An examination of U.S. institutional and individual investor sentiment effect on the Turkish stock market

Sayim M., Rahman H.

GLOBAL FINANCE JOURNAL, cilt.26, ss.1-17, 2015 (ESCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 26
  • Basım Tarihi: 2015
  • Doi Numarası: 10.1016/j.gfj.2015.01.001
  • Dergi Adı: GLOBAL FINANCE JOURNAL
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), Scopus
  • Sayfa Sayıları: ss.1-17
  • Anahtar Kelimeler: Investor sentiment, ISE, VAR model, AUTOREGRESSIVE TIME-SERIES, ASSET PRICES, RETURNS, RISK, EQUILIBRIUM, VOLATILITY, INFLATION, EARNINGS
  • Marmara Üniversitesi Adresli: Hayır

Özet

This study examines the effect of rational and irrational components of U.S. institutional and individual investor sentiment on Istanbul Stock Market (ISE) return and volatility. The results showthat there is a significant spillover effect of U.S. investor sentiment on stock return and volatility of ISE. A breakdown of sentiment by the type of investor shows that the impact of institutional sentiment is greater than that of individual sentiment. A breakdown of sentiment by rationality shows that the effect of rational sentiment on ISE return is faster though not necessarily greater than that of irrational sentiment. The conclusion fromthese results is that the effect of U.S. investor sentiment is systemic and cannot be diversified away. U.S. investor sentiment, therefore, constitutes a priced risk factor and must be accounted for accordingly in international asset pricing models. The findings also provide some evidence of a negative relationship between U.S. investor sentiment and ISE return volatility. (C) 2015 Elsevier Inc. All rights reserved.