and Quantitative Analysis,Vol.24, pp. 241–256
  • FISHER, Kenneth and STATMAN, Meir (2002) ‘‘Consumer Confidence and Stock Returns’’ Working paper, Santa Clara University.
  • FISHER, Kenneth. and STATMAN, Meir (2003) “Consumer Confidence and Stock Returns” Journal of Portfolio Management, Vol.30, pp. 115–128.
  • GRANGER, C.W.J. (1969) Investigating Causal Relations by Econometric Methods and Cross-Spectral Methods, Econometrica, Vol.37, issue 3, pp. 424-438.
  • GREGORY, W.Allan and HANSEN, E. Bruce (1996)“Residual-Based Tests for cointegration in models with regime shifts”, Journal of Econometrics,Vol.70, pp.99-126.
  • HOWREY, E. Philip (2001) “The Predictive Power of the Index of Consumer Sentiment” Brookings Paper on Economic Activity,Vol. 32, issue 1, pp. 175–216.
  • JANSEN ,W.Jos and NAHUIS, J. Niek (2003) “The Stock Market and Consumer Confidence: European Evidence” Economics Letters, Vol.79, pp. 89-98.
  • KALOTAY, Egon , GRAY, Philip and SIN, Samantha (2009) “Consumer expectations and short-horizon return predictability” Journal of Banking and Finance,Vol.31,pp. 3102-3124.
  • KORKMAZ, Turhan and ÇEVİK, E.İsmail (2009) “Reel Kesim Güven Endeksi ile İMKB 100 Endeksi arasındaki dinamik nedensellik ilişkisi” İstanbul Üniversitesi İşletme Fakültesi Dergisi, Vol. 38, issue 1,pp. 24-37.
  • MORCK, Randall, SCHLEIFER, Andrei and VISHNY,Robert (1990) “The Stock Market and Investment: Is the market a Sideshow?”, Brookings Papers on Economic Activity,Vol.2, pp. 157-202.
  • MURRAY, P. Michael (1994) “A Drunk and Her Dog: An Illustration of Cointegration and Error Correction.” The American Statistician, Vol.48, issue 1, pp. 37-39.
  • OTOO, M. Ward (1999) “Consumer Sentiment and the Stock Market”, Board of Governors of the Federal Reserve System, http://www.federalreserve.gov/pubs/feds/1999/199960/199960pap.pdf .
  • POTERBA, James and SAMWICK, Andrew (1995) “Stock Ownership Patterns, Stock Market Fluctuations and consumption” Brookings Papers on Economic Activity, Vol. 2, pp.295-357.
  • SHLEIFER, Andrei (2003), Inefficient Markets: An Introduction to Behavioral Finance , New York: Oxford University Press.
  • SCHMELING, Maik (2009) “ Investor Sentiment and Stock Returns: Some International Evidence” Journal of Empirical Finance, Vol.16,issue 3, pp. 394-408.
  • SIMS, A. Christopher (1980) “Macroeconomics and Reality” Econometrica, Vol. 48, issue 1,pp. 1-48.
  • SPYROU, Spyros (2012) “Sentiment Changes, Stock Returns and Volatility: Evidence from NYSE, AMEX and NASDAQ Stocks” Applied Financial Economics, Vol.22, issue 19, pp.1631-1646.
  • TOPUZ, Y. Volkan (2011), “ Tüketici Güveni ve Hisse Senedi Fiyatları Arasındaki Nedensellik İlişkisi: Türkiye Örneği” Ekonomik ve Sosyal Araştırmalar Dergisi, Vol.7, issue 1, pp. 53-65.
  • WEDER, Mark (1998), “Fickle Consumers, Durable Goods, and Business Cycles” Journal of Economic Theory, Vol.81, issue 1,pp. 37–57.
  • ZIVOT, Eric and ANDREWS, W.K. Donald (1992), “Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis” Journal of Business&Economic Statistics, Vol.3,pp. 251- 270.
  • ZOUAOUI, Mohamed, NOUYRIGAT, Genevieve and BEER, Francisca (2011) “How does investor sentiment affect stock market crises? Evidence from panel data” The Financial Review,Vol.46, pp. 723-747.
There are 33 citations in total.

Details

Primary Language English
Journal Section Makaleler
Authors

Özge Bolaman

Pınar Evrim Mandacı

Publication Date January 27, 2015
Submission Date January 27, 2015
Published in Issue Year 2014 Volume: 6 Issue: 11

Cite

APA Bolaman, Ö., & Evrim Mandacı, P. (2015). EFFECT OF INVESTOR SENTIMENT ON STOCK MARKETS. Finansal Araştırmalar Ve Çalışmalar Dergisi, 6(11), 51-64. https://doi.org/10.14784/JFRS.2014117327

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