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Emtia Futures Piyasalarında Sürü Davranışının Analizi

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

References

  • Adrangi, B. and Chatrath, A. (2008). ‘’Do commodity traders herd?.’’ Financial Review, 43(3), 461-476.
  • Ai, C., Chatrath, A., and Song, F. (2006). ‘’On the comovement of commodity prices.’’ American Journal of Agricultural Economics, 88(3), 574-588.
  • Algieri, B. (2016)."Conditional Price Volatility, Speculation, and Excessive Speculation in Comdodity Markets; Sheep or Sheep Behaviour?",International Review Of Applied Economics, 30(2), 210-237.
  • Altay, Erdinç (2008) "Sermaye Piyasasında Sürü Davranışı: İMKB’de Piyasa Yönünde Sürü Davranışının Analizi", BDDK Bankacılık ve Finansal Piyasalar, 2 (1), 27-58.
  • Arjun Chatrath, Sanjay Ramchander ve Frank Song (1998)."Speculative Activity and Stock Market Volatility", Journal of Economics and Business, 50(4), 323–337.
  • Babalos, V., and Stavroyiannis, S. (2015). ‘’Herding, anti-herding behaviour in metal commodities futures: a novel portfolio-based approach.’’ Applied Economics, 47(46), 4952-4966.
  • Bİkhchandani, S. ve Sharma, S. (2001). "Herd Behavior in Financial Markets",IMf Staff Paper, 47(3), 279-310.
  • Boyd, N. E., Büyükşahin, B., Haigh, M. S., and Harris, J. H. (2016). ‘’The prevalence, sources, and effects of herding.’’ Journal of Futures Markets, 36(7), 671-694.
  • Brunetti, C., Büyükşahin, B. ve Harris, J. H. (2015)."Speculators, prices, and market volatility", Journal of Financial and Quantitative Analysis, 51(5), 1545–1574.
  • Byre, J. P., Fazio, G., and Fiess, N. (2013)."Primary commodity prices: Co-movements, common factors and fundamentals",Journal of Development Economics 101, 16–26, s. 16-26.
  • Caparrelli, F., D'Arcangelis, A. M., and Cassuto, A. (2004). ‘’Herding in the Italian stock market: a case of behavioral finance.’’ The Journal of Behavioral Finance, 5(4), 222-230.
  • Chang E.C., Cheng J.W. and Khorana A.(2000). "An Examnation Of Herd Behaviorİn Equity MArkets: AN İnternational Perpective", Journal of Banking and Finance, 24, 1651-1679.
  • Choe, H., Kho, B.C. and Stulz,: R.M. (1999). "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 İndividual Returns Herd Around The Market", Financial Analysts Journal, 51(4), 31-37.
  • Deb P.,Trivedi P. K. and Varangis,P.(1996). "The Excess Co-movement Of Commodity prices Reconsidered",Journal Of Applied Econometrics, 11(3), 275-291.
  • Demirer, R., Lee, H. T., and Lien, D. (2015). ‘’Does the stock market drive herd behavior in commodity futures markets?.’’ International Review of Financial Analysis, 39, 32-44.
  • Economou, F., Kostakis, A., and Philippas, N. (2011). ‘’Cross-country effects in herding behaviour: Evidence from four south European markets.’’ Journal of International Financial Markets, Institutions and Money, 21(3), 443-460.
  • Erb, Claude B., Harvey, Campbell R. (2006) “The Strategic and Tactical Value of Commodity Futures.” Financial Analysts Journal, 62(2), 69-97.
  • Frank J.Fabozzi ve Pamela Peterson Drake (2009), Finance: Capital Markets, Financial Management and Investment Management, The Frank J.Fabozzi Series, John Wiley and Sons Inc.
  • Gleason, K. C., Lee, C. I., and Mathur, I. (2003). ‘’Herding behavior in European futures markets.’’ Finance Letters, 1(1), 5-8.
  • Gorton, Gary B. and K. Geert Rouwenhorst. (2006). "Facts and Fantasies about Commodity Futures",Financial Analysts Journal, 62(2), 47-68.
  • Groot, T. H. (2012). "The İmpact of Speculation in Commodity Markets",Universiteit van Tilburg. Financiering, 1-22.
  • Hwang, S. and Salmon, M. (2001). ‘’A new measure of herding and empirical evidence’’ financial econometrics research centre, WP01-12.
  • Hwang S., Salmon M.(2004). "Market Stress and Herding", Journal Of Empirical Finance,11(4),585-616.
  • Kahneman D. and Tversky A.(199). "Peospect Theory:An nalysis Of Decision Under Risk", Economtrica,47(2), 263-291
  • Lakonishok J., Schleifer A. and Vishny R.W.(1992). "The Impact ofInstitutional Trading On Stock Prices", Journal Financial economics,32(1), 23-43.
  • Lao P. and Singh H. (2011). “Herding Behavior in the Chinese and Indian Stock Markets,” Journal of Asian Economics, 22(6), 495-528.
  • Lascoroux, F. (2009). "On theexcessco-movement of commodity prices—A note about the role of Fundemental Factors İn Short-run Dynamics" 37(10), Energy Policy, 3906-3913.
  • Le pen, Y. and Sevi, B. (2018). "Futures Trading and the Excess Co-movement of Commodity Prices", R. O. Finance, 22(1), 381-418.
  • Lucey, B. M. and Handley, D. (2011). ‘’Time Varying Herding in European Financial and Banking Stocks:’’ 2001-2011.
  • Miffre, J. and Brooks, C. (2013), "Do long-short speculators destabilize commodity futures markets?", International Review of Financial Analysis, 30, 230– 240.
  • Pierdzioch, C., Rülke, J. C. and Stadtmann, G. (2013). ‘’Forecasting metal prices: Do forecasters herd?.’’ Journal of Banking and Finance, 37(1), 150-158.
  • Pop, R. E. (2012). ‘’Herd behavior towards the market index: evidence from Romanian stock exchange.’’
  • Pindyck R.S., Rotemberg J.J.(1990). "The Excess Co-movement Of Commodity Prices",The Economc Journal, 100(403), 1173-1189.
  • Sanders, D. R., Irwin, S. H. and Merrin, R. P. (2008), “The Adequacy of Speculation in Agricultural Futures Markets: Too Much of a Good Thing?”, Marketing and Outlook Research Report 2008-02, Department of Agricultural and Consumer Economics, University of Illinois at Urbana-Champaign
  • Stein, J.C. (1987). "Informational Externalities and WelfareReducing Speculation", Journal of Political Economy, 95(6), 1123–1145.
  • Stephenson, J. (2013). Emtia Yatırımcılığının Küçük Kitabı. İstanbul: Optimist.
  • Singhal Shelly, (2017)."Emergence of Commodity derivatives As Defensive İnstrement in Portfolio Risk Hedging:A Case of Indian Commodity Markets", Studies in Business and Economics, 12(1), 202-235.
  • Tang, K. and Xiong, W. (2012). "Index İnvestment and the Financialization of Commodities",Financial Analysts Journal,68(5), 54-74.
  • Till, H. (2009). "Has there been excessive speculation in the u.s. oil futures markets? what can we (carefully) conclude from new cftc data?",EDHEC-Risk Institute, 1-17
  • UNCTAD (2012), "Development and Globalization: Facts and Figures", United Nations Conference on Trade and Development, 40-41.
  • Wang, D. and Canela, M. (2006). "Herd Behavior towards the Market Index:Evidence from 21 Financial Markets",working paper, http://www.fma.org/Barcelona/Papers/Herding_towards_the_ market _ index.pdf
  • Weiner, R. J. (2002). "Sheep in Wolves Clothing? Speculators and Price Volatility in Petroleum Future",Quartely Review of Economics and Fiance, 42(2), 391-400.

Analysis of Herd Behavior In Commodity Futures Markets

Year 2019, Volume: 7 Issue: 1, 37 - 54, 30.06.2019
https://doi.org/10.17093/alphanumeric.477589

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.

References

  • Adrangi, B. and Chatrath, A. (2008). ‘’Do commodity traders herd?.’’ Financial Review, 43(3), 461-476.
  • Ai, C., Chatrath, A., and Song, F. (2006). ‘’On the comovement of commodity prices.’’ American Journal of Agricultural Economics, 88(3), 574-588.
  • Algieri, B. (2016)."Conditional Price Volatility, Speculation, and Excessive Speculation in Comdodity Markets; Sheep or Sheep Behaviour?",International Review Of Applied Economics, 30(2), 210-237.
  • Altay, Erdinç (2008) "Sermaye Piyasasında Sürü Davranışı: İMKB’de Piyasa Yönünde Sürü Davranışının Analizi", BDDK Bankacılık ve Finansal Piyasalar, 2 (1), 27-58.
  • Arjun Chatrath, Sanjay Ramchander ve Frank Song (1998)."Speculative Activity and Stock Market Volatility", Journal of Economics and Business, 50(4), 323–337.
  • Babalos, V., and Stavroyiannis, S. (2015). ‘’Herding, anti-herding behaviour in metal commodities futures: a novel portfolio-based approach.’’ Applied Economics, 47(46), 4952-4966.
  • Bİkhchandani, S. ve Sharma, S. (2001). "Herd Behavior in Financial Markets",IMf Staff Paper, 47(3), 279-310.
  • Boyd, N. E., Büyükşahin, B., Haigh, M. S., and Harris, J. H. (2016). ‘’The prevalence, sources, and effects of herding.’’ Journal of Futures Markets, 36(7), 671-694.
  • Brunetti, C., Büyükşahin, B. ve Harris, J. H. (2015)."Speculators, prices, and market volatility", Journal of Financial and Quantitative Analysis, 51(5), 1545–1574.
  • Byre, J. P., Fazio, G., and Fiess, N. (2013)."Primary commodity prices: Co-movements, common factors and fundamentals",Journal of Development Economics 101, 16–26, s. 16-26.
  • Caparrelli, F., D'Arcangelis, A. M., and Cassuto, A. (2004). ‘’Herding in the Italian stock market: a case of behavioral finance.’’ The Journal of Behavioral Finance, 5(4), 222-230.
  • Chang E.C., Cheng J.W. and Khorana A.(2000). "An Examnation Of Herd Behaviorİn Equity MArkets: AN İnternational Perpective", Journal of Banking and Finance, 24, 1651-1679.
  • Choe, H., Kho, B.C. and Stulz,: R.M. (1999). "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 İndividual Returns Herd Around The Market", Financial Analysts Journal, 51(4), 31-37.
  • Deb P.,Trivedi P. K. and Varangis,P.(1996). "The Excess Co-movement Of Commodity prices Reconsidered",Journal Of Applied Econometrics, 11(3), 275-291.
  • Demirer, R., Lee, H. T., and Lien, D. (2015). ‘’Does the stock market drive herd behavior in commodity futures markets?.’’ International Review of Financial Analysis, 39, 32-44.
  • Economou, F., Kostakis, A., and Philippas, N. (2011). ‘’Cross-country effects in herding behaviour: Evidence from four south European markets.’’ Journal of International Financial Markets, Institutions and Money, 21(3), 443-460.
  • Erb, Claude B., Harvey, Campbell R. (2006) “The Strategic and Tactical Value of Commodity Futures.” Financial Analysts Journal, 62(2), 69-97.
  • Frank J.Fabozzi ve Pamela Peterson Drake (2009), Finance: Capital Markets, Financial Management and Investment Management, The Frank J.Fabozzi Series, John Wiley and Sons Inc.
  • Gleason, K. C., Lee, C. I., and Mathur, I. (2003). ‘’Herding behavior in European futures markets.’’ Finance Letters, 1(1), 5-8.
  • Gorton, Gary B. and K. Geert Rouwenhorst. (2006). "Facts and Fantasies about Commodity Futures",Financial Analysts Journal, 62(2), 47-68.
  • Groot, T. H. (2012). "The İmpact of Speculation in Commodity Markets",Universiteit van Tilburg. Financiering, 1-22.
  • Hwang, S. and Salmon, M. (2001). ‘’A new measure of herding and empirical evidence’’ financial econometrics research centre, WP01-12.
  • Hwang S., Salmon M.(2004). "Market Stress and Herding", Journal Of Empirical Finance,11(4),585-616.
  • Kahneman D. and Tversky A.(199). "Peospect Theory:An nalysis Of Decision Under Risk", Economtrica,47(2), 263-291
  • Lakonishok J., Schleifer A. and Vishny R.W.(1992). "The Impact ofInstitutional Trading On Stock Prices", Journal Financial economics,32(1), 23-43.
  • Lao P. and Singh H. (2011). “Herding Behavior in the Chinese and Indian Stock Markets,” Journal of Asian Economics, 22(6), 495-528.
  • Lascoroux, F. (2009). "On theexcessco-movement of commodity prices—A note about the role of Fundemental Factors İn Short-run Dynamics" 37(10), Energy Policy, 3906-3913.
  • Le pen, Y. and Sevi, B. (2018). "Futures Trading and the Excess Co-movement of Commodity Prices", R. O. Finance, 22(1), 381-418.
  • Lucey, B. M. and Handley, D. (2011). ‘’Time Varying Herding in European Financial and Banking Stocks:’’ 2001-2011.
  • Miffre, J. and Brooks, C. (2013), "Do long-short speculators destabilize commodity futures markets?", International Review of Financial Analysis, 30, 230– 240.
  • Pierdzioch, C., Rülke, J. C. and Stadtmann, G. (2013). ‘’Forecasting metal prices: Do forecasters herd?.’’ Journal of Banking and Finance, 37(1), 150-158.
  • Pop, R. E. (2012). ‘’Herd behavior towards the market index: evidence from Romanian stock exchange.’’
  • Pindyck R.S., Rotemberg J.J.(1990). "The Excess Co-movement Of Commodity Prices",The Economc Journal, 100(403), 1173-1189.
  • Sanders, D. R., Irwin, S. H. and Merrin, R. P. (2008), “The Adequacy of Speculation in Agricultural Futures Markets: Too Much of a Good Thing?”, Marketing and Outlook Research Report 2008-02, Department of Agricultural and Consumer Economics, University of Illinois at Urbana-Champaign
  • Stein, J.C. (1987). "Informational Externalities and WelfareReducing Speculation", Journal of Political Economy, 95(6), 1123–1145.
  • Stephenson, J. (2013). Emtia Yatırımcılığının Küçük Kitabı. İstanbul: Optimist.
  • Singhal Shelly, (2017)."Emergence of Commodity derivatives As Defensive İnstrement in Portfolio Risk Hedging:A Case of Indian Commodity Markets", Studies in Business and Economics, 12(1), 202-235.
  • Tang, K. and Xiong, W. (2012). "Index İnvestment and the Financialization of Commodities",Financial Analysts Journal,68(5), 54-74.
  • Till, H. (2009). "Has there been excessive speculation in the u.s. oil futures markets? what can we (carefully) conclude from new cftc data?",EDHEC-Risk Institute, 1-17
  • UNCTAD (2012), "Development and Globalization: Facts and Figures", United Nations Conference on Trade and Development, 40-41.
  • Wang, D. and Canela, M. (2006). "Herd Behavior towards the Market Index:Evidence from 21 Financial Markets",working paper, http://www.fma.org/Barcelona/Papers/Herding_towards_the_ market _ index.pdf
  • Weiner, R. J. (2002). "Sheep in Wolves Clothing? Speculators and Price Volatility in Petroleum Future",Quartely Review of Economics and Fiance, 42(2), 391-400.
There are 43 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

İsmail Atacan 0000-0002-6995-5003

Erdinç Altay 0000-0002-4461-3891

Publication Date June 30, 2019
Submission Date November 1, 2018
Published in Issue Year 2019 Volume: 7 Issue: 1

Cite

APA Atacan, İ., & Altay, E. (2019). Emtia Futures Piyasalarında Sürü Davranışının Analizi. Alphanumeric Journal, 7(1), 37-54. https://doi.org/10.17093/alphanumeric.477589

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