Yatırımcı duyarlılığının Borsa İstanbul (BIST) üzerindeki etkisi

Investor sentiment is defined basically as the general feelings of optimism and pessimism levels of investors about the market. The main aim of this study is to analyze the impact of investor sentiment on Borsa Istanbul as a developing market during the crisis periods beginning from 1997 to 2017. Before investigating the probable effects of investor sentiment on stock returns, a new composite sentiment index for Borsa Istanbul was constructed by using principal component analysis (PCA). Further, three crises were detected based on the CMAX crisis indicator (1997 Asian and 1998 Russian financial crises, 2001 Turkish financial crisis, and 2008 global financial crisis), and they were separated as local and international based on their origin to analyze if the pattern of investor sentiment differs between locally and internationally originating crises. The regression analysis was conducted to investigate the effect of investor sentiment on the future stock market returns during the determined crisis periods. The regression equations were tested for the whole period and the crisis periods separately. Moreover, the macroeconomic factors and structural breaks were included into the analysis as control variables. The results showed that investor sentiment is statistically significant and negatively related with the future BIST 100 index returns in the whole, no crisis and local crisis periods. For that reason, the presence of investor sentiment should be considered while taking important investment decisions during these risky periods. Moreover, policy makers and domestic and foreign investors shall consider investor sentiment as an additional source of systematic risk.