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GELİŞEN PİYASALARDA SÜRÜ DAVRANIŞI: BİST ÖRNEĞİ

Year 2022, Volume: 2022 Issue: 1, 16 - 26, 27.04.2022

Abstract

Çalışma, 2008 küresel finansal krizine ve Ocak 2005'ten Aralık 2018'e kadar olan verilere odaklanarak, farklı piyasa ve ekonomik koşullar altında Borsa İstanbul’daki (BİST) sürü davranışını incelemektedir. Sürü davranışını tahmin etmek için iki regresyon modeli kullanılmaktadır: Christie & Huang (1995) tarafından geliştirilen Kesitsel Standart Sapma (CSSD) Modeli; Chang ve diğerleri (2000) tarafından geliştirilen Kesitsel Mutlak Sapma (CSAD) Modeli. Günlük hisse senedi fiyat verilerinden elde edilen bulgular, BİST'te özel durumlar dışında sürü davranışının oluşmadığını göstermektedir. BİST'te düşük oynaklık, düşük işlem hacmi ve finansal krizlerin ortaya çıktığı konjonktürlerde ise sürü davranışı dinamikleri ortaya çıkmaktadır. Makalede ayrıca 2013 yılında gerçekleşen Taper Tantrum'un sürü davranışını tetiklemediği sonucu elde edilmiştir.

References

  • Banerjee, A. V. (1992). A Simple Model of Herd Behaviour. The Quarterly Journal of Economics, 107(3), 797–817.
  • Bikhchandani, S. & Sharma, S. (2000). Herd Behaviour in Financial Markets. IMF Economic Review, 47(3), 279-310.
  • Cajueiro, D. O. & Tabak, B. M. (2009). Multifractality and Herding Behaviour in the Japanese Stock Market. Chaos, Solitons & Fractals, 40(1), 497–504.
  • Chang, E. C, Cheng, J.W. & Khorana, A. (2000). An Examination of Herd Behaviour in Equity Markets: An International Perspective. Journal of Banking & Finance, 24(10), 1651–1679.
  • Chevalier, J. & Ellison, G. (1999). Career Concerns of Mutual Fund Managers. The Quarterly Journal of Economics, 114(2), 389–432.
  • Chiang, T. C. & Zheng, D. (2010). An Empirical Analysis of Herd Behaviour in Global Stock Markets. Journal of Banking & Finance, 34(8), 1911–1921.
  • Choe, H., Kho, B. C. & Stulz, R. M. (1998). Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997. Journal of Financial Economics, 54(2), 227-264.
  • Christie, W. G. & Huang, R. D. (1995). Following the Pied Piper: Do Individual Returns Herd around the Market?. Financial Analysts Journal, 51(4), 31–37.
  • Demirer, R., Gubo, D. & Kutan, A. M. (2007). An Analysis of Cross-Country Herd Behaviour in Stock Markets: a Regional Perspective. Journal of International Financial Markets, Institutions and Money, 3(1), 123–142.
  • Demirer, R. & Kutan, A. M. (2006). Does Herding Behavior Exist in Chinese Stock Markets?. Journal of international Financial markets, Institutions and Money, 16(2), 123-142.
  • Doğukanlı, H. & Ergün, B. (2015). BIST’te Sürü Davranışı: Hwang ve Salmon Yöntemi ile Bir Araştırma. Finans Politik & Ekonomik Yorumlar, 52(603), 7–24.
  • Doğukanlı, H. & Ergün, B. (2011). İMKB’de Sürü Davranışı: Yatay Kesit Değişkenlik Temelinde Bir Araştırma. Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi, 12(2), 227–242.
  • Gelos, R. G. & Borensztein, E. (2000). A Panic-Prone Pack? the Behaviour of Emerging Market Mutual Funds. IMF Working Papers, 2000(198), International Monetary Fund.
  • Hwang, S. & Salmon, M. (2004). Market Stress and Herding. Journal of Empirical Finance, 11(4), 585–616.
  • Kapusuzoglu, A. (2011). Herding in the Istanbul Stock Exchange (ISE): A Case of Behavioural Finance. African Journal Of Business Management, 5(27), 11210-11218.
  • Kim, W. & Wei, S. J. (2002a). Foreign Portfolio Investors Before and During a Crisis. Journal of International Economics, 56(1), 77-96.
  • Kim, W. & Wei, S. J. (2002b) “Offshore Investment Funds: Monsters in Emerging Markets?” Journal of Development Economics, 68(1), 205–224.
  • Gavriilidis, K. & Kallinterakis, V. (2021). Herding in Imperial Russia: Evidence from the St. Petersburg Stock Exchange (1865–1914), Journal of Behavioural Finance, 1-15.
  • Lakonishok, J., Shleifer, A. & Vishny, R. W. (1992). The Impact of Institutional Trading on Stock Prices. Journal of Financial Economics, 32(1), 23–43.
  • Mobarek, A., Mollah, S. & Keasey, K. (2014). A Cross-Country Analysis of Herd Behaviour in Europe. Journal of International Financial Markets, Institutions and Money, 32, 107–127.
  • Wang, D. (2008). Herd Behaviour Towards the Market Index: Evidence from 21 Financial Markets. IESE Business School Working Paper, 776, 1-41. Erişim Tarihi: 17.01.2022, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1316783.

HERDING BEHAVIOUR IN EMERGING MARKETS: EVIDENCE FROM BIST

Year 2022, Volume: 2022 Issue: 1, 16 - 26, 27.04.2022

Abstract

The study investigates the herding behaviour in the Borsa Istanbul (BIST) market under different market and economic conditions, focusing on the 2008 global financial crisis and data spanning from January 2005 to December 2018. For estimating herding behaviour, two regression models are used: The Cross-Sectional Standard Deviation (CSSD) model developed by Christie & Huang (1995) and the Cross-Sectional Absolute Deviation (CSAD) model developed by Chang et al. (2000). The findings show that herd behaviour does not exist in BIST, except for special cases, based on daily stock data. The BIST determined low volatility, low trading volume, the financial crisis, and herd behaviour. It was also determined that Taper Tantrum that took place in 2013 did not trigger herd behaviour.

References

  • Banerjee, A. V. (1992). A Simple Model of Herd Behaviour. The Quarterly Journal of Economics, 107(3), 797–817.
  • Bikhchandani, S. & Sharma, S. (2000). Herd Behaviour in Financial Markets. IMF Economic Review, 47(3), 279-310.
  • Cajueiro, D. O. & Tabak, B. M. (2009). Multifractality and Herding Behaviour in the Japanese Stock Market. Chaos, Solitons & Fractals, 40(1), 497–504.
  • Chang, E. C, Cheng, J.W. & Khorana, A. (2000). An Examination of Herd Behaviour in Equity Markets: An International Perspective. Journal of Banking & Finance, 24(10), 1651–1679.
  • Chevalier, J. & Ellison, G. (1999). Career Concerns of Mutual Fund Managers. The Quarterly Journal of Economics, 114(2), 389–432.
  • Chiang, T. C. & Zheng, D. (2010). An Empirical Analysis of Herd Behaviour in Global Stock Markets. Journal of Banking & Finance, 34(8), 1911–1921.
  • Choe, H., Kho, B. C. & Stulz, R. M. (1998). Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997. Journal of Financial Economics, 54(2), 227-264.
  • Christie, W. G. & Huang, R. D. (1995). Following the Pied Piper: Do Individual Returns Herd around the Market?. Financial Analysts Journal, 51(4), 31–37.
  • Demirer, R., Gubo, D. & Kutan, A. M. (2007). An Analysis of Cross-Country Herd Behaviour in Stock Markets: a Regional Perspective. Journal of International Financial Markets, Institutions and Money, 3(1), 123–142.
  • Demirer, R. & Kutan, A. M. (2006). Does Herding Behavior Exist in Chinese Stock Markets?. Journal of international Financial markets, Institutions and Money, 16(2), 123-142.
  • Doğukanlı, H. & Ergün, B. (2015). BIST’te Sürü Davranışı: Hwang ve Salmon Yöntemi ile Bir Araştırma. Finans Politik & Ekonomik Yorumlar, 52(603), 7–24.
  • Doğukanlı, H. & Ergün, B. (2011). İMKB’de Sürü Davranışı: Yatay Kesit Değişkenlik Temelinde Bir Araştırma. Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi, 12(2), 227–242.
  • Gelos, R. G. & Borensztein, E. (2000). A Panic-Prone Pack? the Behaviour of Emerging Market Mutual Funds. IMF Working Papers, 2000(198), International Monetary Fund.
  • Hwang, S. & Salmon, M. (2004). Market Stress and Herding. Journal of Empirical Finance, 11(4), 585–616.
  • Kapusuzoglu, A. (2011). Herding in the Istanbul Stock Exchange (ISE): A Case of Behavioural Finance. African Journal Of Business Management, 5(27), 11210-11218.
  • Kim, W. & Wei, S. J. (2002a). Foreign Portfolio Investors Before and During a Crisis. Journal of International Economics, 56(1), 77-96.
  • Kim, W. & Wei, S. J. (2002b) “Offshore Investment Funds: Monsters in Emerging Markets?” Journal of Development Economics, 68(1), 205–224.
  • Gavriilidis, K. & Kallinterakis, V. (2021). Herding in Imperial Russia: Evidence from the St. Petersburg Stock Exchange (1865–1914), Journal of Behavioural Finance, 1-15.
  • Lakonishok, J., Shleifer, A. & Vishny, R. W. (1992). The Impact of Institutional Trading on Stock Prices. Journal of Financial Economics, 32(1), 23–43.
  • Mobarek, A., Mollah, S. & Keasey, K. (2014). A Cross-Country Analysis of Herd Behaviour in Europe. Journal of International Financial Markets, Institutions and Money, 32, 107–127.
  • Wang, D. (2008). Herd Behaviour Towards the Market Index: Evidence from 21 Financial Markets. IESE Business School Working Paper, 776, 1-41. Erişim Tarihi: 17.01.2022, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1316783.
There are 21 citations in total.

Details

Primary Language English
Journal Section 2022:1 Papers
Authors

Kerim Eser Afşar 0000-0002-9853-0186

Utku Akseki 0000-0002-8426-1296

Zakayo Samson Kisava This is me

Early Pub Date April 27, 2022
Publication Date April 27, 2022
Published in Issue Year 2022 Volume: 2022 Issue: 1

Cite

APA Afşar, K. E., Akseki, U., & Kisava, Z. S. (2022). HERDING BEHAVIOUR IN EMERGING MARKETS: EVIDENCE FROM BIST. Sosyal Bilimler Metinleri, 2022(1), 16-26.
AMA Afşar KE, Akseki U, Kisava ZS. HERDING BEHAVIOUR IN EMERGING MARKETS: EVIDENCE FROM BIST. Sosyal Bilimler Metinleri. April 2022;2022(1):16-26.
Chicago Afşar, Kerim Eser, Utku Akseki, and Zakayo Samson Kisava. “HERDING BEHAVIOUR IN EMERGING MARKETS: EVIDENCE FROM BIST”. Sosyal Bilimler Metinleri 2022, no. 1 (April 2022): 16-26.
EndNote Afşar KE, Akseki U, Kisava ZS (April 1, 2022) HERDING BEHAVIOUR IN EMERGING MARKETS: EVIDENCE FROM BIST. Sosyal Bilimler Metinleri 2022 1 16–26.
IEEE K. E. Afşar, U. Akseki, and Z. S. Kisava, “HERDING BEHAVIOUR IN EMERGING MARKETS: EVIDENCE FROM BIST”, Sosyal Bilimler Metinleri, vol. 2022, no. 1, pp. 16–26, 2022.
ISNAD Afşar, Kerim Eser et al. “HERDING BEHAVIOUR IN EMERGING MARKETS: EVIDENCE FROM BIST”. Sosyal Bilimler Metinleri 2022/1 (April 2022), 16-26.
JAMA Afşar KE, Akseki U, Kisava ZS. HERDING BEHAVIOUR IN EMERGING MARKETS: EVIDENCE FROM BIST. Sosyal Bilimler Metinleri. 2022;2022:16–26.
MLA Afşar, Kerim Eser et al. “HERDING BEHAVIOUR IN EMERGING MARKETS: EVIDENCE FROM BIST”. Sosyal Bilimler Metinleri, vol. 2022, no. 1, 2022, pp. 16-26.
Vancouver Afşar KE, Akseki U, Kisava ZS. HERDING BEHAVIOUR IN EMERGING MARKETS: EVIDENCE FROM BIST. Sosyal Bilimler Metinleri. 2022;2022(1):16-2.