SavedAdd your journal

Journals / Dumlupınar Üniversitesi Sosyal Bilimler Dergisi / 2014 / Cilt: 0 - Sayı: 42

The relationship between investor sentiment, economic growth and market liquidity: Empirical evidence from Turkey

Yatırımcı duyarlılığı, piyasa likiditesi ve ekonomik büyüme arasındaki ilişki: Türkiye uygulaması

Yasemin Deniz AKARIM
Pages
269–278
Publication Date
2022-10-11
DOI
—
🏛️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)

In conclusion, we confirm that there is a causality relationship running from investor sentiment and economic growth.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In this study, we test the existence of relationship between investor sentiment, economic growth and market liquidity in Turkey by using Vector Autoregression Model (VAR) and Granger Causality Test, for the period 1988-2012.
📊
Key Findings & Data:In conclusion, we confirm that there is a causality relationship running from investor sentiment and economic growth.
💡
Conclusion & Impact:The paper is important for investors and market makers in terms of investors' non-rational attitudes as a determinant of economic growth and market liquidity
🔬Design:Modeling & Simulation
📍Scope:2012 Verileri
⚙️Variables:Domain Parameters

Abstract

In this study, we test the existence of relationship between investor sentiment, economic growth and market liquidity in Turkey by using Vector Autoregression Model (VAR) and Granger Causality Test, for the period 1988-2012. In conclusion, we confirm that there is a causality relationship running from investor sentiment and economic growth. Also investor sentiment and market liquidity relation is confirmed bilaterally. The paper is important for investors and market makers in terms of investors' non-rational attitudes as a determinant of economic growth and market liquidity

Özet

Çalışmada 1988-2012 yılları arasında Türkiyede yatırımcı duyarlılığı, ekonomik büyüme ve piyasa likiditesi arasındaki ilişki VAR ve Granger Nedensellik testi ile analiz edilmiştir. Analiz sonucunda yatırımcı duyarlılığından ekonomik büyümeye doğru bir ilişki tespit edilirken, piyasa likiditesi arasında karşılıklı bir ilişki olduğu görülmüştür. Buna gore yatırımcıların rasyonel olmayan tutumları ekonomik büyüme ve piyasa likiditesinin belirleyicisi olup, bu sonuç yatırımcılar ve piyasa yapıcıları açısından önemlidir.

🔖

Cite This Article

AKARIM, Y. D. (2022). The relationship between investor sentiment, economic growth and market liquidity: Empirical evidence from Turkey. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, Cilt: 0 - Sayı: 42, 269–278. https://ajindex.com/articles/493058

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (13)

  1. BAKER, M., WURGLER, J. (2004). “Investor Sentiment And The Cross-Section of Stock Returns”, Journal of Finance, 61: 1645-1680.
  2. BAKER, M., STEIN, J., (2004). “Market Liquidity as a Sentiment Indicator”, Journal of Financial Markets, 7(3): 271–299. CAMPBELL, J.Y., GROSSMAN, S.J., WANG, J. (1993). “Trading Volume And Serial Correlation in Stock Returns”, Quarterly Journal of Economics, 108(4): 905–939. CANBAŞ, S., KANDIR S.Y, (2009). “Investor Sentiment and Stock Returns: Evidence from Turkey”, Emerging Markets Finance and Trade,45 (4): 36-52. ÇELIK,S. (2013). “Investor Sentıment And Sovereıgn Rısk: Empırıcal Evıdence From An Emergıng Market”, International Journal of Management Sciences and Business Research, 2 (2): 11-18.
  3. DE LONG, B., SHLEIFER, A., SUMMERS, L.H., WALDMANN, R.J. (1990). “Noise Trader Risk in Financial Markets”, Journal of Political Economy, 98: 703-708.
  4. DICKEY, D.A., FULLER W.A. (1981). “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49 (4) July: 1057- 1072. DONWA P., ODIA J.(2010). “An Empirical Analysis of the Impact of the Nigerian Capital Market on Her Socio-economic Development”, Journal of Social Sciences, 24(2): 135-142
  5. DUMICIC, M., RIDZAK,T. (2011). “Determinants of Sovereign Risk Premia For European Emerging Markets”, Financial Theory and Practice, 35 (3): 277-299.
  6. EICHENGREEN, B., MODY, A. (1998). “What Explains Changing Spreads on Emerging Market Debt: Fundamentals or Market Sentiment”, National Bureau of Economic Research.,Working Paper Series, No. 6408: 1-46.
  7. GRANGER, C.W.J., (1988).“Investigating Causal Relation by Econometric Models and Cross Spectral Methods”, Econometrica, 37,: 424-438.
  8. GREENE, W.H. (1993), “Econometric Analysis”, Fifth Edition,
  9. Prentice Hall, New Jersey. GUNER, N.Z.,ONDER,Z., (2009), “Investor Sentiment And Closed End Fund Puzzle in An Emerging Market”, METU Development Studies, 35: 165-195.
  10. HAUBRICH J., SANTOS J., (1999).“Banking And Commerce: A Liquidity Approach”, BIS Working Paper,78: 1-34.
  11. GUJARATI, D.N. (1995), “Basic Econometrics”, McGraw-Hill, Third Ed. New York: LEE, C.M., SHLEIFER, A., THALER, R.H., (1991), “Investor Sentiment And The Closed-End Fund Puzzle”, Journal of Finance, 46 (1): 75-109.
  12. LIU, S. (2008) “Two Essays on Stock Liquidity”https://repositories.lib.utexas.edu/bitstream/handle/2152/17935/lius85056.pdf (01.02.2014)
  13. MORCK, R. SHLEIFER, A., VISHNY R.W., (1990). “The Stock Market and Investment: Is the Market a Sideshow?”, Brookings P