Emtia Futures Piyasalarında Sürü Davranışının Analizi

Year 2019, Volume: 7 Issue: 1, 37 - 54, 30.06.2019

İsmail Atacan , Erdinç Altay

https://doi.org/10.17093/alphanumeric.477589

Abstract

Yatırım karar sürecinde kendi bilgi ve görüşlerini göz ardı ederek diğerlerini taklit etmek olarak tanımlanan sürü davranışı, özellikle kriz dönemlerinde finansal piyasaların temel bir karakteristiği olabilmektedir. Bu çalışmanın temel amacı, sürü davranışının emtia futures piyasalarındaki olası varlığını 06.01.1998-07.06.2018 döneminde incelemektir. Çalışmada emtia futures sözleşmelerinin getiri oranlarının yatay kesit değişkenliğine dayanan Christie ve Huang (1995) ve Chang, Cheng ve Khorana (2000)’nın metodolojileri ile beta katsayılarının yatay kesit değişkenliğine dayalı olan Hwang ve Salmon (2004)’un yöntemi kullanılmıştır. Getirilerin yatay kesit değişkenlik ile piyasa getirileri arasındaki ilişkinin doğrusal olduğunu varsayan Christie ve Huang (1995)’ın yönteminden elde edilen bulgularda sürü davranışı görülmezken, bu ilişkinin doğrusal olmadığını savunan Chang, Cheng ve Khorana (2000) yönteminden elde edilen sonuçlar, emtia futures piyasasında sürü davranışının var olduğu hipotezini desteklemekte ve yatay kesit değişkenlik ile yüksek ve düşük getiri oranları arasındaki ilişkinin doğrusal olmadığını göstermektedir. Bulgular, özelikle piyasada artışların olduğu dönemlerde sürü davranışının etkilerinin daha belirgin olduğunu görülmektedir. Ayrıca, betaların yatay kesit değişkenliğine dayalı metodolojiden elde edilen bulgular da belirli dönemlerde sürü davranışının ortaya çıktığını göstermektedir.

Keywords

Emtia Futures Piyasaları, Sürü Davranışı, Davranışsal Finans

Analysis of Herd Behavior In Commodity Futures Markets

Abstract

The herd behavior which can be defined as ignoring self opinions and imitating the other investors in investment decision making process can be a fundamental characteristic of financial markets in crisis periods. The main purpose of the study is to examine the possible existence of the herd behavior in the commodity futures markets fort he period of 06.01.1998-07.06.2018. In this study, the methodologies of Christie and Huang (1995) and Chang, Cheng, and Khorana (2000), which are based on the cross-sectional variability of commodity futures contracts, and the Hwang and salmon (2004) method which is based on the cross-sectional variability of beta coefficients were implemented. As a result, the evidence obtained from the method of Christie and Huang (1995), which assumed a linear relation between cross-sectional variability and market returns, does not show herd behavior. On the other hand, the evidence obtained from the method of Chang, Cheng and Khorana (2000), who argue a nonlinear relation supports the hypothesis that there is a herd behavior in the commodity futures market and shows that the relationship between crosssectional variability and high and low rates of return is nonlinear. In particular, it is seen that the effects of herd behavior are more pronounced in the bullish periods of in the market. Furthermore, the findings obtained from the methodology based on the variability of the betas also show the presence of the herd behavior in certain periods.

Keywords

Commodity Futures Markets, Herd Behavior, Behavioral Finance

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