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

被引：25
|
作者：
Uygur, Utku [1 ]
Tas, Oktay [1 ]
机构：
[1] Istanbul Tech Univ, Dept Management Engn, TR-34367 Istanbul, Turkey
来源：
BORSA ISTANBUL REVIEW | 2014年 / 14卷 / 04期
关键词：
Noise trader theory; Investor sentiment; Conditional volatility;
D O I：
10.1016/j.bir.2014.08.001
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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. Copyright (C) 2014, Borsa Istanbul Anonim Sirketi. Production and hosting by Elsevier B.V.
引用
收藏
页码：236 / 241
页数：6
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