Yatırımcı Duyarlılığı Endeksi İle BİST 100 Endeksi Arasındaki İlişkinin Araştırılması
Investigation of the Relationship between the Investor Sentiment Index and BIST 100 Index

Summary/Abstract: Behavioral finance theory investigates the emotional and psychological roots of stock market movements and investor demand that cannot be explained by rational factors. The irrational and noisy effects of investors on share prices are tried to be measured through the concept of investor sentiment. The aim of the study is to examine the causality in variance relationship between the BIST 100 index and constructed investor sentiment index for the period 2008-2019. Investor sentiment index obtained by the principal component analysis method from nine investor sentiment proxy. It has been determined that there is a volatility spillover effect from the volatility of the investor sentiment index to the return volatility of the BIST 100 index. On the other hand, there is no evidence that there is a volatility spillover effect from BIST 100 stock return volatility to sensitivity index volatility.

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