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The impacts of investor sentiment on different economic sectors: Evidence from Istanbul Stock Exchange

Author

Listed:
  • Utku Uygur
  • Oktay Tas

Abstract

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.

Suggested Citation

  • Utku Uygur & Oktay Tas, 2014. "The impacts of investor sentiment on different economic sectors: Evidence from Istanbul Stock Exchange," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 14(4), pages 236-241, December.
    • Handle: RePEc:bor:bistre:v:14:y:2014:i:4:p:236-241
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    Citations

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    Cited by:

    1. Bahloul, Walid & Bouri, Abdelfettah, 2016. "The impact of investor sentiment on returns and conditional volatility in U.S. futures markets," Journal of Multinational Financial Management, Elsevier, vol. 36(C), pages 89-102.
    2. Deimante Teresiene & Greta Keliuotyte-Staniuleniene & Yiyi Liao & Rasa Kanapickiene & Ruihui Pu & Siyan Hu & Xiao-Guang Yue, 2021. "The Impact of the COVID-19 Pandemic on Consumer and Business Confidence Indicators," JRFM, MDPI, vol. 14(4), pages 1-23, April.
    3. Jinsong Zhang & Yiding Wang, 2022. "How to Improve the Corporate Sustainable Development?—The Importance of the Intellectual Capital and the Role of the Investor Confidence," Sustainability, MDPI, vol. 14(7), pages 1-17, March.
    4. Syed Ali Raza, Muhammad Mansoor, Khalid M. Iraqi, 2019. "Influence of Investor Sentiments on Stock Market Capitalization of Different Economic Sectors in a Developing Economy: Evidence from Pakistan," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 4(1), pages 31-43, March.
    5. CURATOLA, Giuliano & DONADELLI, Michael & KIZYS, Renatas & RIEDEL, Max, 2016. "Investor Sentiment and Sectoral Stock Returns: Evidence from World Cup Games," Finance Research Letters, Elsevier, vol. 17(C), pages 267-274.
    6. Blajer-Gołębiewska, Anna & Honecker, Lukas & Nowak, Sabina, 2024. "Investor sentiment response to COVID-19 outbreak-related news: A sectoral analysis of US firms," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
    7. Hadad, Elroi & Kedar-Levy, Haim, 2024. "The impact of retail investor sentiment on the conditional volatility of stocks and bonds: Evidence from the Tel-Aviv stock exchange," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1303-1313.
    8. Shaista Wasiuzzaman, 2022. "Impact of COVID-19 on the Saudi stock market: analysis of return, volatility and trading volume," Journal of Asset Management, Palgrave Macmillan, vol. 23(4), pages 350-363, July.
    9. Azilawati Banchit & Sazali Abidin & Sophyafadeth Lim & Fareiny Morni, 2020. "Investor Sentiment, Portfolio Returns, and Macroeconomic Variables," JRFM, MDPI, vol. 13(11), pages 1-14, October.
    10. Elroi Hadad & Haim Kedar-Levy, 2022. "The Impact of Retail Investors Sentiment on Conditional Volatility of Stocks and Bonds," Papers 2208.01538, arXiv.org.
    11. Maryna Brychko & Tetyana Vasilyeva & Zuzana Rowland & Serhiy Lyeonov, 2021. "Does the real estate market behavior predict the trust crisis in the financial sector? The case of the ECB and the Euro," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 16(4), pages 711-740, December.
    12. Brzeszczyński, Janusz & Gajdka, Jerzy & Kutan, Ali M., 2015. "Investor response to public news, sentiment and institutional trading in emerging markets: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 338-352.

    More about this item

    Keywords

    Noise trader theory; Investor sentiment; Conditional volatility;
    All these keywords.

    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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