Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.11779/392
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dc.contributor.authorSon-Turan, Semen-
dc.date.accessioned2019-02-19T22:05:58Z
dc.date.available2019-02-19T22:05:58Z
dc.date.issued2016-
dc.identifier.citationSon-Turan, S. (2016). The Impact of Investor Sentiment on the'Leverage Effect'. International Econometric Review, 8(1), 4-18.en_US
dc.identifier.issn1308-8815-
dc.identifier.urihttps://hdl.handle.net/20.500.11779/392-
dc.identifier.urihttp://www.era.org.tr/makaleler/19110104.pdf-
dc.description.abstractWith the advent of the Internet and the availability of user search query data on a broaderscale, since the early 2000s researchers have started using collective search queryinformation instead of, or, in addition to, traditional investor sentiment proxies. Thisstudy examines whether the leverage (bad news) effect, as measured by theEGARCH (1,1) model, changes with the inclusion of a newly emerging sentiment proxy,internet search volume. The sample consists of 14 US companies belonging to theNASDAQ and NYSE Indices and 501 observations of data collected at weekly frequencyspanning a nine year period. Empirical findings suggest that, inclusion of the investorsentiment variable has no clear impact on the bad news effect; there is, however, adiscernible increase in volatility persistence. The implications of the findings are that theinvestor sentiment proxy has additional informational content. Behavioral finance theoryand the availability and social proof heuristics serve as potential explanations for suchfindings.en_US
dc.language.isoenen_US
dc.publisherEconometric Research Associationen_US
dc.relation.ispartofInternational Econometric Review (IER)en_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectInvestor Sentimenten_US
dc.subjectLeverage Effecten_US
dc.subjectEGARCHen_US
dc.subjectBehavioral Financeen_US
dc.subjectInternet Search Queriesen_US
dc.titleThe Impact of Investor Sentiment on the "leverage Effect"en_US
dc.typeArticleen_US
dc.authoridSemen Son Turan / 0000-0002-7457-8417-
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.identifier.endpage18en_US
dc.identifier.startpage4en_US
dc.identifier.issue1en_US
dc.identifier.volume8en_US
dc.departmentİİSBF, İşletme Bölümüen_US
dc.institutionauthorSon-Turan, Semen-
item.fulltextWith Fulltext-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.languageiso639-1en-
item.openairetypeArticle-
item.grantfulltextopen-
item.cerifentitytypePublications-
crisitem.author.dept04.03. Department of Business Administration-
Appears in Collections:İşletme Bölümü Koleksiyonu
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