Türkiye Pay Piyasalarında Yatırımcı Duyarlılığı ve Belirleyicileri
Ambargo SüresiAcik erisim
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In this study, it is aimed to test the existence of Investor Sentiment in Turkish Stock Markets and to examine its effects on cross-sectional stock returns. In order to test the concept of Investor Sentiment, a theoretical index was created by the representatives which are frequently discussed in the finance literature, and between January 2010 and January 2022, the monthly return series of stocks traded in Borsa Istanbul Stock Markets were analyzed. The stocks considered within the scope of the analysis consist of 146 companies that are traded continuously throughout the observation period. The companies in question were divided into 10 sub-portfolio groups on the scale of Size, Value and Volatility, where sentiment is considered to be dominant, and the variables in the Fama-French Three Factor Model were used as control variables in the multiple regression models. In addition, in order to observe how the concept of Investor Sentiment is affected by periodicity, the observation interval was divided into three sub-periods and the impact power of the sentiment was measured. The findings reveal that the Sentiment Index, which represents the Investor Sentiment, has statistically explanatory power for the return series at the market scale portfolio and in all sub-portfolio groups. However, as suggested in the finance literature, it has been observed that sentiment has a relatively greater effect especially on small stocks, overgrowth stocks and high volatility stocks. In terms of periodicity, it has been observed that the explanatory power of sentiment differs in sub-observation periods due to economic and political factors. In this context, it is argued that Investor Sentiment is a systematic risk that cannot be eliminated by diversification in the Turkish Stock Markets, and that investors should consider the phenomenon of investor sentiment in asset allocations.