BER: Vol. 5, No. 2, December 2015, Published
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Business and Economic Research, 2015
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International Journal of Emerging Markets, 2015
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Research in Business and Management, 2015
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Archives of Business Research, 2014
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International Journal of Business and Management, 2014
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Global Finance Journal, 2015
ABSTRACT This study examines the effect of rational and irrational components of U.S. institution... more ABSTRACT This study examines the effect of rational and irrational components of U.S. institutional and individual investor sentiment on Istanbul Stock Market (ISE) return and volatility. The results show that there is a significant spillover effect of U.S. investor sentiment on stock return and volatility of ISE. A breakdown of sentiment by the type of investor shows that the impact of institutional sentiment is greater than that of individual sentiment. A breakdown of sentiment by rationality shows that the effect of rational sentiment on ISE return is faster though not necessarily greater than that of irrational sentiment. The conclusion from these results is that the effect of U.S. investor sentiment is systemic and cannot be diversified away. U.S. investor sentiment, therefore, constitutes a priced risk factor and must be accounted for accordingly in international asset pricing models. The findings also provide some evidence of a negative relationship between U.S. investor sentiment and ISE return volatility.
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International Research Journal of Finance …, 2007
International Research Journal of Finance and Economics ISSN 1450-2887 Issue 11 (2007) © EuroJour... more International Research Journal of Finance and Economics ISSN 1450-2887 Issue 11 (2007) © EuroJournals Publishing, Inc. 2007 http://www. eurojournals. com/finance. htm Foreign Ownership and Firm Performance: Evidence from Turkey Nurhan Aydin Professor (Finance), The ...
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