The impact of fear and greed on stock markets: time-varying asymmetric causality between the CNN Fear and Greed index and Istanbul stock exchange

The aim of this study is to examine the relationship between the CNN Fear and Greed (KA) index, one of the important indicators of investor sentiment, and the stock market in Türkiye.The Borsa Istanbul 100 (BIST100) index is used to represent the Turkish stock market.Monthly data covering the period from April 2013 to December 2024 are employed in the analysis, and the Hatemi-J asymmetric causality test is applied.Based on the assumption that investors respond differently to positive and negative shocks, asymmetric causality relationships are first evaluated using the Hatemi-J test.Subsequently, a time-varying asymmetric causality analysis is conducted to examine whether these relationships vary over time.The findings indicate that there is no significant causality relationship between the KA index and the BIST100 index in terms of either positive or negative shocks over the entire sample period.However, the results of the time-varying analysis reveal that temporary and asymmetric causality relationships emerge during certain periods.In particular, during the 2023-2024 period, a temporary causality relationship from the BIST100 index to the KA index is observed under positive shocks, whereas a more persistent causality relationship from the KA index to the BIST100 index is identified under negative shocks.By examining the relationship between the KA index, which represents investor sentiment, and the Turkish stock market through a time-varying asymmetric causality approach, this study provides new evidence regarding the explanatory power of sentimentbased indicators in emerging markets.