Effect of investment sentiment to the Turkey capital market

It is seen that many developed finance theories that accept the investor as rational and effective in the market are insufficient in expressing the anomalies and fluctuations in financial markets. Financial models based on rationality try to explain financial markets regardless of investor sentiment. However, investors have cognitive limits that influence markets through financial decisions. The assumption of behavioral finance reduces the assumption of rationality and effective norm in the accepted standard models for financial markets and assumes that investors have systematically deviated from rationality in decision-making process and that investor sentiment exists. Since investor sensitivity cannot be directly observed, it is difficult to measure. The aim of this study was to investigate the effects of investor sentiment in Turkey's capital markets. Different variables are used in the literature to measure investor sentiment. In the study, consumer confidence index that represents the investor sentiment and VIX and MOVE indices which measure volatility in the markets are used. In the market conditions where financial investments are globalized, consumer confidence index is used as the local variable to measure investor sentiment and VIX and MOVE index are taken as variable as global variables. In the capital markets, the monthly BIST100 data representing the stock markets and the 2-year benchmark bond data (DIBS) representing the bond market are searched for the period 2004-2018. Investor sentiment is measured by Lee Strazicich Unit Root Test, Maki Cointegration Test and FMOLS methods.