Antoniou, A., ve Holmes, P. (1995). Futures trading, information and spot price volatility: evidence for the FTSE-100 stock index futures contract using GARCH. Journal of Banking & Finance, 19(1), 117-129.
Bahloul, W., ve Bouri, A. (2016). Profitability of return and sentiment-based investment strategies in US futures markets. Research in International Business and Finance, 36, 254-270.
Baker, M., ve Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The journal of Finance, 61(4), 1645-1680.
Barro, R. J. (1990). The stock market and investment. Review of Financial Studies, 3(1), 115-131.
Bessembinder, H., ve Seguin, P. J. (1992). Futures‐trading activity and stock price volatility. The Journal of Finance, 47(5), 2015-2034.
BİST, Borsa İstanbul. http://www.borsaistanbul.com/data/kilavuzlar/VIOP-Hakkinda-SSS.pdf. Erişim Tarihi: 12.12.2015.
Breusch, T. S., ve Pagan, A. R. (1979). A simple test for heteroscedasticity and random coefficient variation. Econometrica: Journal of the Econometric Society, 1287-1294.
Brown, G. W., ve Cliff, M. T. (2004). Investor Sentiment And The Near-Term Stock Market. Journal of Empirical Finance. 11(1): 1-27.
Campbell, J.Y., ve Thompson, S.B. (2008). Predicting excess stock returns out of sample: Can anything beat the historical average? Review of Financial Studies, 21, 1509–1531.
Ceylan, O. (2014). Piyasa Rehberi. http://piyasarehberi.org/piyasa/89-vix-volatilite-endeksi-nedir. Erişim Tarihi: 10 Ekim 2016.
Chan, L. H., Nguyen, C. M., ve Chan, K. C. (2015). A new approach to measure speculation in the oil futures market and some policy implications. Energy Policy, 86, 133-141.
Charoenrook, A. (2005). Does sentiment matter. Unpublished working paper. Vanderbilt University.
Chen, C., Lee, H. C., ve Liao, T. H. (2016). Risk-neutral skewness and market returns: The role of institutional investor sentiment in the futures market. The North American Journal of Economics and Finance, 35, 203-225.
Chen, N. F., Cuny, C. J., ve Haugen, R. A. (1995). Stock volatility and the levels of the basis and open interest in futures contracts. The Journal of Finance, 50(1), 281-300.
Chordia, T., Subrahmanyam, A., ve Anshuman, V. R. (2001). Trading activity and expected stock returns. Journal of Financial Economics, 59(1), 3-32.
Corredor, P., Ferrer, E., ve Santamaria, R. (2015). Sentiment-prone investors and volatility dynamics between spot and futures markets. International Review of Economics & Finance, 35, 180-196.
Damodaran, A. (1990). Index futures and stock market volatility. Review of Futures Markets, 9(2), 442-457.
De Long, J. B., Shleifer, A., Summers, L., ve Waldmann, R. (1990). Noise Trader Risk in Financial Markets. Journal of Political Economy. 98:703-738.
Dickey, D. A., ve Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, 49(4), 1057-1072.
Fama, E.F. (1970). Efficient Capital Markets: A Review Of Theory and Empirical Work. Journal of Finance. 25(2): 383-417.
Fama, E. F. (1981). Stock returns, real activity, inflation, and money. The American Economic Review, 71(4), 545-565.
Fischer, S., ve Merton, R. C. (1984). Macroeconomics and finance: The role of the stock market.
Froot K. A., Scharfsteın D. S. ve Steın, J. C. (1993). Risk Management: Coordinating Corporate Investment and Financing Policies. The Journal Of Fınance. 48 (5). 1629-1658.
Frugier, A. (2016). Returns, volatility and investor sentiment: Evidence from European stock markets. Research in International Business and Finance,38, 45-55.
Gao, L., ve Süss, S. (2015). Market sentiment in commodity futures returns.Journal of Empirical Finance, 33, 84-103.
Godfrey, L. G. (1978). Testing for multiplicative heteroskedasticity. Journal of econometrics, 8(2), 227-236.
Gujarati, D. N. (2003). Basic Econometrics. International Edition. New York: McGraw Hill.
Kandir, S. Y., ve İnan, H. (2011). Testing Profitability Of Momentum İnvestment Strategy İn ISE. Journal of BRSA Banking and Financial Markets. 5(2): 51-70.
Karatepe, Y. (2000). Türev Piyasaları Futures, Opsiyon, Swap. Ankara: A.Ü. Siyasal Bilgiler Fakültesi Yayınevi.
Kurov, A. (2008). Investor sentiment, trading behavior and informational efficiency in index futures markets. Financial Review, 43(1), 107-127.
Lautier, D., ve Riva, F. (2008). The determinants of volatility on the American crude oil futures market. OPEC Energy Review, 32(2), 105-122.
Lei, V. U., So, S., ve Zou, M. (2012). Investor Sentiment-Relationship between VIX and Trading Volume. Available at SSRN 2136802.
Lu, R. Y. C., Lee, H. C., ve Chiu, P. (2014). Institutional Investor Sentiment and Market Returns: Evidence from the Taiwan Futures Market. Journal for Economic Forecasting, (4), 140-167.
McMillan, D. G., ve Ülkü, N. (2009). Persistent mispricing in a recently opened emerging index futures market: Arbitrageurs invited. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 29(3), 218-243.
Modigliani, F., ve Miller, M. H. (1958). The cost of capital, corporation finance and the theory of investment. The American Economic Review, 48(3), 261-297.
Morck, R., Shleifer, ve A., Vishny. (1990). The stock market and investment: is the market a sideshow?. Brookings papers on economic Activity, 1990(2), 157-215.
Murphy, J. J. (1999). Technical analysis of the financial markets. USA: New York Institute Of Finance.
Newbery, D. M. (1987). When do futures destabilize spot prices?. International Economic Review, 28(2), 291-297.
Qadan, M., ve Yagil, J. (2012). Fear sentiments and gold price: testing causality in-mean and in-variance. Applied Economics Letters, 19(4), 363-366.
Pereira, J. P., ve Zhang, H. H. (2008). Stock returns and the volatility of liquidity. Journal of Financial and Quantitative Analysis, 45(4), 1077-1110.
Reitz, S., ve Slopek, U. D. (2008). Nonlinear oil price dynamics: A tale of heterogeneous speculators?. Deutsche Bundesbank Discussion Paper Series 1, Economic Studies, no. 10.
Sanders, D. R., Irwin, S. H., ve Leuthold, R. M. (2003). The theory of contrary opinion: a test using sentiment indices in futures markets. Journal of Agribusiness, 21(1), 39-64.
Schmeling, M. (2009). Investor sentiment and stock returns: Some international evidence. Journal of empirical finance, 16(3), 394-408.
Sharpe, W. F., Alexander, G. J., ve Bailey, J. V. (1999). Investments (6th ed.). Upper Saddle River, NJ: Prentice-Hall.
Simon, D. P., ve Wiggins, R. A. (2001). S&P futures returns and contrary sentiment indicators. Journal of Futures Markets, 21(5), 447-462.
Smales, L. A. (2016). Trading behavior in S&P 500 index futures. Review of Financial Economics, 28, 46-55.
Statman, M. (1999). Behaviorial finance: Past battles and future engagements. Financial Analysts Journal. 55(6), 18-27.
Tarı, R. (2010). Ekonometri. Kocaeli: Umuttepe Yayınları.
Tokic, D. (2011). Rational destabilizing speculation, positive feedback trading, and the oil bubble of 2008. Energy Policy, 39(4), 2051-2061.
Verma, R. (2012). Behavioral Finance and Pricing of Derivatives: Implications for Dodd-Frank Act. REVIEW OF FUTURES, 21.
Wang, C. (2001). Investor sentiment and return predictability in agricultural futures markets. Journal of Futures Markets, 21(10), 929-952.
Wang, C. (2003) Investor sentiment, market timing, and futures returns. Applied Financial Economics, 13:12, 891-898
Wang, J.Y. (2011). Individual Investor Sentiment and IPO Returns. http://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2011-Braga/papers/0203.pdf
Wang, Y. M., Li, C. A., ve Lin, C. F. (2009). The impact of investor sentiment on the futures market, evidence from the Taiwan futures exchange.International Research Journal of Finance and Economics, 28, 134-151.
Yang, C., ve Gao, B. (2014). The term structure of sentiment effect in stock index futures market. The North American Journal of Economics and Finance, 30, 171-182.
Zheng, Y. (2015). The linkage between aggregate investor sentiment and metal futures returns: A nonlinear approach. The Quarterly Review of Economics and Finance, 58, 128-142.
- Abstract viewed - 644 times
- PDF (Türkçe) downloaded - 397 times
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
© Business & Management Studies: An International Journal, 2019
Gözde Türkmen MÜLDÜR
Assist. Prof. Dr., Adana Alparslan Türkeş Science And Technology University
Yıldırım Beyazıt ÖNAL, Prof.Dr
Prof. Dr., Cukurova University
How to Cite
THE EFFECT OF INVESTOR SENTIMENT ON DERIVATIVES MARKET RETURNS: A RESEARCH ON INDEX FUTURES CONTRACTS
Vol 7 No 4 (2019): BUSINESS & MANAGEMENT STUDIES: AN INTERNATIONAL JOURNAL
Submitted: Aug 2, 2019
Published: Sep 24, 2019
One of the factors that determine the asset prices in spot markets, investor sentiment, is also thought to be highly likely to affect the prices in futures markets as well. Therefore to explore the relationship between the returns of the contracts traded on the Futures Markets, trading volume, and the open positions and determine whether the crowds, trading on the noise, have the ability to systematically influence the futures market are of great importance for the countries growing rapidly such as Turkey. This study aims to investigate the effect of investor sentiment, on the returns of Futures Contracts traded on the Futures Market Turkey Index between April 2006 - April 2016 period. By employing the regression analysis, it is observed that the investor sentiment has a significant effect on the returns of the BIST 30 Index Futures Contracts. This study, to the authors’ best knowledge, is the first study to investigate the impact of investor sentiment on the futures market in Turkey, and the expectation is to fill the gap in the literature.