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Sermaye Piyasasında Sürü Davranışı: İMKB'de Piyasa Yönünde Sürü Davranışının Analizi

Year 2008, Volume: 2 Issue: 1, 27 - 58, 01.06.2008

Erdinç Altay

Keywords

Sürü Davranışı Davrasnışsal Finans

References

  • Buguk, C. ve Brorsen, B. W. (2003). Testing weak-form market efficiency: Evi- dence from the Istanbul Stock Exchange, International Review of Financial Analysis, 12:579-590.
  • Bulow, J., Geankoplos, J. ve Klemperer, P. (1985). Multimarket Oligopoly: Stra- tegic Substitutes and Complements, Journal of Political Economy,93 (3):488- 511.
  • Caparrelli, F., D’Arcangelis, A.M. ve Cassuto , A. (2004). Herding in the Italian Stock Market: A Case of Behavioral Finance, Journal of Behavioral Finance, 5: 222-230.
  • and Herding of Earnings Forecasts, RAND Journal of Economics, 31: 121-144.
  • Huang, B.N. (1995). Do Asian Stock Market Prices Follow Random Walks? Evi- dence from the Variance Ratio Test, Applied Financial Economics, 5:251-256.
  • Hwang, S. ve Salmon, M. (2001a). A New Measure of Herding and Empirical Evidence, CUBS Financial Econometrics working Paper No: WP01-3, http://ssrn.com/abstract=299919, (Eriflim tarihi: 05.03.2007 ).
  • Hwang, S. ve Salmon, M. (2001b). Market Stress and Herding, Journal of Em- pirical Finance, 11: 585-616.
  • Kahn, R.N. (2004). What Investors can Learn from a Very Alternative Market, Financial Analysts Journal, 60: 17-20.
  • Kahneman, D. ve Tversky, A. (1979). Prospect Theory: An Analysis of Decision Under Risk, Econometrica, 47: 263-291.
  • Kultti, K. ve Miettinen, P. (2006). Herding with Costly Information, Internatio- nal Game Theory Review, 8: 21-31.
  • Lakanishok, J., Shleifer, A. ve Vishny R.W. (1992). The Impact of Institutional Trading on Stock Prices, Journal of Financial Economics, 32: 23-43.
  • Lamont, O.A. (2002). Macroeconomic Forecasts and Microeconomic Forecas- ters, 48: 265-280.
  • Tan, Lin, Chiang, T.C., Mason J.R. ve Nelling E. (2008). Herding behavior in Chi- nese stock markets: An examination of A and B shares, Pacific-Basin Finance Jo- urnal, 16:61-77.
  • Löffler, G.. (1998). Biasis in Analysts Forecasts:Cognitive, Strategic or Second Best?, International Journal of Forecasting, 14: 261-275.
  • Morris, S. ve Shin, H.S. (1999). Risk Management with Interdepedent Choice, Oxford Review of Economic Policy, 15 (3): 52-62.
  • Park, A. ve Sabourian, H. (2006). Herd Behavior in Efficient Financial Markets, working paper, http://www.chass.utoronto.ca/~apark/papers/herding.pdf, (Eriflim tarihi: 05.03.2007 ).
  • Persaud, A. (2000). Sending the Herd off the Cliff Edge: The Disturbing Interac- tion between Herding and Market-Sensitive Risk Management Practices, in Jac- ques de Larosiere Essays on Global Finance, Washington: Institute of Interna- tional Finance.
  • Pons, J. (2003). Strategic Bias, Herding Behaviour and Economic Forecasts, Jo- urnal of Forecasting, 22: 67-77.
  • Prechter, R.R.(2001). Unconcscious Herding Behavior as the Psychological Basis of Financial Market Trends and Patterns, The Journal of Psychology and Finan- cial Markets, 2 (3): 120-125.
  • Prendergast, C. ve Stole, L. (1996). Impetuous Youngters and Jaded Old-Ti- mers: Acquiring a Reputation for Learning, Journal of Political Economy, 104 (6): 1105-1134.
  • Scharfstein, D. ve Stein, J. (1990). Herd Behavior and Investment, American Economic Review, 80: 465-479.
  • Shiller, R.J. (1990). Investor Behavior in the October 1987 Stock Market Crash: Survey Evidence, in Market Volatility, Cambridge: Massachusetts: MIT Press.
  • Suto, M. ve Toshino, M. (2005). Behavioural Biases of Japanese Institutional In- vestors: Fund Management and Corporate Governance, Corporate Governan- ce, 13: 466-477.
  • Trueman, B. (1994). Analyst Forecast and Herding Behavior, Review of Financi- al Studies, 7: 97-124.
  • Urritia, J.L. (1995). Tests of Random-Walk and Market Efficiency for Latin Ame- rican Emerging Markets, Journal of Financial Research, 18:299-309.
  • Wang, D. ve Canela, M. (2006). Herd Behavior towards the Market Index: Evi- dence from 21 Financial Markets, working paper, http://www.fma.org/Barce- lona/Papers/ Herding_towards_the_market_index.pdf , (Eriflim tarihi: 05.03.2007).
  • Welch, I. (1992). Sequental Sales, Learning and Cascades, Journal of Finance, 47: 695-732.
  • Welch, I. (2000). Herding among Security Analysts, Journal of Financial Econo- mics, 58: 369-396.
  • Wermers, R. (1995). Herding, Trade Reversals, and Cascading by Institutional Investors, working paper: University of Colorado, Boulder.
  • Worthington, A. C. ve Higgs, H. (2003). “Tests of random walks and market ef- ficiency in Latin American stock markets: An empirical note”, Discussion Paper No. 157. Technical Report, School of Economics and Finance, Queensland Uni- versity of Technology.
  • Zweibel, J. (1995). “Corporate Conservatism and Relative Compensation”, Jour- nal of Political Economy, 103 (1): 1-25.

Herding in Capital Markets: Analysis of Herding Towardsthe Market in ISE

Year 2008, Volume: 2 Issue: 1, 27 - 58, 01.06.2008

Erdinç Altay

Keywords

Herding Behavior Behavioral Finance

References

  • Buguk, C. ve Brorsen, B. W. (2003). Testing weak-form market efficiency: Evi- dence from the Istanbul Stock Exchange, International Review of Financial Analysis, 12:579-590.
  • Bulow, J., Geankoplos, J. ve Klemperer, P. (1985). Multimarket Oligopoly: Stra- tegic Substitutes and Complements, Journal of Political Economy,93 (3):488- 511.
  • Caparrelli, F., D’Arcangelis, A.M. ve Cassuto , A. (2004). Herding in the Italian Stock Market: A Case of Behavioral Finance, Journal of Behavioral Finance, 5: 222-230.
  • and Herding of Earnings Forecasts, RAND Journal of Economics, 31: 121-144.
  • Huang, B.N. (1995). Do Asian Stock Market Prices Follow Random Walks? Evi- dence from the Variance Ratio Test, Applied Financial Economics, 5:251-256.
  • Hwang, S. ve Salmon, M. (2001a). A New Measure of Herding and Empirical Evidence, CUBS Financial Econometrics working Paper No: WP01-3, http://ssrn.com/abstract=299919, (Eriflim tarihi: 05.03.2007 ).
  • Hwang, S. ve Salmon, M. (2001b). Market Stress and Herding, Journal of Em- pirical Finance, 11: 585-616.
  • Kahn, R.N. (2004). What Investors can Learn from a Very Alternative Market, Financial Analysts Journal, 60: 17-20.
  • Kahneman, D. ve Tversky, A. (1979). Prospect Theory: An Analysis of Decision Under Risk, Econometrica, 47: 263-291.
  • Kultti, K. ve Miettinen, P. (2006). Herding with Costly Information, Internatio- nal Game Theory Review, 8: 21-31.
  • Lakanishok, J., Shleifer, A. ve Vishny R.W. (1992). The Impact of Institutional Trading on Stock Prices, Journal of Financial Economics, 32: 23-43.
  • Lamont, O.A. (2002). Macroeconomic Forecasts and Microeconomic Forecas- ters, 48: 265-280.
  • Tan, Lin, Chiang, T.C., Mason J.R. ve Nelling E. (2008). Herding behavior in Chi- nese stock markets: An examination of A and B shares, Pacific-Basin Finance Jo- urnal, 16:61-77.
  • Löffler, G.. (1998). Biasis in Analysts Forecasts:Cognitive, Strategic or Second Best?, International Journal of Forecasting, 14: 261-275.
  • Morris, S. ve Shin, H.S. (1999). Risk Management with Interdepedent Choice, Oxford Review of Economic Policy, 15 (3): 52-62.
  • Park, A. ve Sabourian, H. (2006). Herd Behavior in Efficient Financial Markets, working paper, http://www.chass.utoronto.ca/~apark/papers/herding.pdf, (Eriflim tarihi: 05.03.2007 ).
  • Persaud, A. (2000). Sending the Herd off the Cliff Edge: The Disturbing Interac- tion between Herding and Market-Sensitive Risk Management Practices, in Jac- ques de Larosiere Essays on Global Finance, Washington: Institute of Interna- tional Finance.
  • Pons, J. (2003). Strategic Bias, Herding Behaviour and Economic Forecasts, Jo- urnal of Forecasting, 22: 67-77.
  • Prechter, R.R.(2001). Unconcscious Herding Behavior as the Psychological Basis of Financial Market Trends and Patterns, The Journal of Psychology and Finan- cial Markets, 2 (3): 120-125.
  • Prendergast, C. ve Stole, L. (1996). Impetuous Youngters and Jaded Old-Ti- mers: Acquiring a Reputation for Learning, Journal of Political Economy, 104 (6): 1105-1134.
  • Scharfstein, D. ve Stein, J. (1990). Herd Behavior and Investment, American Economic Review, 80: 465-479.
  • Shiller, R.J. (1990). Investor Behavior in the October 1987 Stock Market Crash: Survey Evidence, in Market Volatility, Cambridge: Massachusetts: MIT Press.
  • Suto, M. ve Toshino, M. (2005). Behavioural Biases of Japanese Institutional In- vestors: Fund Management and Corporate Governance, Corporate Governan- ce, 13: 466-477.
  • Trueman, B. (1994). Analyst Forecast and Herding Behavior, Review of Financi- al Studies, 7: 97-124.
  • Urritia, J.L. (1995). Tests of Random-Walk and Market Efficiency for Latin Ame- rican Emerging Markets, Journal of Financial Research, 18:299-309.
  • Wang, D. ve Canela, M. (2006). Herd Behavior towards the Market Index: Evi- dence from 21 Financial Markets, working paper, http://www.fma.org/Barce- lona/Papers/ Herding_towards_the_market_index.pdf , (Eriflim tarihi: 05.03.2007).
  • Welch, I. (1992). Sequental Sales, Learning and Cascades, Journal of Finance, 47: 695-732.
  • Welch, I. (2000). Herding among Security Analysts, Journal of Financial Econo- mics, 58: 369-396.
  • Wermers, R. (1995). Herding, Trade Reversals, and Cascading by Institutional Investors, working paper: University of Colorado, Boulder.
  • Worthington, A. C. ve Higgs, H. (2003). “Tests of random walks and market ef- ficiency in Latin American stock markets: An empirical note”, Discussion Paper No. 157. Technical Report, School of Economics and Finance, Queensland Uni- versity of Technology.
  • Zweibel, J. (1995). “Corporate Conservatism and Relative Compensation”, Jour- nal of Political Economy, 103 (1): 1-25.
There are 31 citations in total.

Details

Primary Language Turkish
Journal Section Research Article
Authors

Erdinç Altay This is me

Publication Date June 1, 2008
Published in Issue Year 2008 Volume: 2 Issue: 1

Cite

APA Altay, E. (2008). Sermaye Piyasasında Sürü Davranışı: İMKB’de Piyasa Yönünde Sürü Davranışının Analizi. BDDK Bankacılık Ve Finansal Piyasalar Dergisi, 2(1), 27-58.