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The Impact of Investor Sentiment on Borsa Istanbul Sector Index Returns

Author

Listed:
  • Berna Aydoğan

    (İzmir Ekonomi University)

  • Gülin Vardar

    (İzmir Ekonomi University)

Abstract

This study examines the impact of Turkish individual investor sentiment on the Borsa Istanbul sector indices for the period of 2004 January – 2014 January by using Vector Autoregression Model (VAR) and Generalized Impulse-Response Function. The re¬sults indicate that any sector indices do not response to rational investor sentiment shock whereas with the exception of Transpor¬tation and Telecommunication sectors the other sector indices re¬sponse to irrational investor sentiment.

Suggested Citation

  • Berna Aydoğan & Gülin Vardar, 2015. "The Impact of Investor Sentiment on Borsa Istanbul Sector Index Returns," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 30(104), pages 29-52, October.
    • Handle: RePEc:acc:malfin:v:30:y:2015:i:104:p:29-52
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