EFFECT OF INVESTOR ATTENTION ON RETURNS: AN APPLICATION ON BIST SECTOR INDICES

Fahrettin Söker; Yaşar Alptürk

Makale detayları

EFFECT OF INVESTOR ATTENTION ON RETURNS: AN APPLICATION ON BIST SECTOR INDICES

Yazarlar:

Fahrettin Söker | Yaşar Alptürk

Yayıncı:

Karamanoglu Mehmetbey University

Ana Başlıklar:

Finansal Ekonomi

Dergi:

Karamanoğlu Mehmetbey Üniversitesi Sosyal Ve Ekonomik Araştırmalar Dergisi Vol.26 Issue 47, pp.855-869

Belge Tipi:

Makale

Yayın Tarihi:

12/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001333980

pISSN:

2147-7833

Anahtar kelimeler:

Özet:

 The aim of this study is to examine the impact of investor attention on returns by taking into account sector and firm size. In this context, panel data analysis was conducted using weekly data of firms traded on Borsa Istanbul BIST Industrial, Financial and Services indices for the period 2019-2023. In the analysis, investor attention is represented by Google search volume index, and abnormal returns are used to represent returns. The analysis results show that investor attention has significant and positive effect on returns in all sectors, but when lagged values are taken into account, it is determined that this positive effect was replaced by negative effect after one-week lag. It is also determined that these results have similar effects, but are more pronounced in the service sector and small-sized firms. The results reveal the important role of investor attention in explaining returns in terms of sectors and firm size in Turkey and show that this role is more effective in the service sector and small-sized firms.

 The aim of this study is to examine the impact of investor attention on returns by taking into account sector and firm size. In this context, panel data analysis was conducted using weekly data of firms traded on Borsa Istanbul BIST Industrial, Financial and Services indices for the period 2019-2023. In the analysis, investor attention is represented by Google search volume index, and abnormal returns are used to represent returns. The analysis results show that investor attention has significant and positive effect on returns in all sectors, but when lagged values are taken into account, it is determined that this positive effect was replaced by negative effect after one-week lag. It is also determined that these results have similar effects, but are more pronounced in the service sector and small-sized firms. The results reveal the important role of investor attention in explaining returns in terms of sectors and firm size in Turkey and show that this role is more effective in the service sector and small-sized firms.

 The aim of this study is to examine the impact of investor attention on returns by taking into account sector and firm size. In this context, panel data analysis was conducted using weekly data of firms traded on Borsa Istanbul BIST Industrial, Financial and Services indices for the period 2019-2023. In the analysis, investor attention is represented by Google search volume index, and abnormal returns are used to represent returns. The analysis results show that investor attention has significant and positive effect on returns in all sectors, but when lagged values are taken into account, it is determined that this positive effect was replaced by negative effect after one-week lag. It is also determined that these results have similar effects, but are more pronounced in the service sector and small-sized firms. The results reveal the important role of investor attention in explaining returns in terms of sectors and firm size in Turkey and show that this role is more effective in the service sector and small-sized firms.

 Bu çalışmanın amacı sektör ve firma büyüklüğünü dikkate alarak yatırımcı ilgisinin getiriler üzerindeki etkisini incelemektir. Çalışmanın amacı kapsamında, Borsa İstanbul BIST Sınai, Mali ve Hizmet endekslerinde işlem gören firmaların 2019-2023 dönemi haftalık verileri kullanılarak panel veri analizi yapılmıştır. Analizde yatırımcıların pay senetlerine olan ilgisi Google arama hacmi endeksi ile temsil edilmiş, getirileri temsilen ise anormal getiriler kullanılmıştır. Analiz sonuçlarında tüm sektörlerde yatırımcı ilgisinin getiriler üzerinde anlamlı ve pozitif etkisi olduğu tespit edilmiş, ancak gecikmeli değerler dikkate alındığında, bu pozitif etkinin bir haftalık gecikmede yerini negatif etkiye bıraktığı belirlenmiştir. Ayrıca bu sonuçların birbirine yakın etkilere sahip olmakla birlikte hizmet sektöründe ve küçük ölçekli firmalarda daha belirgin olduğu tespit edilmiştir. Analiz sonuçları getirileri açıklamada yatırımcı ilgisinin önemli rolünü Türkiyede sektörler ve firma büyüklüğü açısından ortaya koymakta ve bu rolün küçük ölçekli firmalarla birlikte hizmet sektöründe daha etkili olduğunu göstermektedir.

Makale detayları

EFFECT OF INVESTOR ATTENTION ON RETURNS: AN APPLICATION ON BIST SECTOR INDICES

Yazarlar:

Fahrettin Söker | Yaşar Alptürk

Yayıncı:

Karamanoglu Mehmetbey University

Ana Başlıklar:

Finansal Ekonomi

Dergi:

Karamanoğlu Mehmetbey Üniversitesi Sosyal Ve Ekonomik Araştırmalar Dergisi Vol.26 Issue 47, pp.855-869

Belge Tipi:

Makale

Yayın Tarihi:

12/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001333980

pISSN:

2147-7833

Investor Attention

Google Search Volume Index

Abnormal Returns

BISTYatırımcı İlgisi

Google Arama Hacmi Endeksi

Anormal Getiriler

BIST

Sayı

Makale detayları

Yazarlar: Fahrettin Söker | Yaşar Alptürk

Yayıncı: Karamanoglu Mehmetbey University

Ana Başlıklar: Finansal Ekonomi

Dergi: Karamanoğlu Mehmetbey Üniversitesi Sosyal Ve Ekonomik Araştırmalar Dergisi Vol.26 Issue 47, pp.855-869

Belge Tipi: Makale

Yayın Tarihi: 12/2024

Belge Dili: Türkçe

Document ID (Org No.): 2001333980

pISSN: 2147-7833

Sayı

Yazarlar:

Fahrettin Söker | Yaşar Alptürk

Yayıncı:

Karamanoglu Mehmetbey University

Ana Başlıklar:

Finansal Ekonomi

Dergi:

Karamanoğlu Mehmetbey Üniversitesi Sosyal Ve Ekonomik Araştırmalar Dergisi Vol.26 Issue 47, pp.855-869

Belge Tipi:

Makale

Yayın Tarihi:

12/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001333980

pISSN:

2147-7833