THE EFFECT OF INVESTOR ATTENTION ON STOCK RETURN VOLATILITY: AN ECONOMETRIC APPLICATION ON BANKS

Year 2021, Issue: 3, 223 - 246, 30.07.2021

Tuğba Nur Topaloğlu , İlhan Ege

https://doi.org/10.51551/verimlilik.701270

Cited By: 1

Abstract

Purpose: In the study, it is aimed to investigate the relationship between investor attention and stock volatility measured by using GST (Google Search Trends) data between 2010-2018 of the banks of the BIST Bank index.

Methodology: In the study, the relationship between investor attention measured on GST data and volatility measured using conditional heteroscedasticity models was analyzed using panel regression analysis. Based on volatility, which is the dependent variable of the study, two models were established on the basis of variable and total GST.

Findings: As a result of the analysis, while the effects of “bank name stock” and “banks’ BIST code” on volatility could not be determined, a positive relationship has been detected between the search for “bank name stock market” and “Total GAT” variables and volatility. The findings of this study are important for investors who can interpret the relationship between investor interest and volatility and use them in investment decisions.

Originality: When the literature on the subject is examined, it is observed that the number of studies on companies is limited. To reveal whether the findings to be obtained as a result of the research support the efficient market hypothesis or behavioral finance theories, it is considered as the main contribution and originality of the study to the literature.

Keywords

Investor Attention, Google Search Trends, Volatility, Panel Data Analysis

YATIRIMCI İLGİSİNİN PAY SENEDİ GETİRİ VOLATİLİTESİNE ETKİSİ: BANKALAR ÜZERİNE EKONOMETRİK BİR UYGULAMA

Abstract

Amaç: Çalışmada BIST Banka endeksinde faaliyet gösteren bankaların 2010-2018 yılları arasında GAT (Google Arama Trendleri) verileri kullanılarak ölçülen yatırımcı ilgisi ile pay senedi volatilitesi arasındaki ilişkinin araştırılması amaçlanmıştır.

Yöntem: Çalışmada GAT verileri üzerinden ölçülen yatırımcı ilgisi ile koşullu varyans modelleri kullanılarak hesaplanan volatilite arasındaki ilişki, panel regresyon analizi ile incelenmiştir. Çalışmanın bağımlı değişkeni olan volatilite esas alınarak değişken bazında ve toplam GAT bazında olmak üzere iki model kurulmuştur.

Bulgular: Yapılan analiz sonucunda, “banka adı hisse” ve “bankaların BIST Kodu” aramalarının volatiliteye etkisi yokken “banka adı borsa” araması ve değişkenlerin toplamından oluşan “Toplam GAT” değişkenleri ile volatilite arasında pozitif yönlü ilişki tespit edilmiştir. Çalışmada elde edilen bulgular, yatırımcı ilgisinin pay senedi volatilitesi ile olan ilişkisini yorumlayabilen ve yatırım kararlarında kullanabilen yatırımcılar açısından önem arz etmektedir.

Özgünlük: Konuya ilişkin literatür incelendiğinde firmalar üzerine yapılmış çalışma sayısının sınırlı olduğu gözlemlenmektedir. Araştırma sonucunda elde edilecek bulguların etkin piyasa hipotezi ya da davranışsal finans teorilerinden hangisini destekler nitelikte olduğunun ortaya konması, çalışmanın literatüre temel katkısı ve özgünlüğü olarak değerlendirilmektedir.

Keywords

Yatırımcı İlgisi, Google Arama Trendleri, Volatilite, Panel Veri Analizi

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