The Impact of Investor Sentiment on Borsa Istanbul Sector Index Returns

Berna Aydoğan and Gülin Vardar
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Berna Aydoğan: İzmir Ekonomi University
Gülin Vardar: İzmir Ekonomi University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2015, vol. 30, issue 104, 29-52

Abstract: This study examines the impact of Turkish individual investor sentiment on the Borsa Istanbul sector indices for the period of 2004 January – 2014 January by using Vector Autoregression Model (VAR) and Generalized Impulse-Response Function. The re¬sults indicate that any sector indices do not response to rational investor sentiment shock whereas with the exception of Transpor¬tation and Telecommunication sectors the other sector indices re¬sponse to irrational investor sentiment.

Keywords: Investor sentiment; VAR, Sector indices; Borsa Istanbul (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:30:y:2015:i:104:p:29-52

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