Journal of Yaşar University

Journal of Yaşar University

The Causality Between Consumer Confidence Index and Stock Returns: Evidence from Recursive Evolving Granger Causality Test

Yazarlar: Efe Çağlar ÇAĞLI

Cilt 14 , Sayı - , 2019 , Sayfalar 164 - 172

Konular:Sosyal

Anahtar Kelimeler:Investor Sentiment,Turkey,Granger Causality,Recursive Evolving Algorithm

Özet: This paper aims to investigate the causal relationship between investor sentiment and stock returns on Borsa Istanbul (BIST).  We analyze the changes in Consumer Confidence Index as a proxy for investor sentiment and changes in the BIST-100 return index, employing both the conventional and time-varying recursive evolving Granger causality tests. The monthly data covering January-2004 – September-2018 are analyzed. Contrary to the findings of the conventional Granger causality tests, the recursive evolving Granger causality tests indicate bi-directional causality relationship between the time-series. We detect Granger causality running from BIST-100 to Consumer Confidence Index, starting in December-2015 and continuing until the end of sample period. Moreover, the recursive algorithm detects Granger causality running from Consumer Confidence Index to BIST-100 occurred in February-2018, lasting for two months. The investors, portfolio managers, and policy makers in Borsa Istanbul should consider investor sentiment as an additional source of systematic risk.

ATIFLAR
Atıf Yapan Eserler
Henüz Atıf Yapılmamıştır
KAYNAK GÖSTER
BibTex
KOPYALA
@article{2019, title={The Causality Between Consumer Confidence Index and Stock Returns: Evidence from Recursive Evolving Granger Causality Test}, volume={14}, publisher={Journal of Yaşar University}, author={Efe Çağlar ÇAĞLI}, year={2019}, pages={164–172} }
APA
KOPYALA
Efe Çağlar ÇAĞLI. (2019). The Causality Between Consumer Confidence Index and Stock Returns: Evidence from Recursive Evolving Granger Causality Test (Vol. 14, pp. 164–172). Vol. 14, pp. 164–172. Journal of Yaşar University.
MLA
KOPYALA
Efe Çağlar ÇAĞLI. The Causality Between Consumer Confidence Index and Stock Returns: Evidence from Recursive Evolving Granger Causality Test. Journal of Yaşar University, 2019, pp. 164–72.
Atıf Görüntüle
PDF Görüntüle
Kaynak Görüntüle
Paylaş
Dergi Bilgileri