Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.11779/392
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Son-Turan, Semen | - |
dc.date.accessioned | 2019-02-19T22:05:58Z | |
dc.date.available | 2019-02-19T22:05:58Z | |
dc.date.issued | 2016 | - |
dc.identifier.citation | Son-Turan, S. (2016). The Impact of Investor Sentiment on the'Leverage Effect'. International Econometric Review, 8(1), 4-18. | en_US |
dc.identifier.issn | 1308-8815 | - |
dc.identifier.uri | https://hdl.handle.net/20.500.11779/392 | - |
dc.identifier.uri | http://www.era.org.tr/makaleler/19110104.pdf | - |
dc.description.abstract | With 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.iso | en | en_US |
dc.publisher | Econometric Research Association | en_US |
dc.relation.ispartof | International Econometric Review (IER) | en_US |
dc.rights | info:eu-repo/semantics/openAccess | en_US |
dc.subject | Investor Sentiment | en_US |
dc.subject | Leverage Effect | en_US |
dc.subject | EGARCH | en_US |
dc.subject | Behavioral Finance | en_US |
dc.subject | Internet Search Queries | en_US |
dc.title | The Impact of Investor Sentiment on the "leverage Effect" | en_US |
dc.type | Article | en_US |
dc.authorid | Semen Son Turan / 0000-0002-7457-8417 | - |
dc.relation.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
dc.identifier.endpage | 18 | en_US |
dc.identifier.startpage | 4 | en_US |
dc.identifier.issue | 1 | en_US |
dc.identifier.volume | 8 | en_US |
dc.department | İİSBF, İşletme Bölümü | en_US |
dc.institutionauthor | Son-Turan, Semen | - |
item.fulltext | With Fulltext | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.languageiso639-1 | en | - |
item.openairetype | Article | - |
item.grantfulltext | open | - |
item.cerifentitytype | Publications | - |
crisitem.author.dept | 04.03. Department of Business Administration | - |
Appears in Collections: | İşletme Bölümü Koleksiyonu |
Files in This Item:
File | Description | Size | Format | |
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The Impact of Investor Sentiment on the 'Leverage Effect'[#278043]-259408.pdf | Yayıncı Sürümü - Makale | 723.48 kB | Adobe PDF | View/Open |
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