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.
| Original language | English |
|---|---|
| Pages (from-to) | 236-241 |
| Number of pages | 6 |
| Journal | Borsa Istanbul Review |
| Volume | 14 |
| Issue number | 4 |
| DOIs | |
| Publication status | Published - 1 Dec 2014 |
Bibliographical note
Publisher Copyright:© 2014 Borsa Istanbul Anonim Şirketi. Production and hosting by Elsevier B.V.
Keywords
- Conditional volatility
- Investor sentiment
- Noise trader theory