Investor Sentiment and Stock Returns: Evidence from Turkey

Çanbaş, Serpil; Kandir, Serkan Yılmaz

doi:10.2753/ree1540-496x450403

Cited by 63 publications

(24 citation statements)

References 40 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Hau and Rey [44] agree that foreign exchange fluctuation can reflect investor sentiment changes. However, Canbaş and Kandır [53] argue that the causality between asset price and investor sentiment is unidirectional. Qadan and Yagil [54] observe that changes in investor sentiment drive the gold returns, but not vice versa.…”

Section: Literature Reviewmentioning

confidence: 99%

Can Stock Investor Sentiment Be Contagious in China?

Cai

Ran

2020

Sustainability

View full text Add to dashboard Cite

This paper explores the impact of investor sentiment on financial markets in China by taking the quantile causality test. We find that government bond markets, gold markets, and foreign exchange markets are affected by stock investor sentiment, except for in the corporate bond market. In extreme situations, such as excessively optimistic or pessimistic sentiment, these markets will become more vulnerable to suffering from drastic fluctuations. On the contrary, the market return in government bonds, corporate bonds, and foreign exchange also has an influence on stock investor sentiment. Moreover, these links show various asymmetry due to the heterogeneity of different financial markets. Our results are consistent with the noise trader model, which shows the impact of investor sentiment on market returns. Hence, the authorities can sustain the stabilization of financial markets by reducing information asymmetry, guiding the rational sentiment of investors, and increasing effective regulations.Especially in certain extreme pessimistic situations, sentiment in the stock market can lead to drastic fluctuations in other financial markets [15,16], and the authorities cannot maintain market stability and continuity of development. In turn, the performance of these markets is also a remarkable barometer that leads stock investor sentiment to change [17]. Through information in different market environments, external shocks, not only make asset price fluctuate, but also result in stock investors overreacting, and this affects their investment expectations [18]. This bidirectional transmission is regarded as an important factor for the linkage among major financial markets [19]. Hence, investor sentiment plays an important role in the formation of financial market effectiveness. If investor sentiment cannot be reasonably guided, it will be difficult to suppress irrational trading and speculative bubbles and improve market efficiency.Compared with stock markets in developed countries, individual investors account for a large proportion of Chinese stock investors, which makes the whole market more emotional [20]. With a lack of social responsibility and an awareness of sustaining market efficiency, the individual Chinese investor has an underdeveloped investment education and, thus, they often show irrational investment behavior [21]. Hence, market fluctuation frequently happens, and it is difficult for investor sentiment to be properly guided. Not only do investors make irrational trades in the stock market, but they are also more likely to carry their emotions to other markets [22]. If investor sentiment in the stock market spreads to other markets and causes unexpected fluctuations in China, the pricing and operating efficiency of many financial markets will be damaged. As well as the stock market, the gold, bond, and foreign exchange markets are all financial markets with a large scale in China. If such emotional contagion exists in China, investors who excessively ignore the fundamentals will find it difficult to form th...

show abstract

Section: Literature Reviewmentioning

confidence: 99%

Can Stock Investor Sentiment Be Contagious in China?

Cai

Ran

2020

Sustainability

View full text Add to dashboard Cite

show abstract

“…Volume of trades are used as a proxy for investor sentiment by [Scheinkman and Xiong, 2003], [Baker and Stein, 2004], [Baker and Wurgler, 2007] and [Canba³ and Kandr, 2009]. While it is clear that the volume of trades is a direct measure of market activity, the literature shows that it is also an indicator of market sentiment.…”

Section: Introductionmentioning

confidence: 99%

Sentiment in oil markets

Deeney

Cummins

Dowling

et al. 2015

International Review of Financial Analysis

View full text Add to dashboard Cite

“…3 The real prices of both office and retail property also increased significantly before the AFC. Both of them increase from 100 in 1986 to more than 350 before the AFC.…”

Section: Introductionmentioning

confidence: 99%

“…(2002) on this point. 3 Unfortunately, the government does not provide data on the wealth inequality in Hong Kong. 4 Interestingly, before the GFC in 2008 occurs, the office price in real terms is restored to the level of 1997, before the AFC.…”

Section: Introductionmentioning

confidence: 99%

Comparing Two Financial Crises: The Case of Hong Kong Real Estate Markets

Leung

Tang

2012

Global Housing Markets

View full text Add to dashboard Cite

Hong Kong is no stranger to bubbles or crisis. During the Asian Financial Crisis (AFC), the Hong Kong housing price index drops more than 50% in less than a year. The same market then experiences the Internet Bubble, the SARS attack, and recently the Global Financial Crisis (GFC). This paper attempts to provide some "stylized facts" of the real estate markets and the macroeconomy, and follow the event-study methodology to examine whether the markets behave differently in the AFC and GFC, and discuss the possible linkage to the change in government policies ("learning effect") and the flow of Chinese consumers and investors to Hong Kong ("China factor"). JEL classification Number: E44, E50, E60, G01, R20Keywords: regime switching, structural change, small open economy, bounded rationality, banking policy  The authors are grateful to (alphabetical order) Ashok Bardhan, Nan-Kuang Chen, Bob Edelstein, Cynthia Kroll, Fred Kwan, Francois Ortalo-Magne, Matthew Yiu, and many seminar participants for many inspiring discussions over the years. The financial support from the City University of Hong Kong is gratefully acknowledged. The usual disclaimer applies. 2

show abstract

Investor Sentiment and Stock Returns: Evidence from Turkey

Cited by 63 publications

References 40 publications

Can Stock Investor Sentiment Be Contagious in China?

Can Stock Investor Sentiment Be Contagious in China?

Sentiment in oil markets

Comparing Two Financial Crises: The Case of Hong Kong Real Estate Markets

Contact Info

Product

Resources

About