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

Year 2019, Volume: 14, 164 - 172, 27.03.2019

Efe Çağlar Çağlı

Abstract

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

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

Abstract

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.

Keywords

Yatırımcı Duyarlılığı, Türkiye, Granger Nedensellik, Özyinelemeli Algoritma

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