The impacts of investor sentiment on different economic sectors: Evidence from Istanbul Stock Exchange
The aim of this study is to construct a model for evaluating the effects of investor sentiment on the conditional volatility by measuring the effects of noise trader demand shocks on returns and volatility where EGARCH model is used to determine whether investor sentiment has more influence on the c...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2014-12-01
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| Series: | Borsa Istanbul Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845014000301 |
| _version_ | 1811227985072619520 |
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| author | Utku Uygur Oktay Taş |
| author_facet | Utku Uygur Oktay Taş |
| author_sort | Utku Uygur |
| collection | DOAJ |
| description | The aim of this study is to construct a model for evaluating the effects of investor sentiment on the conditional volatility by measuring the effects of noise trader demand shocks on returns and volatility where EGARCH model is used to determine whether investor sentiment has more influence on the conditional volatility of various sector indexes. After controlling for macroeconomic shocks, weekly trading volume of Istanbul Stock Exchange 100 is used as investor sentiment proxy. Significant evidence is found that a change in investor sentiment has more influence on conditional volatility of industry, banking, and food and beverages sector indexes when compared with other sectors such as retail or telecommunication. |
| first_indexed | 2024-04-12T09:50:53Z |
| format | Article |
| id | doaj.art-6bdfd286a82d43ec818e16d8c4b49226 |
| institution | Directory Open Access Journal |
| issn | 2214-8450 |
| language | English |
| last_indexed | 2024-04-12T09:50:53Z |
| publishDate | 2014-12-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Borsa Istanbul Review |
| spelling | doaj.art-6bdfd286a82d43ec818e16d8c4b492262022-12-22T03:37:49ZengElsevierBorsa Istanbul Review2214-84502014-12-0114423624110.1016/j.bir.2014.08.001The impacts of investor sentiment on different economic sectors: Evidence from Istanbul Stock ExchangeUtku UygurOktay TaşThe aim of this study is to construct a model for evaluating the effects of investor sentiment on the conditional volatility by measuring the effects of noise trader demand shocks on returns and volatility where EGARCH model is used to determine whether investor sentiment has more influence on the conditional volatility of various sector indexes. After controlling for macroeconomic shocks, weekly trading volume of Istanbul Stock Exchange 100 is used as investor sentiment proxy. Significant evidence is found that a change in investor sentiment has more influence on conditional volatility of industry, banking, and food and beverages sector indexes when compared with other sectors such as retail or telecommunication.http://www.sciencedirect.com/science/article/pii/S2214845014000301Noise trader theoryInvestor sentimentConditional volatility |
| spellingShingle | Utku Uygur Oktay Taş The impacts of investor sentiment on different economic sectors: Evidence from Istanbul Stock Exchange Borsa Istanbul Review Noise trader theory Investor sentiment Conditional volatility |
| title | The impacts of investor sentiment on different economic sectors: Evidence from Istanbul Stock Exchange |
| title_full | The impacts of investor sentiment on different economic sectors: Evidence from Istanbul Stock Exchange |
| title_fullStr | The impacts of investor sentiment on different economic sectors: Evidence from Istanbul Stock Exchange |
| title_full_unstemmed | The impacts of investor sentiment on different economic sectors: Evidence from Istanbul Stock Exchange |
| title_short | The impacts of investor sentiment on different economic sectors: Evidence from Istanbul Stock Exchange |
| title_sort | impacts of investor sentiment on different economic sectors evidence from istanbul stock exchange |
| topic | Noise trader theory Investor sentiment Conditional volatility |
| url | http://www.sciencedirect.com/science/article/pii/S2214845014000301 |
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