The Relationship between Aggregate Investment, Investor Sentiment and Stock Returns in Turkey
Journal Title: International Journal of Academic Research in Business and Social Sciences - Year 2018, Vol 8, Issue 10
Abstract
By using the financial statement information of the companies listed in BIST (Istanbul Stock Exchange) Industrials Index, I explore the relationship between firm-level investment, investor sentiment and the stock returns for the period of 2004-2014. I use three sentiment measures. First one is the composite investor sentiment index achieved by using the pricipal component analysis with seven sentiment measures. These investor sentiment proxies are the weighted discount index based on closed-end funds, the changes in the value-weighted discount index, the share of repo holdings in the portfolios of mutual funds, the share of equity issues in aggregate issues, the monthly turnover ratio of BIST, odd-lot sales-to-purchases, net stock purchases of foreign investors-to-BIST market value. Second sentiment measure is the net inflow of investor capital into listed stocks. Third measure is the TUIK (Turkish Statistical Institute) Consumer Confidence Index. The measure of firm-level investment is based on the change in net operating assets. The results of the fixed effect panel data analysis can be summarised as follows: (i) There is a positive and significant relation between investment and the stock returns. Investment is a better predictor of stock returns than the lagged value of investment. (ii) There is a significant and positive relation between investment and the sentiment index and also between TUIK Consumer and Confidence Index. There is not a significant relation between investment and the net inflow of investor capital into BIST Industrial Index stocks. The results indicate that investment increases during the periods in which investors are more optimistic.
Authors and Affiliations
Tulin ANLAS
Keywords
Related Articles
- EP ID EP573205
- DOI 10.6007/IJARBSS/v8-i10/4774
- Views 49
- Downloads 0
Strategies for Accessing Credit by Small and Medium Enterprises
Small and medium enterprise business owners play an important role in the Kenyan economy as they account for approximately 78 percent of total employment and 57 percent of the new jobs created. Despite their significant...
The Effect of Rational Emotive Behavior Therapy Approach Module in the Conflict Management Of Guidance and Counseling Teachers in Secondary School
This study seeks to measure the effect of the Rational Emotive Behavior Therapy Approach Module in Conflict Management of Guidance and Counseling Teachers of Secondary School. This module was developed based on the libra...
Ethics of Islamic Teachers Education and the Challenges of the Current Era
Islamic teachers education play a prominent role in achieving the goals in education which is to produce knowledgeable, pious and of good values individuals. In this matter, teachers’ ethics are crucial factors which can...
Factors of Disapproving of Early Marriage in Malaysia
Early marriage is defined as the marriage between two people in which one or both parties are younger than 18 years of age. Early marriages are also an option for parents as they can protect their daughter's dignity. In...
Stakeholder Participation in the Project Cycle and Performance of End Child Marriage Project in Homa Bay County, Kenya
An evaluation carried out by Plan International noted that the sustainability and performance of community development projects is poor. This was greatly attributed to weak participation of stakeholders. The evaluation d...