The causal linkages between investor sentiment and excess returns on Borsa Istanbul

Çağlı, Efe Çağlar; Ergün, Zeliha Can; Durukan, M. Banu

doi:10.1016/j.bir.2020.02.001

Cited by 13 publications

(9 citation statements)

References 40 publications

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“…The present study's results have demonstrated that the SMI had a significant positive relationship with the performance of the FTSE BURSA 100 Index (T100). This finding was consistent with earlier studies, indicating the importance of investors' sentiment on asset pricing (Bouteska, 2019;Cagli et al, 2020). Furthermore, the PCA result revealed that both COVID-19 confirmed and death cases negatively impacted investors' sentiment.…”

Section: Figure 1 Ftse Bursa Malaysia Klci Indexsupporting

confidence: 92%

“…In other words, investors' sentiment measures investors' reactions to the continuous flow of information from markets, which may cause investors to over-or underreact. The role of investors' sentiment is essential as it correlates with market returns and volatility (Bouteska, 2019;Cagli et al, 2020). Brown and Cliff (2005) and Chung et al (2012) claimed that investors' sentiment was subject to change based on market conditions and the flow of information.…”

Section: Figure 1 Ftse Bursa Malaysia Klci Indexmentioning

confidence: 99%

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The Impact of the Investor Sentiment Index (SMI) on the Malaysian Stock Market during the COVID 19 Pandamic

ALBADA¹,

NIZAR²

2022

IJEM

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COVID-19 is a highly contagious viral infection that has changed the world, with many human lives being lost. This study aimed to analyse investors' sentiment and stock market behaviour in Malaysia during the COVID-19 pandemic. Stock market performance was measured through the FTSE BURSA 100 Index (T100) from January 29, 2020, until March 31, 2021, by employing principal component analysis (PCA) to construct the investors' Sentiment Index (SMI). The results indicated that the sudden outbreak of COVID-19 and its rapid spread significantly impacted investors' psychology, which disrupted investors' investment decisions. Furthermore, rapid increases in confirmed COVID-19 cases and deaths increased the uncertainty and unpredictability of the country's economic situation. As a result, the Malaysian financial market showed a steep downward trend during the COVID-19 pandemic.

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Section: Figure 1 Ftse Bursa Malaysia Klci Indexsupporting

confidence: 92%

Section: Figure 1 Ftse Bursa Malaysia Klci Indexmentioning

confidence: 99%

The Impact of the Investor Sentiment Index (SMI) on the Malaysian Stock Market during the COVID 19 Pandamic

ALBADA¹,

NIZAR²

2022

IJEM

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“…In this situation, the research supports the notion that sentiment has a bidirectional relationship between the sentiment and market returns (Cagli et al 2020). By employing the Granger (1969) causality test and predictive regressions, the paper can analyse whether sentiment variables have an impact on returns or vice versa (Shi et al 2018).…”

Section: Cross-sectional Levelsupporting

confidence: 63%

Investor Sentiment, Portfolio Returns, and Macroeconomic Variables

Banchit

Abidin

Lim

et al. 2020

JRFM

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Investor sentiment is an important aspect of behavioural finance, which provides explanation of anomalies to the asset’s intrinsic values. Sentiments can easily affect individual investors. Historically, Australia is regarded as rich in resources but poor in capital, and this motivates the paper to further study and compare the effects of investor sentiment on performance returns. Aggregate and cross-sectional effects, as well as predictive regression analysis to forecast the relationships, while controlling for the macroeconomic variables, are used by employing Consumer Confidence Index (CCI) and trade volume as sentiment proxies. Contrary to some studies with aggregate stock markets, it is discovered that in the short term, investor sentiment poses a positive impact with strong predictive power on the forecast of portfolio returns but not so much in the long run, which supports the classical theories of rational investors. In both Australian and New Zealand markets, the sentiment proxies also cannot predict the returns portfolios with dividends in the long/short portfolio and book-to-market ratio long/short portfolio.

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“…Indeed, during the COVID-19 pandemic, we observe a sense of fear from both investors and individuals alike (Samuel et al, 2020). Since the onset of COVID-19, investor sentiment has been dented, and it is well known that investor sentiment plays an important role in asset pricing (Bouteska, 2019;Cagli et al, 2020;Smales, 2014). Sharma (2020) shows how Asian market volatility has been dynamic and sensitive to the pandemic.…”

Section: Introduction I Introductionmentioning

confidence: 92%

Investor Sentiment and Volatility Prediction of Currencies and Commodities During the COVID-19 Pandemic

Hoang

Syed

2021

Asian Economics Letters

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In this note, we examine whether the volatility predictive power of investor sentiment for currencies and commodities is sensitive to the COVID-19 pandemic. The Credit Suisse Fear Barometer (CSFB) and the VIX are used to measure investor sentiment. The volatility of seven major currencies, gold, and oil is investigated. Using daily data from 2005 to 2020, we show that VIX is a better predictor than CSFB. However, they have no predictive power during the COVID-19 pandemic period. This may be attributed to the different nature of fear sentiment during the crisis.

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The causal linkages between investor sentiment and excess returns on Borsa Istanbul

Cited by 13 publications

References 40 publications

The Impact of the Investor Sentiment Index (SMI) on the Malaysian Stock Market during the COVID 19 Pandamic

The Impact of the Investor Sentiment Index (SMI) on the Malaysian Stock Market during the COVID 19 Pandamic

Investor Sentiment, Portfolio Returns, and Macroeconomic Variables

Investor Sentiment and Volatility Prediction of Currencies and Commodities During the COVID-19 Pandemic

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