Cilt 7 Sayı 4 (2019): Business & Management Studies: An International Journal
Makaleler

YATIRIMCI DUYARLILIĞININ PİYASA GETİRİLERİNE OLAN ETKİSİ: ENDEKS VADELİ İŞLEM SÖZLEŞMELERİ ÜZERİNE BİR ARAŞTIRMA

PDF
  • Gözde Türkmen MÜLDÜR,
  • Yıldırım Beyazıt ÖNAL, Prof.Dr
Gözde Türkmen MÜLDÜR
Dr. Öğr. Üyesi, Adana Alparslan Türkeş Bilim ve Teknoloji Üniversitesi
Yıldırım Beyazıt ÖNAL, Prof.Dr
Prof. Dr., Çukurova Üniversitesi

Yayınlanmış 24.09.2019

Anahtar Kelimeler

  • Investor Sentiment, Derivatives Market, Index Futures Contracts, Regression Analysis
  • Yatırımcı Duyarlılığı, Türev Piyasalar, Endeks Vadeli İşlem Sözleşmeleri

Nasıl Atıf Yapılır

YATIRIMCI DUYARLILIĞININ PİYASA GETİRİLERİNE OLAN ETKİSİ: ENDEKS VADELİ İŞLEM SÖZLEŞMELERİ ÜZERİNE BİR ARAŞTIRMA. (2019). Business & Management Studies: An International Journal, 7(4), 1621-1640. https://doi.org/10.15295/bmij.v7i4.1208

Nasıl Atıf Yapılır

YATIRIMCI DUYARLILIĞININ PİYASA GETİRİLERİNE OLAN ETKİSİ: ENDEKS VADELİ İŞLEM SÖZLEŞMELERİ ÜZERİNE BİR ARAŞTIRMA. (2019). Business & Management Studies: An International Journal, 7(4), 1621-1640. https://doi.org/10.15295/bmij.v7i4.1208

Öz

Spot piyasalarda varlık fiyatlamasında belirleyici faktörlerden biri olan yatırımcı duyarlılığının vadeli işlem piyasalarını da etkileme olasılığı oldukça yüksek olduğu düşünülmektedir. Bu bağlamda, Vadeli İşlem Piyasasında işlem gören kontratların getiri, işlem hacmi ve açık pozisyonları arasındaki ilişkilerin incelenmesi ile bilgiye dayalı işlem yapmayan kalabalıkların sistematik olarak piyasayı etkileme gücünün olup olmadığının ortaya konulması; Türkiye gibi finansal piyasaları hızla büyüyen bir ülke için büyük önem arz etmektedir. Bu çalışma ile Nisan 2006 - Nisan 2016 dönemlerinde yatırımcı duyarlılığının, Türkiye’de Endeks Vadeli İşlem Sözleşmelerinin getirilerini etkileyip etkilemediği araştırılmıştır. Vadeli işlem piyasa getirilerini temsilen, BIST 30 Endeks Vadeli İşlem Sözleşmelerinin getirileri incelenmiş ve yapılan regresyon analizi sonucunda, yatırımcı duyarlılığı temsilcilerinin getirileri anlamlı bir şekilde etkilediği görülmüştür. Çalışma, bilindiği kadarıyla, Türkiye’de vadeli işlem piyasalarında yatırımcı duyarlılığının etkisini araştıran ilk çalışma olması nedeniyle önem arz etmektedir.

PDF

Referanslar

  1. Aggarwal, R. (1988). Stock index futures and cash market volatility. Review of Futures Markets, 7(2), 290-299.
  2. Antoniou, A., ve Holmes, P. (1995). Futures trading, information and spot price volatility: evidence for the FTSE-100 stock index futures contract using GARCH. Journal of Banking & Finance, 19(1), 117-129.
  3. Bahloul, W., ve Bouri, A. (2016). Profitability of return and sentiment-based investment strategies in US futures markets. Research in International Business and Finance, 36, 254-270.
  4. Baker, M., ve Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The journal of Finance, 61(4), 1645-1680.
  5. Barro, R. J. (1990). The stock market and investment. Review of Financial Studies, 3(1), 115-131.
  6. Bessembinder, H., ve Seguin, P. J. (1992). Futures‐trading activity and stock price volatility. The Journal of Finance, 47(5), 2015-2034.
  7. BİST, Borsa İstanbul. http://www.borsaistanbul.com/data/kilavuzlar/VIOP-Hakkinda-SSS.pdf. Erişim Tarihi: 12.12.2015.
  8. Breusch, T. S., ve Pagan, A. R. (1979). A simple test for heteroscedasticity and random coefficient variation. Econometrica: Journal of the Econometric Society, 1287-1294.
  9. Brown, G. W., ve Cliff, M. T. (2004). Investor Sentiment And The Near-Term Stock Market. Journal of Empirical Finance. 11(1): 1-27.
  10. Campbell, J.Y., ve Thompson, S.B. (2008). Predicting excess stock returns out of sample: Can anything beat the historical average? Review of Financial Studies, 21, 1509–1531.
  11. Ceylan, O. (2014). Piyasa Rehberi. http://piyasarehberi.org/piyasa/89-vix-volatilite-endeksi-nedir. Erişim Tarihi: 10 Ekim 2016.
  12. Chan, L. H., Nguyen, C. M., ve Chan, K. C. (2015). A new approach to measure speculation in the oil futures market and some policy implications. Energy Policy, 86, 133-141.
  13. Charoenrook, A. (2005). Does sentiment matter. Unpublished working paper. Vanderbilt University.
  14. Chen, C., Lee, H. C., ve Liao, T. H. (2016). Risk-neutral skewness and market returns: The role of institutional investor sentiment in the futures market. The North American Journal of Economics and Finance, 35, 203-225.
  15. Chen, N. F., Cuny, C. J., ve Haugen, R. A. (1995). Stock volatility and the levels of the basis and open interest in futures contracts. The Journal of Finance, 50(1), 281-300.
  16. Chordia, T., Subrahmanyam, A., ve Anshuman, V. R. (2001). Trading activity and expected stock returns. Journal of Financial Economics, 59(1), 3-32.
  17. Corredor, P., Ferrer, E., ve Santamaria, R. (2015). Sentiment-prone investors and volatility dynamics between spot and futures markets. International Review of Economics & Finance, 35, 180-196.
  18. Damodaran, A. (1990). Index futures and stock market volatility. Review of Futures Markets, 9(2), 442-457.
  19. De Long, J. B., Shleifer, A., Summers, L., ve Waldmann, R. (1990). Noise Trader Risk in Financial Markets. Journal of Political Economy. 98:703-738.
  20. Dickey, D. A., ve Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, 49(4), 1057-1072.
  21. Fama, E.F. (1970). Efficient Capital Markets: A Review Of Theory and Empirical Work. Journal of Finance. 25(2): 383-417.
  22. Fama, E. F. (1981). Stock returns, real activity, inflation, and money. The American Economic Review, 71(4), 545-565.
  23. Fischer, S., ve Merton, R. C. (1984). Macroeconomics and finance: The role of the stock market.
  24. Froot K. A., Scharfsteın D. S. ve Steın, J. C. (1993). Risk Management: Coordinating Corporate Investment and Financing Policies. The Journal Of Fınance. 48 (5). 1629-1658.
  25. Frugier, A. (2016). Returns, volatility and investor sentiment: Evidence from European stock markets. Research in International Business and Finance,38, 45-55.
  26. Gao, L., ve Süss, S. (2015). Market sentiment in commodity futures returns.Journal of Empirical Finance, 33, 84-103.
  27. Godfrey, L. G. (1978). Testing for multiplicative heteroskedasticity. Journal of econometrics, 8(2), 227-236.
  28. Gujarati, D. N. (2003). Basic Econometrics. International Edition. New York: McGraw Hill.
  29. Kandir, S. Y., ve İnan, H. (2011). Testing Profitability Of Momentum İnvestment Strategy İn ISE. Journal of BRSA Banking and Financial Markets. 5(2): 51-70.
  30. Karatepe, Y. (2000). Türev Piyasaları Futures, Opsiyon, Swap. Ankara: A.Ü. Siyasal Bilgiler Fakültesi Yayınevi.
  31. Kurov, A. (2008). Investor sentiment, trading behavior and informational efficiency in index futures markets. Financial Review, 43(1), 107-127.
  32. Lautier, D., ve Riva, F. (2008). The determinants of volatility on the American crude oil futures market. OPEC Energy Review, 32(2), 105-122.
  33. Lei, V. U., So, S., ve Zou, M. (2012). Investor Sentiment-Relationship between VIX and Trading Volume. Available at SSRN 2136802.
  34. Lu, R. Y. C., Lee, H. C., ve Chiu, P. (2014). Institutional Investor Sentiment and Market Returns: Evidence from the Taiwan Futures Market. Journal for Economic Forecasting, (4), 140-167.
  35. McMillan, D. G., ve Ülkü, N. (2009). Persistent mispricing in a recently opened emerging index futures market: Arbitrageurs invited. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 29(3), 218-243.
  36. Modigliani, F., ve Miller, M. H. (1958). The cost of capital, corporation finance and the theory of investment. The American Economic Review, 48(3), 261-297.
  37. Morck, R., Shleifer, ve A., Vishny. (1990). The stock market and investment: is the market a sideshow?. Brookings papers on economic Activity, 1990(2), 157-215.
  38. Murphy, J. J. (1999). Technical analysis of the financial markets. USA: New York Institute Of Finance.
  39. Newbery, D. M. (1987). When do futures destabilize spot prices?. International Economic Review, 28(2), 291-297.
  40. Qadan, M., ve Yagil, J. (2012). Fear sentiments and gold price: testing causality in-mean and in-variance. Applied Economics Letters, 19(4), 363-366.
  41. Pereira, J. P., ve Zhang, H. H. (2008). Stock returns and the volatility of liquidity. Journal of Financial and Quantitative Analysis, 45(4), 1077-1110.
  42. Reitz, S., ve Slopek, U. D. (2008). Nonlinear oil price dynamics: A tale of heterogeneous speculators?. Deutsche Bundesbank Discussion Paper Series 1, Economic Studies, no. 10.
  43. Sanders, D. R., Irwin, S. H., ve Leuthold, R. M. (2003). The theory of contrary opinion: a test using sentiment indices in futures markets. Journal of Agribusiness, 21(1), 39-64.
  44. Schmeling, M. (2009). Investor sentiment and stock returns: Some international evidence. Journal of empirical finance, 16(3), 394-408.
  45. Sharpe, W. F., Alexander, G. J., ve Bailey, J. V. (1999). Investments (6th ed.). Upper Saddle River, NJ: Prentice-Hall.
  46. Simon, D. P., ve Wiggins, R. A. (2001). S&P futures returns and contrary sentiment indicators. Journal of Futures Markets, 21(5), 447-462.
  47. Smales, L. A. (2016). Trading behavior in S&P 500 index futures. Review of Financial Economics, 28, 46-55.
  48. Statman, M. (1999). Behaviorial finance: Past battles and future engagements. Financial Analysts Journal. 55(6), 18-27.
  49. Tarı, R. (2010). Ekonometri. Kocaeli: Umuttepe Yayınları.
  50. Tokic, D. (2011). Rational destabilizing speculation, positive feedback trading, and the oil bubble of 2008. Energy Policy, 39(4), 2051-2061.
  51. Verma, R. (2012). Behavioral Finance and Pricing of Derivatives: Implications for Dodd-Frank Act. REVIEW OF FUTURES, 21.
  52. Wang, C. (2001). Investor sentiment and return predictability in agricultural futures markets. Journal of Futures Markets, 21(10), 929-952.
  53. Wang, C. (2003) Investor sentiment, market timing, and futures returns. Applied Financial Economics, 13:12, 891-898
  54. Wang, J.Y. (2011). Individual Investor Sentiment and IPO Returns. http://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2011-Braga/papers/0203.pdf
  55. Wang, Y. M., Li, C. A., ve Lin, C. F. (2009). The impact of investor sentiment on the futures market, evidence from the Taiwan futures exchange.International Research Journal of Finance and Economics, 28, 134-151.
  56. Yang, C., ve Gao, B. (2014). The term structure of sentiment effect in stock index futures market. The North American Journal of Economics and Finance, 30, 171-182.
  57. Zheng, Y. (2015). The linkage between aggregate investor sentiment and metal futures returns: A nonlinear approach. The Quarterly Review of Economics and Finance, 58, 128-142.

Benzer Makaleler

Bu makale için ayrıca gelişmiş bir benzerlik araması başlat yapabilirsiniz.