Araştırma Makalesi
Yıl 2018,
Cilt: 19 Sayı: 2, 238 - 253, 30.11.2018
Öz
Kaynakça
- Alexander, C and Korovilas D., (2012). Diversification of Equity with VIX Futures: Personal Views and Skewness Preference. Social Sciences Research Network. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2027580Asgary, N., GU, A.Y. (2005), “The Stock Market and Consumer Confidence: An International Comparison”, Journal of Accounting and Finance Research, 13(3), 205-213.Bai, Jushan and Pierre Perron (2003). Computation and Analysis of Multiple Structural Change Models. Journal of Applied Econometrics, 6, 72–78.Baker, M., & Wurgler, J. (2007). Investor Sentiment in the Stock Market. Journal ofEconomic Perspectives, 21(2), 129-152.Bolaman, Ö., & Mandacı, P. E. (2014). Effect of investor sentiment on stock markets. Finansal Araştırmalar ve Çalışmalar Dergisi, 6(11), 51-64.Chang, C. L., Hsieh, T. L and McAleer, M. (2016). How are VIX and Stock Index ETF related? Tinbergen Institute Discussion Paper, (No. 16-010/III)Çelik, S., Aslanoğlu, E., Deniz, P. (2010). The Relationship between Consumer Confidence and Financial Market Variables in Turkey during the Global Crisis, 30th Annual Meeting of The Middle East Economic Association, Allied Social Science Associations, Atlanta, GA, January 3-6.Daigler, R., & L. Rossi. (2006). A Portfolio of Stocks and Volatility. The Journal of Investing, 99-106. http://dx.doi.org/10.3905/joi.2006.635636Engle, R. and Granger, C. W. J. (1987). Co-Integration and Error Correction: Represention, Estimation and Testing. Econometrica, 55(2), 251-276.Fisher, K. L and Statman, Meir., (2003). Consumer confidence and stock returns. The Journal of Portfolio Management, 30(1), 115-127.G.W. Brown and M.T. Cliff, Investor Sentiment and the Near-Term Stock Market.Journal of Empirical Finance. 11, 1-27 (2004).Gonzalez-Perez, Maria T. and Guerrerox, David E. (2013), Day-of-the-week effect on the VIX. A Parsimonious Representation. North American Journal of Economics and Finance, 25: 243– 260.Granger, C. W. J., (1969). Investigating Causal Relations by Econometric Models and Cross-Spectral Methods. Econometrica, 37, 424–438.Güriş, S., Çağlayan, E. ve Güriş, B. (2011). Eviews ile Temel Ekonometri. Der Yayınları, İstanbul.Hsu, C-C., Lin, H-Y., and Wu, J-Y. (2011). Consumer Confidence and Stock Markets: The Panel Causality Evidence. International Journal of Economics and Finance, 3(6), 91-98.Kale, S and Akkaya, M., (2016). The relation between confidence climate and stock returns: The case of Turkey. Procedia Economics and Finance, 38, 150-162.Kapetanios, G., (2005). Unit-root Testing Against The Alternative Hypothesis of up to m Structural Breaks. Journal of Time Series Analysis, 26(1), 123–133.Kaya, E., (2015). Borsa İstanbul (BIST) 100 Endeksi ile Zımni Volatilite (VIX) Endeksi Arasındaki Eş-Bütünleşme ve Granger Nedensellik. KMÜ Sosyal ve Ekonomik Araştırmalar Dergisi, 17(28), 1-6.Konstantinidi, E., Skiadopoulos, G and Tzagkaraki, E., (2008). Can The Evolution of Implied Volatility Be Forecasted? Evidence from European and US Implied Volatility Indices, Journal of Banking & Finance, 32, 2401-2411.Korkmaz, T ve Çevik, E. İ. (2009), Zımni Volatilite Endeksinden Gelişmekte Olan Piyasalara Yönelik Volatilite Yayılma Etkisi, BDDK Bankacılık ve Finansal Piyasalar, 3, 87- 105.Krein, D and Fernandez J., (2012). Volatility Risk Control. Journal of Index Investing, 3(2), 62-75. http://www.iijournals.com/toc/jii/3/2.Lemmon, M., Portniaguina, E., (2006), Consumer Confidence and Asset Prices: Some Empirical Evidence, The Review of Financial Studies, 19(4), 1499-1529.Lin, Y.N., (2013). VIX Option Pricing And CBOE VIX Term Structure: A New Methodology for Volatility Derivatives Valuation, Journal of Banking & Finance. 37: 4432–4446. Liu, S., (2015). Investor Sentiment and Stock Market Liquidity,Journal of Behavioral Finance, 16(1), 51-67.Liu, B., and Srikant, D., (2012). Volatility ETFs and ETNs. The Journal of Trading, 7(1), 43-48. http://dx.doi.org/10.3905/jot.2012.7.1.043Mermer, İ. (2014). Tüketici Güven Endeksi Ve Hisse Senedi Getirileri İlişkisi: BIST Üzerine Bir Uygulama. Ankara Üniversitesi, Sosyal Bilimler Enstitüsü, İşletme Anabilim Dalı, Yayınlanmamış Yüksek Lisans Tezi. Moran, M.T., & S. Dash., (2007). VIX Futures and Options: Pricing and Using Volatility Products to Manage Downside Risk and Improve Efficiency in Equity Portfolios. The Journal of Trading, (29), 96-105. http://dx.doi.org/10.3905/jot.2007.688954/Mukherjee, K. N. ve Kumar, M. R. (2010), “Stock Market Integration and Volatility Spillover: India and Its Major Asian Counterparts” Research in International Business and Finance, 24, 235–251.Ottoo, M. W., (1999). Consumer Sentiment and Stock Market. Finance and EconomicsDicussion Series from Board of Governors of Federal Reserve System.https://www.federalreserve.gov/pubs/feds/1999/199960/199960pap.pdf (25.10.2017).Özdemir, Z. A., Olgun, H. ve Saraçoglu, B. (2009), “Dynamic Linkages between The Center and Periphery in International Stock Markets” Research in International Business and Finance, 23, 46– 53.Phillips, P.C.B., and Ouliaris, S., (1990). Asymptotic Properties of Residual Based Tests for Cointegration, Econometrica, 58, 165-193.Sarwar, G., (2012). Is VIX an investor fear gauge in BRIC equitymarkets?, Journal of Multinational Financial Management, 22: 55– 65.Singal, M., (2012), “Effect of Consumer Sentiment on Hospitality Expenditures and Stock Returns”, International Journal of Hospitality Management, 31, 511-521.Tarı, R. (2012). Ekonometri. Umuttepe Yayınları, Kocaeli. Topuz, Y. V. (2011). Tüketici Güveni ve Hisse Senedi Fiyatları Arasındaki Nedensellik İlişkisi: Türkiye Örneği. Ekonomik ve Sosyal Araştırmalar Dergisi, 7(1), 53-65.Tsai, I. C., (2014). Spillover of fear: Evidence from the stock markets of five developed countries. International Review of Financial Analysis, 33, 281-288/Varlık, B., (2017). Borsa İstanbul’da (BİST) Hisse Senedi Fiyatlarının Spektral Analizi. Adnan Menderes Üniversitesi, Sosyal Bilimler Enstitüsü, İşletme Anabilim Dalı, Yayınlanmamış Doktora Tezi.
BORSANIN PSİKOLOJİK FAKTÖRLERE DUYARLILIĞI: OYNAKLIK ENDEKSİ (VIX) VE TÜKETİCİ GÜVEN ENDEKSİ (TGE) İLE BIST 100 ENDEKSİ ARASINDAKİ İLİŞKİLER
Öz
Bu
çalışmada Türkiye’de Borsa İstanbul 100 endeksini etkileyen psikolojik
faktörlerin ekonometrik olarak analiz edilmesi yoluna gidilmiştir. Bu amaç
doğrultusunda 2004:M01-2018:M04 dönemi için BIST100 endeksi kapanış değerleri,
ABD’deki VIX korku endeksi ve Türkiye’deki Tüketici Güven Endeksi verileri
kullanılmıştır. Uzun dönem analizlerde; korku endeksindeki artışların, teorik
beklentilerle uyumlu şekilde borsa endeksini azalttığı belirlenirken, tüketici
güven endeksindeki artışların, teorik beklentilerle uyuşmayacak biçimde,
borsayı azaltıcı yönde etkisinin olduğu görülmüştür. Kısa dönem analizinde ise
hem korku endeksinin hem de güven endeksinin, teorik beklentilerle uyumlu
yönünde borsaya etki ettiği belirlenmiştir. Uzun ve kısa dönem analizler
birlikte değerlendirildiğinde; korku endeksinin her iki dönemde borsa üzerinde
azaltıcı etkisinin olduğu, güven endeksinin ise asıl olarak kısa dönemde etkili
olduğu görülmüştür. Dolayısıyla borsada işlem yapan bireylerin ve aracı kurum
temsilcilerinin kısa dönemde VIX’in negatif ve TGE’nin pozitif etkileri dikkate
alacak şekilde tutum sergilemeleri gerektiği; uzun dönemde ise kuvvetle
muhtemel VIX’ın yanı sıra makroekonomik değişkenleri dikkate alıcı yönde
davranış sergilemelerinin gerektiği söylenebilir.
Anahtar Kelimeler
Borsada psikolojik faktörler kısa ve uzun dönem tahminciler nedensellik testleri
Kaynakça
- Alexander, C and Korovilas D., (2012). Diversification of Equity with VIX Futures: Personal Views and Skewness Preference. Social Sciences Research Network. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2027580Asgary, N., GU, A.Y. (2005), “The Stock Market and Consumer Confidence: An International Comparison”, Journal of Accounting and Finance Research, 13(3), 205-213.Bai, Jushan and Pierre Perron (2003). Computation and Analysis of Multiple Structural Change Models. Journal of Applied Econometrics, 6, 72–78.Baker, M., & Wurgler, J. (2007). Investor Sentiment in the Stock Market. Journal ofEconomic Perspectives, 21(2), 129-152.Bolaman, Ö., & Mandacı, P. E. (2014). Effect of investor sentiment on stock markets. Finansal Araştırmalar ve Çalışmalar Dergisi, 6(11), 51-64.Chang, C. L., Hsieh, T. L and McAleer, M. (2016). How are VIX and Stock Index ETF related? Tinbergen Institute Discussion Paper, (No. 16-010/III)Çelik, S., Aslanoğlu, E., Deniz, P. (2010). The Relationship between Consumer Confidence and Financial Market Variables in Turkey during the Global Crisis, 30th Annual Meeting of The Middle East Economic Association, Allied Social Science Associations, Atlanta, GA, January 3-6.Daigler, R., & L. Rossi. (2006). A Portfolio of Stocks and Volatility. The Journal of Investing, 99-106. http://dx.doi.org/10.3905/joi.2006.635636Engle, R. and Granger, C. W. J. (1987). Co-Integration and Error Correction: Represention, Estimation and Testing. Econometrica, 55(2), 251-276.Fisher, K. L and Statman, Meir., (2003). Consumer confidence and stock returns. The Journal of Portfolio Management, 30(1), 115-127.G.W. Brown and M.T. Cliff, Investor Sentiment and the Near-Term Stock Market.Journal of Empirical Finance. 11, 1-27 (2004).Gonzalez-Perez, Maria T. and Guerrerox, David E. (2013), Day-of-the-week effect on the VIX. A Parsimonious Representation. North American Journal of Economics and Finance, 25: 243– 260.Granger, C. W. J., (1969). Investigating Causal Relations by Econometric Models and Cross-Spectral Methods. Econometrica, 37, 424–438.Güriş, S., Çağlayan, E. ve Güriş, B. (2011). Eviews ile Temel Ekonometri. Der Yayınları, İstanbul.Hsu, C-C., Lin, H-Y., and Wu, J-Y. (2011). Consumer Confidence and Stock Markets: The Panel Causality Evidence. International Journal of Economics and Finance, 3(6), 91-98.Kale, S and Akkaya, M., (2016). The relation between confidence climate and stock returns: The case of Turkey. Procedia Economics and Finance, 38, 150-162.Kapetanios, G., (2005). Unit-root Testing Against The Alternative Hypothesis of up to m Structural Breaks. Journal of Time Series Analysis, 26(1), 123–133.Kaya, E., (2015). Borsa İstanbul (BIST) 100 Endeksi ile Zımni Volatilite (VIX) Endeksi Arasındaki Eş-Bütünleşme ve Granger Nedensellik. KMÜ Sosyal ve Ekonomik Araştırmalar Dergisi, 17(28), 1-6.Konstantinidi, E., Skiadopoulos, G and Tzagkaraki, E., (2008). Can The Evolution of Implied Volatility Be Forecasted? Evidence from European and US Implied Volatility Indices, Journal of Banking & Finance, 32, 2401-2411.Korkmaz, T ve Çevik, E. İ. (2009), Zımni Volatilite Endeksinden Gelişmekte Olan Piyasalara Yönelik Volatilite Yayılma Etkisi, BDDK Bankacılık ve Finansal Piyasalar, 3, 87- 105.Krein, D and Fernandez J., (2012). Volatility Risk Control. Journal of Index Investing, 3(2), 62-75. http://www.iijournals.com/toc/jii/3/2.Lemmon, M., Portniaguina, E., (2006), Consumer Confidence and Asset Prices: Some Empirical Evidence, The Review of Financial Studies, 19(4), 1499-1529.Lin, Y.N., (2013). VIX Option Pricing And CBOE VIX Term Structure: A New Methodology for Volatility Derivatives Valuation, Journal of Banking & Finance. 37: 4432–4446. Liu, S., (2015). Investor Sentiment and Stock Market Liquidity,Journal of Behavioral Finance, 16(1), 51-67.Liu, B., and Srikant, D., (2012). Volatility ETFs and ETNs. The Journal of Trading, 7(1), 43-48. http://dx.doi.org/10.3905/jot.2012.7.1.043Mermer, İ. (2014). Tüketici Güven Endeksi Ve Hisse Senedi Getirileri İlişkisi: BIST Üzerine Bir Uygulama. Ankara Üniversitesi, Sosyal Bilimler Enstitüsü, İşletme Anabilim Dalı, Yayınlanmamış Yüksek Lisans Tezi. Moran, M.T., & S. Dash., (2007). VIX Futures and Options: Pricing and Using Volatility Products to Manage Downside Risk and Improve Efficiency in Equity Portfolios. The Journal of Trading, (29), 96-105. http://dx.doi.org/10.3905/jot.2007.688954/Mukherjee, K. N. ve Kumar, M. R. (2010), “Stock Market Integration and Volatility Spillover: India and Its Major Asian Counterparts” Research in International Business and Finance, 24, 235–251.Ottoo, M. W., (1999). Consumer Sentiment and Stock Market. Finance and EconomicsDicussion Series from Board of Governors of Federal Reserve System.https://www.federalreserve.gov/pubs/feds/1999/199960/199960pap.pdf (25.10.2017).Özdemir, Z. A., Olgun, H. ve Saraçoglu, B. (2009), “Dynamic Linkages between The Center and Periphery in International Stock Markets” Research in International Business and Finance, 23, 46– 53.Phillips, P.C.B., and Ouliaris, S., (1990). Asymptotic Properties of Residual Based Tests for Cointegration, Econometrica, 58, 165-193.Sarwar, G., (2012). Is VIX an investor fear gauge in BRIC equitymarkets?, Journal of Multinational Financial Management, 22: 55– 65.Singal, M., (2012), “Effect of Consumer Sentiment on Hospitality Expenditures and Stock Returns”, International Journal of Hospitality Management, 31, 511-521.Tarı, R. (2012). Ekonometri. Umuttepe Yayınları, Kocaeli. Topuz, Y. V. (2011). Tüketici Güveni ve Hisse Senedi Fiyatları Arasındaki Nedensellik İlişkisi: Türkiye Örneği. Ekonomik ve Sosyal Araştırmalar Dergisi, 7(1), 53-65.Tsai, I. C., (2014). Spillover of fear: Evidence from the stock markets of five developed countries. International Review of Financial Analysis, 33, 281-288/Varlık, B., (2017). Borsa İstanbul’da (BİST) Hisse Senedi Fiyatlarının Spektral Analizi. Adnan Menderes Üniversitesi, Sosyal Bilimler Enstitüsü, İşletme Anabilim Dalı, Yayınlanmamış Doktora Tezi.
Toplam 1 adet kaynakça vardır.
Ayrıntılar
| Birincil Dil | Türkçe |
|---|---|
| Bölüm | Makaleler |
| Yazarlar | |
| Yayımlanma Tarihi | 30 Kasım 2018 |
| Gönderilme Tarihi | 13 Ağustos 2018 |
| Yayımlandığı Sayı | Yıl 2018Cilt: 19 Sayı: 2 |
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