SavedAdd your journal

Journals / Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi / 2026 / Cilt: 17 Sayı: 33

INVESTOR SENTIMENT AND STOCK VOLATILITY: NEW EVIDENCE FROM BORSA ISTANBUL BENCHMARK AND SECTORAL INDICES

YATIRIMCI DUYARLILIĞI VE PAY SENEDİ VOLATİLİTESİ: BORSA İSTANBUL GÖSTERGE VE SEKTÖR ENDEKSLERİNDEN YENİ BULGULAR

Mehmetcan Suyadal(BEYKENT ÜNİVERSİTESİ)0000-0002-8235-7462
Güven Sevil(ANADOLU ÜNİVERSİTESİ)0000-0001-7592-3799
Pages
129–157
Publication Date
2026-06-28
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Moreover, we classify sectors as high- or low-performing, based on how investor sentiment affects their conditional volatility to support investment decisions.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This paper analyzes the effect of investor sentiment on stock returns and volatility in BIST benchmark and sectoral indices, using daily data from 2010 to 2023.
📊
Key Findings & Data:Our findings show that investor sentiment has a significant negative effect on returns and a positive effect on the conditional volatility of Borsa Istanbul's benchmark and sectoral indices.
💡
Conclusion & Impact:Moreover, we classify sectors as high- or low-performing, based on how investor sentiment affects their conditional volatility to support investment decisions.
🔬Design:Araştırma Makalesi
📍Scope:2010 Verileri
⚙️Variables:Yatırımcı duyarlılığı · koşullu volatilite · portföy performansı

Abstract

This paper analyzes the effect of investor sentiment on stock returns and volatility in BIST benchmark and sectoral indices, using daily data from 2010 to 2023. Following the Baker and Wurgler methodology, we develop an Investor Sentiment Index and examine its effects on the returns and volatility of stock indices. Our findings show that investor sentiment has a significant negative effect on returns and a positive effect on the conditional volatility of Borsa Istanbul's benchmark and sectoral indices. Sub-sample analysis also emphasize that sentiment-driven investment decisions have declined in the post Covid-19 period, suggesting a shift toward more rational and information-based decision-making in the aftermath of the crisis. Finally, we assess the investment performance of BIST Sectoral Indices using portfolio performance metrics, considering the role of investor sentiment. Moreover, we classify sectors as high- or low-performing, based on how investor sentiment affects their conditional volatility to support investment decisions.

Özet

Bu çalışma, 2010-2023 dönemine ait günlük veriler kullanarak yatırımcı duyarlılığının Borsa İstanbul gösterge ve sektör endekslerinin getiri ve volatilitesi üzerindeki etkisini incelemektedir. Bu kapsamda Baker ve Wurgler (2006) metodolojisi takip edilerek bir Yatırımcı Duyarlılığı Endeksi oluşturulmuş ve bu endeksin pay senedi endekslerinin getirileri ve koşullu volatilitesi üzerindeki etkileri analiz edilmiştir. Elde edilen bulgular, yatırımcı duyarlılığının Borsa İstanbul gösterge ve sektör endekslerinin getirileri üzerinde anlamlı ve negatif, volatiliteleri üzerinde ise anlamlı ve pozitif etkisi olduğunu ortaya koymaktadır. Alt örneklemler ile gerçekleştirilen analizler ise Covid-19 sonrası dönemde duyarlılığa dayalı yatırım kararlarının azaldığını ve kriz sonrası dönemde daha rasyonel ve bilgi temelli karar alma eğilimine geçildiğini göstermektedir. Son olarak, yatırımcı duyarlılığının rolü dikkate alınarak portföy performans ölçütleri ile BİST Sektör Endekslerinin yatırım performansı değerlendirilmiştir. Dahası, yatırımcı duyarlılığının koşullu volatilite üzerindeki etkisine göre yüksek ve düşük performanslı sektörler sınıflandırılmış ve yatırım kararlarını desteklemeye yönelik öneriler sunulmuştur.

🔖

Cite This Article

Suyadal, M., Sevil, G. (2026). INVESTOR SENTIMENT AND STOCK VOLATILITY: NEW EVIDENCE FROM BORSA ISTANBUL BENCHMARK AND SECTORAL INDICES. Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt: 17 Sayı: 33, 129–157. https://doi.org/10.36543/kauiibfd.2026.007

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (48)

  1. Altuntaş, D., & Ersoy, E. (2021). Yatırımcı duyarlılığının BIST pay piyasasına etkisi. Sosyoekonomi, 29(50), 387-412. https://doi.org/10.17233/sosyoekonomi.2021.04.18
  2. Apergis, N., & Rehman, M. U. (2018). Is CAPM a behavioral model? Estimating sentiments from rationalism. Journal of Behavioral Finance, 19(4), 442-449. https://doi.org/10.1080/15427560.2018.1431885
  3. Aydogan, B. (2017). Sentiment dynamics and volatility of international stock markets. Eurasian Business Review, 7, 407-419. https://doi.org/10.1007/s40821-016-0063-3
  4. Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The Journal of Finance, 61(4), 1645-1680. https://doi.org/10.1111/j.1540-6261.2006.00885.x
  5. Baker, M., & Wurgler, J. (2007). Investor sentiment in the stock market. Journal of Economic Perspectives, 21(2), 129-152. https://doi.org/10.1257/jep.21.2.129
  6. Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49(3), 307-343. https://doi.org/10.1016/S0304-405X(98)00027-0
  7. Barkham, R., & Ward, C. (1999). Investor sentiment and noise traders: Discount to net asset value in listed property companies in the UK. Journal of Real Estate Research, 18(2), 291-312. https://doi.org/10.1080/10835547.1999.12090996
  8. Black, F. (1986). Noise. The Journal of Finance, 41(3), 528-543. https://doi.org/10.1111/j.1540-6261.1986.tb04513.x
  9. Brown, G. W. (1999). Volatility, sentiment, and noise traders. Financial Analysts Journal, 55(2), 82-90. https://doi.org/10.2469/faj.v55.n2.2263
  10. Changsheng, H., & Yongfeng, W. (2012). Investor sentiment and assets valuation. Systems Engineering Procedia, 3, 166-171. https://doi.org/10.1016/j.sepro.2011.11.023
  11. De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). Noise trader risk in financial markets. Journal of Political Economy, 98(4), 703-738. https://doi.org/10.1086/261703
  12. Dhaoui, A., & Bensalah, N. (2017). Asset valuation impact of investor sentiment: A revised Fama–French five-factor model. Journal of Asset Management, 18(1), 16-28. https://doi.org/10.1057/s41260-016-0027-2
  13. Doukas, J. A., & Han, X. (2021). Sentiment‐scaled CAPM and market mispricing. European Financial Management, 27(2), 208-243. https://doi.org/10.1111/eufm.12306
  14. Ersungur, Ş. M., Kızıltan, A., & Polat, Ö. (2007). Türkiye’de bölgelerin sosyo-ekonomik gelişmişlik sıralaması: Temel bileşenler analizi. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 21(2), 55-66. https://search.trdizin.gov.tr/tr/yayin/detay/66763
  15. Fama, E. F. (1970). Efficient capital markets. Journal of Finance, 25(2), 383-417. https://doi.org/10.2307/2325486 Field, A. (2013). Discovering Statistics Using IBM SPSS Statistics (4th ed.). Sage Publications.
  16. Güler, D. (2023). The Impact of investor sentiment on bitcoin returns and conditional volatilities during the era of Covid-19. Journal of Behavioral Finance, 24(3), 276-289. https://doi.org/10.1080/15427560.2021.1975285
  17. Hair Jr, J. F., LDS Gabriel, M., Silva, D. D., & Braga, S. (2019). Development and validation of attitudes measurement scales: fundamental and practical aspects. RAUSP Management Journal, 54(4), 490-507. https://doi.org/10.1108/RAUSP-05-2019-0098
  18. Jensen, M. C. (1968). The performance of mutual funds in the period 1945-1964. The Journal of Finance, 23(2), 389-416. https://doi.org/10.1111/j.1540-6261.1968.tb00815.x
  19. Ji, Z., Chang, V., Lan, H., Robert Hsu, C. H., & Valverde, R. (2020). Empirical research on the Fama-French Three-Factor Model and a sentiment-related Four-Factor Model in the Chinese Blockchain Industry. Sustainability, 12(12), 5170. https://doi.org/10.3390/su12125170
  20. Jolliffe, I. T. (2002). Principal Component Analysis for Special Types of Data. In Jolliffe, I. T. (Eds.), Principal Component Analysis (2nd ed., pp. 338-372). Springer, New York. https://doi.org/10.1007/0-387-22440-8_13
  21. Jolliffe, I. T., & Cadima, J. (2016). Principal component analysis: a review and recent developments. Philosophical transactions of the royal society A: Mathematical, Physical and Engineering Sciences, 374(2065), 20150202. https://doi.org/10.1098/rsta.2015.0202
  22. Kahneman, D., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 263–291. https://doi.org/10.2307/1914185
  23. Kaiser, H. F. (1974). An index of factorial simplicity. Psychometrika, 39(1), 31-36. https://doi.org/10.1007/BF02291575
  24. Kale, S., & Akkaya, M. (2016). The relation between confidence climate and stock returns: The case of Turkey. Procedia Economics and Finance, 38, 150-162. https://doi.org/10.1016/S2212-5671(16)30186-1
  25. Kandır, S. Y. (2006). Türkiye’de yatırımcı duyarlılığının hisse senedi getirileri üzerindeki etkisi (Publication No: 205496) [Doctoral Dissertation, Çukurova Üniversitesi] Council of Higher Education National Thesis Center. https://tez.yok.gov.tr/UlusalTezMerkezi/
  26. Korkmaz, T., & Çevik, E. (2009). Reel Kesim Güven Endeksi ile İMKB 100 Endeksi arasındaki dinamik nedensellik ilişkisi. İstanbul Üniversitesi İşletme Fakültesi Dergisi, 38(1), 24-37. https://search.trdizin.gov.tr/tr/yayin/detay/98548
  27. Lee, C. M., Shleifer, A., & Thaler, R. H. (1991). Investor sentiment and the closed‐end fund puzzle. The Journal of Finance, 46(1), 75-109. https://doi.org/10.1111/j.1540-6261.1991.tb03746.x
  28. Lee, W. Y., Jiang, C. X., & Indro, D. C. (2002). Stock market volatility, excess returns, and the role of investor sentiment. Journal of Banking & Finance, 26(12), 2277-2299. https://doi.org/10.1016/S0378-4266(01)00202-3
  29. Muguto, H. T., Muguto, L., Bhayat, A., Ncalane, H., Jack, K. J., Abdullah, S.,. & Muzindutsi, P. F. (2022). The impact of investor sentiment on sectoral returns and volatility: Evidence from the Johannesburg stock exchange. Cogent Economics & Finance, 10(1), 2158007. https://doi.org/10.1080/23322039.2022.2158007
  30. Muntifering, M. (2021). Air pollution, investor sentiment and excessive returns. Journal of Asset Management, 22(2), 110-119. https://doi.org/10.1057/s41260-021-00206-4
  31. Neal, R., & Wheatley, S. M. (1998). Do measures of investor sentiment predict returns? Journal of Financial and Quantitative Analysis, 33(4), 523-547. https://doi.org/10.2307/2331130
  32. Olgaç, S., & Temizel, F. (2008). Yatırımcı Duyarlılığı Hisse Senedi Getirileri İlişkisi: Türkiye Örneği. TISK Akademi, 3(6), 224-229. https://search.trdizin.gov.tr/tr/yayin/detay/89034
  33. Qiu, L., & Welch, I. (2006). Investor sentiment measures. National Bureau of Economic Research. (No. 10794). https://doi.org/10.3386/w10794
  34. Reis, P. M. N., & Pinho, C. (2020). A new European investor sentiment index (EURsent) and its return and volatility predictability. Journal of Behavioral and Experimental Finance, 27, 100373. https://doi.org/10.1016/j.jbef.2020.100373
  35. Rupande, L., Muguto, H. T., & Muzindutsi, P. F. (2019). Investor sentiment and stock return volatility: Evidence from the Johannesburg Stock Exchange. Cogent Economics & Finance. 7(1), 1600233. https://doi.org/10.1080/23322039.2019.1600233
  36. Sayim, M., Morris, P. D., & Rahman, H. (2013). The effect of US individual investor sentiment on industry‐specific stock returns and volatility. Review of Behavioural Finance, 5(1), 58-76. https://doi.org/10.1108/RBF-01-2013-0006
  37. Schmeling, M. (2009). Investor sentiment and stock returns: Some international evidence. Journal of Empirical Finance, 16(3), 394-408. https://doi.org/10.1016/j.jempfin.2009.01.002
  38. Sharpe, W. F. (1966). Mutual fund performance. The Journal of Business, 39(1), 119-138. http://dx.doi.org/10.1086/294846
  39. Shefrin, H. (2008). A behavioral approach to asset pricing (2nd edition). Elsevier Academic Press. https://doi.org/10.1016/B978-0-12-374356-5.X5001-3
  40. Sortino, F. A., & Price, L. N. (1994). Performance measurement in a downside risk framework. The Journal of Investing, 3(3), 59-64. https://doi.org/10.3905/joi.3.3.59
  41. Topuz, Y. V. (2010). Tüketici güveni ve hisse senedi fiyatları arasındaki nedensellik ilişkisi: Türkiye örneği. Ekonomik ve Sosyal Araştırmalar Dergisi. 7(1), 53-65. https://izlik.org/JA43DH56PU
  42. Treynor, J.L. (1965). How to rate management of investment funds. Harvard Business Review, 43, 63-75. https://doi.org/10.1002/9781119196679.ch10
  43. Tseng, T. C., Lai, H. C., & Chen, J. K. (2022). Impacts of relatively rational and irrational investor sentiment on realized volatility. Asian Economic Journal, 36(4), 458-478. https://doi.org/10.1111/asej.12284
  44. Uygur, U., & Taş, O. (2014). The impacts of investor sentiment on different economic sectors: Evidence from Istanbul Stock Exchange. Borsa Istanbul Review, 14(4), 236-241. https://doi.org/10.1016/j.bir.2014.08.001
  45. Xie, D., Cui, Y., & Liu, Y. (2023). How does investor sentiment impact stock volatility? New evidence from Shanghai A-shares market. China Finance Review International, 13(1), 102-120. https://doi.org/10.1108/CFRI-01- 2021-0007
  46. Yang, Y., & Hasuike, T. (2017, 9-13 July). Construction of investor sentiment index in the Chinese stock market [Conference presentation]. 6th IIAI International Congress on Advanced Applied Informatics (IIAI-AAI), Hamamatsu, Japan. https://doi.org/10.1109/IIAI-AAI.2017.93
  47. Yu, S. (2021). The impact of investor sentiment for the US stock market based on Fama-French 3-factor model. [Conference presentation] E3S Web of Conferences 275, p. 01055. https://doi.org/10.1051/e3sconf/202127501055
  48. Muguto, H. T., Muguto, L., Bhayat, A., Ncalane, H., Jack, K. J., Abdullah, S.,. & Muzindutsi, P. F. (2022). The impact of investor sentiment on sectoral returns and volatility: Evidence from the Johannesburg stock exchange. Cogent Economics & Finance, 10(1), 2158007. https://doi.org/10.1080/23322039.2022.2158007