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

Utku Uygur*, Oktay Taş

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

26 Citations (Scopus)

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 languageEnglish
Pages (from-to)236-241
Number of pages6
JournalBorsa Istanbul Review
Volume14
Issue number4
DOIs
Publication statusPublished - 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

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