Tüketici Güven Endeksi ve Hisse Senedi Getirilerinin Nedensellik İlişkisi: Özyinelemeli Granger Nedensellik Testinden Kanıtlar

Bu çalışma, Borsa İstanbul (BIST) yatırımcı hissi ve hisse senedi getirileri arasındaki nedensel ilişkiyi araştırmayı amaçlamaktadır. Yatırımcı duyarlılığını temsilen kullanılan Tüketici Güven Endeksindeki değişimler ve BIST-100 Getiri Endeksindeki değişimler geleneksel ve zamana göre değişen özyinelemeli Granger nedensellik testleriyle analiz edilmiştir. Ocak 2004 – Eylül 2018 dönemini kapsayan aylık veriler analiz edilmiştir. Geleneksel Granger nedensellik test sonuçlarının aksine, özyinelemeli Granger testleri BIST-100 ve Tüketici Güven Endeksi arasında çift yönlü nedensellik ilişkisi olduğunu göstermektedir. BIST-100’den Tüketici Güven Endeksi’ne Aralık 2015’te başlayan ve örneklem sonuna kadar süregelen nedensellik tespit edilmiştir. Bununla birlikte, Tüketici Güven Endeksi’nden BIST-100’e Şubat 2018’de başlayan ve iki ay süren nedensellik ilişkisi tespit edilmiştir. Borsa İstanbul'daki yatırımcılar, portföy yöneticileri ve politika yapıcılar, yatırımcı hissesini ek bir sistematik risk kaynağı olarak değerlendirmelidir.

Anahtar Kelimeler:

Yatırımcı Duyarlılığı, Türkiye, Granger Nedensellik, Özyinelemeli Algoritma

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

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.

Keywords:

Investor Sentiment, Turkey, Granger Causality, Recursive Evolving Algorithm,

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