Gözde Türkmen MÜLDÜR, Yıldırım Beyazit ÖNAL

YATIRIMCI DUYARLILIĞININ PİYASA GETİRİLERİNE OLAN ETKİSİ: ENDEKS VADELİ İŞLEM SÖZLEŞMELERİ ÜZERİNE BİR ARAŞTIRMA

Spot piyasalarda varlık fiyatlamasında belirleyici faktörlerden biri olan yatırımcı duyarlılığının vadeli işlem piyasalarını da etkileme olasılığı oldukça yüksek olduğu düşünülmektedir. Bu bağlamda, Vadeli İşlem Piyasasında işlem gören kontratların getiri, işlem hacmi ve açık pozisyonları arasındaki ilişkilerin incelenmesi ile bilgiye dayalı işlem yapmayan kalabalıkların sistematik olarak piyasayı etkileme gücünün olup olmadığının ortaya konulması; Türkiye gibi finansal piyasaları hızla büyüyen bir ülke için büyük önem arz etmektedir. Bu çalışma ile Nisan 2006 - Nisan 2016 dönemlerinde yatırımcı duyarlılığının, Türkiye’de Endeks Vadeli İşlem Sözleşmelerinin getirilerini etkileyip etkilemediği araştırılmıştır. Vadeli işlem piyasa getirilerini temsilen, BIST 30 Endeks Vadeli İşlem Sözleşmelerinin getirileri incelenmiş ve yapılan regresyon analizi sonucunda, yatırımcı duyarlılığı temsilcilerinin getirileri anlamlı bir şekilde etkilediği görülmüştür. Çalışma, bilindiği kadarıyla, Türkiye’de vadeli işlem piyasalarında yatırımcı duyarlılığının etkisini araştıran ilk çalışma olması nedeniyle önem arz etmektedir.

THE EFFECT OF INVESTOR SENTIMENT ON DERIVATIVES MARKET RETURNS: A RESEARCH ON INDEX FUTURES CONTRACTS

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.

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