EFFECT OF INVESTOR SENTIMENT ON STOCK MARKETS

Özge Bolaman [1] , Pınar Evrim Mandacı [2]

497 1188

Motivation of this study is to examine the relationship between investor sentiment and stock market by taking financial crisis period into account. When literature is examined, it is seen that there is a deficiency in this respect. Although there are studies examining same phenomena, none of them has considered the impact of financial crisis. To eliminate this deficiency, we have employed tests with structural breaks rather than conventional ones. At the end of these tests, structural breaks are observed at crisis period as it is expected. By employing data for the period December 2003- December 2012 existence of co-integration, which is an indicator of a long-term relationship between variables, is proved. This is a significant insight showing that consumer confidence index is a critical factor which is in an interaction with stock markets

Motivation of this study is to examine the relationship between investor sentiment and stock

market by taking financial crisis period into account. When literature is examined, it is seen that there

is a deficiency in this respect. Although there are studies examining same phenomena, none of them

has considered the impact of financial crisis. To eliminate this deficiency, we have employed tests with

structural breaks rather than conventional ones. At the end of these tests, structural breaks are observed

at crisis period as it is expected. By employing data for the period December 2003- December 2012

existence of co-integration, which is an indicator of a long-term relationship between variables, is proved.

This is a significant insight showing that consumer confidence index is a critical factor which is in an

interaction with stock markets.

Keywords: Stock Markets, Investor Sentiment, Consumer Confidence Index, Financial Crisis,

Cointegration

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Yazar: Özge Bolaman
E-posta: obolaman@pau.edu.tr

Yazar: Pınar Evrim Mandacı
E-posta: pinar.evrim@deu.edu.tr

Bibtex @ { marufacd4607, journal = {Finansal Araştırmalar ve Çalışmalar Dergisi}, issn = {1309-1123}, address = {Marmara Üniversitesi}, year = {2015}, volume = {6}, pages = {0 - }, doi = {10.14784/JFRS.2014117327}, title = {EFFECT OF INVESTOR SENTIMENT ON STOCK MARKETS}, language = {tr}, key = {cite}, author = {Bolaman, Özge and Evrim Mandacı, Pınar} }
APA Bolaman, Ö , Evrim Mandacı, P . (2015). EFFECT OF INVESTOR SENTIMENT ON STOCK MARKETS. Finansal Araştırmalar ve Çalışmalar Dergisi, 6 (11), . DOI: 10.14784/JFRS.2014117327
MLA Bolaman, Ö , Evrim Mandacı, P . "EFFECT OF INVESTOR SENTIMENT ON STOCK MARKETS". Finansal Araştırmalar ve Çalışmalar Dergisi 6 (2015): <http://e-dergi-marmara.dergipark.gov.tr/marufacd/issue/508/4607>
Chicago Bolaman, Ö , Evrim Mandacı, P . "EFFECT OF INVESTOR SENTIMENT ON STOCK MARKETS". Finansal Araştırmalar ve Çalışmalar Dergisi 6 (2015):
RIS TY - JOUR T1 - EFFECT OF INVESTOR SENTIMENT ON STOCK MARKETS AU - Özge Bolaman , Pınar Evrim Mandacı Y1 - 2015 PY - 2015 N1 - doi: 10.14784/JFRS.2014117327 DO - 10.14784/JFRS.2014117327 T2 - Finansal Araştırmalar ve Çalışmalar Dergisi JF - Journal JO - JOR SP - 0 EP - VL - 6 IS - 11 SN - 1309-1123- M3 - doi: 10.14784/JFRS.2014117327 UR - http://dx.doi.org/10.14784/JFRS.2014117327 Y2 - 2017 ER -
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