EKOIST Journal of Econometrics and Statistics

SUBMITINFORMATION
EnglishTürkçe

Research Article


DOI :10.26650/ekoist.2024.41.1537848   IUP :10.26650/ekoist.2024.41.1537848    Full Text (PDF)

Relationship between Financial Services Confidence Index and Stock Market Returns: Toda-Yamamoto and Asymmetric Causality Analysis

Yunus Emre Turan, Dinara Zubaidullina

The management of expectations is a critical factor in shaping the dynamics of financial markets. Therefore, changes in confidence indices, which reflect the expectations of economic agents, are closely monitored by economists. This study examines the sectoral relationships between the Financial Services Confidence Index and stock market returns in Turkey for the period from June 2012 to May 2024. To compare the causality results, the relationships between the variables were analysed using the Toda-Yamamoto (1995) and Hatemi-J (2012) causality tests. According to the results of the Toda-Yamamoto (1995) causality test, no causality relationship was found between the Financial Services Confidence Index and the Borsa Istanbul (BIST) sector index returns. However, an asymmetric causality relationship was identified between the variables. Thus, it is observed that hidden relationships, which could not be detected by the Toda-Yamamoto (1995) causality test, were revealed through the asymmetric causality test. According to the results of the asymmetric causality test, a causality relationship from the Financial Services Confidence Index to the BIST Financial index returns was found for negative shocks. There is a causality relationship from the BIST Electricity index and the BIST Financial Leasing and Factoring index returns to the Financial Services Confidence Index in both positive and negative shocks. A causality relationship from the BIST Information Technology index and the BIST Technology index returns to the Financial Services Confidence Index was found in positive components. A causality relationship from the BIST Services index and BIST Industrial index returns to the Financial Services Confidence Index was also found among the negative shocks. Considering the results obtained from the study, it can be stated that the Financial Services Confidence Index is a variable that should be considered in terms of changes in financial markets. 

Keywords: Financial Services Confidence Index, Sector Indices, Toda-Yamamoto (1995) causality test, Asymmetric causality test
DOI :10.26650/ekoist.2024.41.1537848   IUP :10.26650/ekoist.2024.41.1537848    Full Text (PDF)

Finansal Hizmetler Güven Endeksi ile Borsa Getirileri arasındaki ilişki: Toda-Yamamoto ve Asimetrik Nedensellik Analizi

Yunus Emre Turan, Dinara Zubaidullina

Finansal piyasaların dinamiklerini şekillendirmede beklentilerin yönetilmesi önemli bir husustur. Bu nedenle, iktisadi ajanların beklentilerini yansıtan güven endekslerindeki değişimler ekonomistler tarafından dikkatle takip edilmektedir. Bu çalışmada Türkiye’de Haziran 2012-Mayıs 2024 dönemi için finansal hizmetler güven endeksi ve borsa endeks getirileri arasındaki sektörel bazlı ilişkiler açıklanmaktadır. Çalışmada nedensellik sonuçların üzerinde karşılaştırma yapılabilmesi amacıyla değişkenler arasındaki ilişki Toda-Yamamoto (1995) ve Hatemi-J (2012) nedensellik testleri kullanılarak incelenmiştir. Toda-Yamamoto(1995) nedensellik testi sonuçlarına göre finansal güven endeksi ile Borsa İstanbul (BİST) sektör endeksleri getirileri arasında bir nedensellik ilişkisinin varlığı tespit edilememiştir. Bununla birlikte, değişkenler arasında asimetrik bir nedensellik ilişkisi saptanmıştır. Böylelikle, Toda-Yamamoto (1995) nedensellik testinin tespit edemediği saklı ilişkilerin asimetrik nedensellik testi yardımıyla ortaya çıkarıldığı görülmektedir. Asimetrik nedensellik testi sonuçlarına göre, negatif şoklar için finansal hizmetler güven endeksinden BİST Mali endeks getirilerine doğru nedensellik bulunmaktadır. BİST Elektrik endeksi ve BİST Finansal Kiralama Faktöring endeksi getirilerindeki hem pozitif hem de negatif şoklardan finansal hizmetler güven endeksine doğru bir nedensellik ilişkisi bulgusuna ulaşılmıştır. BİST Bilişim endeksi ve BİST Teknoloji endeksi getirilerinden finansal hizmetler güven endeksine doğru bir nedensellik pozitif bileşenlerde tespit edilmiştir. BİST Hizmetler endeksi ve BİST Sınai Endeksi getirilerinden finansal hizmetler güven endeksine doğru bir nedensellik ilişkisi de negatif şoklar arasında tespit edilmiştir. Çalışmadan elde edilen sonuçlar ışığında, finansal hizmetler güven endeksinin finansal piyasalardaki değişimler açısından dikkate alınması gereken bir değişken olduğunu ifade etmek mümkündür.

Keywords: Finansal Hizmetler Güven Endeksi, Sektör Endeksleri, Toda- Yamamoto Nedensellik Testi, Hatemi-J Asimetrik Nedensellik Testi

EXTENDED ABSTRACT


Classical finance theories assume that investors are rational and that they consider all information in the market during the decision-making process. The number of studies that include and try to develop behavioural aspects that are often neglected in classical theoretical models is increasing in the literature. The increasing interest in the non-classical approach stems from the need to explain phenomena that are regularly observed in financial markets and that do not comply with the predictions of classical models (Yoshinaga and Castro Junior, 2012).

De Long et al. (1990) divided investors into two categories, considering the effect of financial market sentiment: rational investors and rumour merchants. In the model, investors in both categories determine the prices of assets and their expected returns. The possibility of rational investors profiting from mispricing is limited due to various reasons such as short investment horizon, transaction costs, and risks. These reasons allow prices to deviate from their fundamental values. Sentiment in the context of investment may indicate overly optimistic or pessimistic cash flow estimates or changes in risk tolerance (Edelen et al., 2010). As a result of this situation, the relationship between the net present value of the discounted cash flows of the asset and the asset price may occur differently. Here, investors’ emotional reactions may have an effect.

The link between investor sentiment and stock returns has been examined in many studies. Chowdhury et al. (2024) found a positive effect of investor sentiment on stock returns in the S&P 500 index. Schmeling (2009) found a negative relationship between investor sentiment and stock returns. It is observed that there is a separation in the variables selected as sentiment proxies in the studies conducted in the literature. The variables used in previous studies: confidence indices obtained from investor surveys (Usul et al., 2017; Kandır, 2006); investor mood (Kostopoulos and Meyer, 2018); implied volatility of the option contract (Qadan et al., 2019); closed-end investment fund discount (Keleş and Arat, 2019); investment fund flows (Ben-Rephael et al., 2012); transaction volume or transaction amount (Ding et al., 2014) and the composite sentiment index combining these proxies (Baker and Wurgler, 2006).

The Central Bank of the Republic of Turkey (CBRT) calculates the Financial Services Confidence Index (FSCI) to reveal the assessments and expectations regarding the business situations and demand for services in the financial services sector. A financial service survey was conducted to calculate the FSCI. With the monthly financial services survey, the recent past assessments and future expectations of financial institution managers regarding their business situations are obtained and trends in the financial services sector are determined. The FSCI index calculated from the survey results is calculated as a function of the answers to the questions about the business status of financial institutions, the demand for services in the last three months, and the demand for services in the next three months (TCMB, 2024).

The expectations of economic agents affect macroeconomic and financial indicators. Therefore, examining the effect of confidence indices reflecting expectations on the stock market is an important issue. This study aims to empirically analyse the causality relationship between the financial confidence index and stock returns in Turkey in the period 2012:06-2024:05. In addition to the Toda-Yamamoto causality test, the Hatemi-j (2012) asymmetric causality test was used in the study. According to the TodaYamamoto (1995) causality test results, no causality relationship was determined between the financial services confidence index and the Borsa Istanbul (BIST) sector index returns. However, an asymmetric causality relationship was determined between the variables. Thus, the hidden relationships that the Toda-Yamamoto (1995) causality test could not detect were revealed with the help of the asymmetric causality test.


PDF View

References

  • Altuntaş, S. T., Sarikovanlik, V., & Mera, N. (2017). Beklentiler ve güven endekslerinin finansal piyasalar üzerine etkisi. Muhasebe ve Finansman Dergisi, Temmuz 2017 (Özel Sayı), 142-151. google scholar
  • Alptürk, Y., Tunçel, M. B., Çetenak, E. H., & Bekci, İ. (2021). Finansal hizmetler güven endeksi ile BİST Şehir endeksleri arasındaki ilişkinin tespitine yönelik bir araştırma. Bingöl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 5(2), 271-293. google scholar
  • Aydin, M. (2017). Gelişmekte olan ülkelerde borsa ile döviz kurları arasındaki ilişki: Simetrik ve asimetrik nedensellik analizi. Ekonometri ve Istatistik Dergisi, 27, 1-15. google scholar
  • Bai, C., Duan, Y., Fan, X., & Tang, S. (2023). Financial market sentiment and stock return during the COVID-19 pandemic. Finance Research Letters, 54, 103709. google scholar
  • Baker, M., & Wurgler, J. (2006). Investor Sentiment and the Cross-Section of Stock Returns. The Journal of Finance, 61(4), 1645-1680. https://doi.org/10.1111/j.1540-6261.2006.00885.x google scholar
  • Ben-Rephael, A., Kandel, S., & Wohl, A. (2012). Measuring investor sentiment with mutual fund flows. Journal of financial Economics, 104(2), 363-382. google scholar
  • Bertella, M. A., Pires, F. R., Feng, L., & Stanley, H. E. (2014). Confidence and the stock market: An agent-based approach. PloS one, 9(1), e83488. google scholar
  • Brown, G. W., & Cliff, M. T. (2004). Investor sentiment and the near-term stock market. Journal of empirical finance, 11(1), 1-27. google scholar
  • Canöz, İ. (2018). Borsa İstanbul 100 endeksi ile tüketici güven endeksleri arasındaki nedensellik ilişkisi: Türkiye örneği. Fiscaoeconomia, 2(1), 136-153. google scholar
  • Canöz, İ., & Erdoğdu, A. (2019). Sektörel güven endeksleri ve BİST sektör endeksleri arasındaki ilişkilerin simetrik ve asimetrik nedensellik analizi. Yönetim ve Ekonomi Dergisi, 26(3), 833-849. google scholar
  • Chowdhury, E. K., Chowdhury, R., & Dhar, B. K. (2024). Understanding ınvestor sentiment: Analyzing its ınfluence on stock and cryptocurrency markets during the Russia-Ukraine War. Thunderbird International Business Review, 66(5), 473-489. https://doi.org/10.1002/tie.22395 google scholar
  • Christ, K. P., & Bremmer, D. S. (2003). The relationship between consumer sentiment and stock prices. New York Times. https://citeseerx.ist. psu.edu/document?repid=rep1&type=pdf&doi=7b844255324f4f039caf9b3b009e1a44a5162844 google scholar
  • De Bondt, W. F. M., & Thaler, R. (1985). Does the Stock Market Overreact? The Journal of Finance, 40(3), 793-805. https://doi.org/10.1111/j. 1540-6261.1985.tb05004.x google scholar
  • De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). Noise trader risk in financial markets. Journal of Political Economy, 98(4), 703-738. https://doi.org/10.1086/261703 google scholar
  • Ding, C. G., Wang, H.-J., Lee, M.-C., Hung, W.-C., & Lin, C.-P. (2014). How does the change in ınvestor sentiment over time affect stock returns? Emerging markets finance and trade, 50(sup2), 144-158. https://doi.org/10.2753/REE1540- 496X5002S210 google scholar
  • Edelen, R. M., Marcus, A. J., & Tehranian, H. (2010). Relative sentiment and stock returns. Financial Analysts Journal, 66(4), 20-32. https://doi.org/10.2469/faj.v66.n4.2 google scholar
  • Eyüboğlu, K., & Eyüboğlu, S. (2017). Ekonomik güven endeksi ile hisse senedi fiyatları arasındaki ilişkinin incelenmesi: Türkiye örneği. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 19(2), 603-614. google scholar
  • Fama, E. F. (1970). Efficient capital markets. Journal of finance, 25(2), 383-417. google scholar
  • Hatemi-j, A. (2012). Asymmetric causality tests with an application. Empirical economics, 43, 447-456. google scholar
  • Hatemi-J, A., Al Shayeb, A., & Roca, E. (2017). The effect of oil prices on stock prices: Fresh evidence from asymmetric causality tests. Applied Economics, 49(16), 1584-1592. https://doi.org/10.1080/00036846.2016.1221045 google scholar
  • Hsu, C. C., Lin, H.-Y., & Wu, J.-Y. (2011). Consumer confidence and stock markets: The panel causality evidence. International Journal of Economics and Finance, 3(6), 91-98. google scholar
  • İskenderoğlu, Ö., & Akdağ, S. (2017). Finansal hizmetler güven endeksinin geçerliliğinin incelenmesi: Türkiye örneği. Uluslararası Ekonomik Araştırmalar Dergisi, 3(4), 625-633. google scholar
  • Jain, J., Walia, N., Kaur, M., & Singh, S. (2022). Behavioural biases affecting investors’ decision-making process: A scale development approach. Management Research Review, 45(8), 1079-1098. google scholar
  • Jansen, W. J., & Nahuis, N. J. (2003). The stock market and consumer confidence: European evidence. Economics letters, 79(1), 89-98. google scholar
  • Kale, S., & Akkaya, M. (2016). The relation between confidence climate and stock returns: The case of Turkey. Procedia economics and finance, 38, 150-162. google scholar
  • Kandır, S. Y. (2006). Tüketici güveni ve hisse senedi getirileri ilişkisi: İMKB mali sektör şirketleri üzerinde bir uygulama. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 15(2), 217-230. google scholar
  • Keleş, E., & Arat, M. E. (2016). Yatırımcı duyarlılığı temsilcileri ve sermaye getirilerinin tahmini. Öneri Dergisi, 12(45), 307-326. google scholar
  • Kilci, E. N. (2020). Do confidence indicators have an impact on macro-financial indicators? An analysis of the financial service and real sector confidence indexes: Evidence from Turkey. European Journal of Government and Economics. https://milas.arel.edu.tr/xmlui/handle/20.500. 12294/3254 google scholar
  • Kling, G., & Gao, L. (2008). Chinese institutional investors’ sentiment. Journal of International Financial Markets, Institutions and Money, 18(4), 374-387. google scholar
  • Korkmaz, T., & Çevik, E. (2009). Reel Kesim Güven Endeksi ile İMKB 100 Endeksi arasındaki dinamik nedensellik ilişkisi. İstanbul Üniversitesi İşletme Fakültesi Dergisi, 38(1), 24-37. google scholar
  • Kostopoulos, D., & Meyer, S. (2018). Disentangling investor sentiment: Mood and household attitudes towards the economy. Journal of Economic Behavior & Organization, 155, 28-78. google scholar
  • Köse, A. K., & Akkaya, M. (2016). Beklenti ve güven anketlerinin finansal piyasalara etkisi: BIST 100 üzerine bir uygulama. Bankacılar Dergisi, 99, 3-15. google scholar
  • Mermer, İ. (2014). Tüketici güven endeksi ve hisse senedi getirileri ilişkisi: BİST üzerine bir uygulama, Basılmamış Yüksek Lisans Tezi. TC Ankara Üniversitesi Sosyal Bilimler Enstitüsü İşletme Anabilim Dalı. google scholar
  • Qadan, M., Kliger, D., & Chen, N. (2019). Idiosyncratic volatility, the VIX and stock returns. The North American Journal of Economics and Finance, 47, 431-441. google scholar
  • Özekenci, S. Y. Finansal hizmetler güven endeksi ile seçilmiş BİST sektör endeksleri arasındaki ilişkinin incelenmesi. Ekonomi ve Finansal Araştırmalar Dergisi, 6(1), 1-12. google scholar
  • Schmeling, M. (2009). Investor sentiment and stock returns: Some international evidence. Journal of empirical finance, 16(3), 394-408. google scholar
  • Statman, M., & Fisher, K. L. (2002). Consumer confidence and stock returns. Santa ClaraUniversity Dept. of Finance Working Paper, 0202.https: //papers.ssrn.com/sol3/papers.cfm?abstract_id=317304 google scholar
  • TCMB(2024).https://www.tcmb.gov.tr/wps/wcm/connect/tr/tcmb+tr/main+menu/istatistikler/egilim+anketleri/finansal+hizmetler+ istatistikleri+ve+finansal+hizmetler+guven+endeksi Erişim tarihi: 20.08.2024 google scholar
  • Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of econometrics, 66(1-2), 225-250. google scholar
  • Topuz, Y. V. (2011). Tüketici güveni ve hisse senedi fiyatlari arasindaki nedensellik ilişkisi: Türkiye örneği. Ekonomik ve Sosyal Araştırmalar Dergisi, 53-65. google scholar
  • Tuzun, O., Ceylan, I. E., & Ceylan, F. (2021). Güven endeksleri ile hisse senedi piyasasi arasindaki nedensellik analizi: Türkiye örneği. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 30(2), 166-181. google scholar
  • Tversky, A., & Kahneman, D. (1989). Rational Choice and the Framing of Decisions. Içinde B. Karpak & S. Zionts (Ed.), Multiple Criteria Decision Making and Risk Analysis Using Microcomputers (ss. 81-126). Springer Berlin Heidelberg. https://doi.org/10.1007/ 978-3-642-74919-3_4 google scholar
  • Usul, H., Küçüksille, E., & Karaoğlan, S. (2017). Güven endekslerindeki değişimlerin hisse senedi piyasalarina etkileri: Borsa İstanbul örneği. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 22(3), 685-695. google scholar
  • Wang, W., Su, C., & Duxbury, D. (2021). Investor sentiment and stock returns: Global evidence. Journal of Empirical Finance, 63, 365-391. google scholar
  • Yoshinaga, C. E., & Castro Junior, F. H. F. de. (2012). The relationship between market sentiment index and stock rates of return: A panel data analysis. BAR-Brazilian Administration Review, 9, 189-210. google scholar
  • Yurtoğlu, Y., & Süsay, A. (2023). Yatırımcı duyarlılığının pay piyasası yatırımlarına etkisi: Borsa İstanbul’dan kanıtlar. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 16(3), 881-891. google scholar

Citations

Copy and paste a formatted citation or use one of the options to export in your chosen format


EXPORT



APA

Turan, Y., & Zubaidullina, D. (2024). Relationship between Financial Services Confidence Index and Stock Market Returns: Toda-Yamamoto and Asymmetric Causality Analysis. EKOIST Journal of Econometrics and Statistics, 0(41), 97-108. https://doi.org/10.26650/ekoist.2024.41.1537848


AMA

Turan Y, Zubaidullina D. Relationship between Financial Services Confidence Index and Stock Market Returns: Toda-Yamamoto and Asymmetric Causality Analysis. EKOIST Journal of Econometrics and Statistics. 2024;0(41):97-108. https://doi.org/10.26650/ekoist.2024.41.1537848


ABNT

Turan, Y.; Zubaidullina, D. Relationship between Financial Services Confidence Index and Stock Market Returns: Toda-Yamamoto and Asymmetric Causality Analysis. EKOIST Journal of Econometrics and Statistics, [Publisher Location], v. 0, n. 41, p. 97-108, 2024.


Chicago: Author-Date Style

Turan, Yunus Emre, and Dinara Zubaidullina. 2024. “Relationship between Financial Services Confidence Index and Stock Market Returns: Toda-Yamamoto and Asymmetric Causality Analysis.” EKOIST Journal of Econometrics and Statistics 0, no. 41: 97-108. https://doi.org/10.26650/ekoist.2024.41.1537848


Chicago: Humanities Style

Turan, Yunus Emre, and Dinara Zubaidullina. “Relationship between Financial Services Confidence Index and Stock Market Returns: Toda-Yamamoto and Asymmetric Causality Analysis.” EKOIST Journal of Econometrics and Statistics 0, no. 41 (Mar. 2025): 97-108. https://doi.org/10.26650/ekoist.2024.41.1537848


Harvard: Australian Style

Turan, Y & Zubaidullina, D 2024, 'Relationship between Financial Services Confidence Index and Stock Market Returns: Toda-Yamamoto and Asymmetric Causality Analysis', EKOIST Journal of Econometrics and Statistics, vol. 0, no. 41, pp. 97-108, viewed 10 Mar. 2025, https://doi.org/10.26650/ekoist.2024.41.1537848


Harvard: Author-Date Style

Turan, Y. and Zubaidullina, D. (2024) ‘Relationship between Financial Services Confidence Index and Stock Market Returns: Toda-Yamamoto and Asymmetric Causality Analysis’, EKOIST Journal of Econometrics and Statistics, 0(41), pp. 97-108. https://doi.org/10.26650/ekoist.2024.41.1537848 (10 Mar. 2025).


MLA

Turan, Yunus Emre, and Dinara Zubaidullina. “Relationship between Financial Services Confidence Index and Stock Market Returns: Toda-Yamamoto and Asymmetric Causality Analysis.” EKOIST Journal of Econometrics and Statistics, vol. 0, no. 41, 2024, pp. 97-108. [Database Container], https://doi.org/10.26650/ekoist.2024.41.1537848


Vancouver

Turan Y, Zubaidullina D. Relationship between Financial Services Confidence Index and Stock Market Returns: Toda-Yamamoto and Asymmetric Causality Analysis. EKOIST Journal of Econometrics and Statistics [Internet]. 10 Mar. 2025 [cited 10 Mar. 2025];0(41):97-108. Available from: https://doi.org/10.26650/ekoist.2024.41.1537848 doi: 10.26650/ekoist.2024.41.1537848


ISNAD

Turan, Yunus Emre - Zubaidullina, Dinara. “Relationship between Financial Services Confidence Index and Stock Market Returns: Toda-Yamamoto and Asymmetric Causality Analysis”. EKOIST Journal of Econometrics and Statistics 0/41 (Mar. 2025): 97-108. https://doi.org/10.26650/ekoist.2024.41.1537848



TIMELINE


Submitted27.08.2024
Accepted04.11.2024
Published Online26.12.2024

LICENCE


Attribution-NonCommercial (CC BY-NC)

This license lets others remix, tweak, and build upon your work non-commercially, and although their new works must also acknowledge you and be non-commercial, they don’t have to license their derivative works on the same terms.


SHARE




Istanbul University Press aims to contribute to the dissemination of ever growing scientific knowledge through publication of high quality scientific journals and books in accordance with the international publishing standards and ethics. Istanbul University Press follows an open access, non-commercial, scholarly publishing.