The Effect of the COVID-19 Pandemic on Borsa Istanbul Stock Indices: A Research on Herding Behavior

Year 2022, , 146 - 170, 29.07.2022

Nasıf Özkan , Kiymet Yavuzaslan

https://doi.org/10.51290/dpusbe.1093796

Cited By: 2

Abstract

During the COVID–19 pandemic, effective worldwide, there have been many developments in not only the health field but also the economy and finance. This study tested herding behavior in price movements in Borsa Istanbul (BIST) during the COVID–19 period. For this purpose, the cross-sectional absolute deviation of returns (CSAD) methodology developed by Chang, Cheng, and Khorana (2000) allowed us to analyze the cross-sectional behavior of stock returns in the same index. Considering the results obtained for the three periods, namely the pre-COVID–19 period, the COVID–19 period, and the entire period, herding behavior detected in the BIST 30 Index during the entire period and the COVID–19 period. Again, during the pandemic, we observed that investors acted with herding behavior only in BIST Dividend 25 and BIST Sustainability indices. In addition, we revealed the existence of herding behavior in BIST stock indices in both rising and falling market conditions for the COVID–19 period. Accordingly, we observed herding behavior in the indices that include the shares of firms with a small market capitalization in upmarket conditions (BIST All Shares–100 and BIST SME Industrial) and in indices that include the shares of firms with a high market capitalization in down-market conditions (BIST 30 and BIST 50).

Keywords

COVID-19, Herding Behavior, Borsa Istanbul, Bull and Bear Markets, Stock Indices

COVID–19 Salgınının Borsa İstanbul Pay Endekslerine Etkisi: Sürü Davranışı Üzerine Bir Araştırma

Abstract

Tüm dünyada etkili olan COVID–19 pandemi süresince sadece sağlık alanında değil ekonomi ve finans alanlarında da pek çok gelişme yaşanmıştır. Bu çalışmada, COVID–19 döneminde Borsa İstanbul’da (BİST) ortaya çıkan fiyat hareketlerinde sürü davranışının varlığı test edilmiştir. Bu amaçla çalışmada Chang, Cheng ve Khorana (2000) tarafından geliştirilen, aynı endekste yer alan pay getirilerinin yatay kesit davranışlarını analiz etmemizi sağlayan getirilerin yatay kesit mutlak sapması (CSAD) metodolojisi kullanılmıştır. COVID–19 öncesi dönem, COVID–19 dönemi ve tüm dönem olmak üzere üç döneme ilişkin elde edilen sonuçlar göz önüne alındığında, tüm dönemde ve COVID–19 salgını sırasında BİST 30 Endeksinde sürü davranışının varlığı tespit edilmiştir. Yine salgın süresince, sadece BİST Temettü 25 ve BİST Sürdürülebilirlik endekslerinde yatırımcıların sürü davranışı ile hareket ettiği görülmüştür. Ayrıca, daha çok COVID–19 dönemi için hem yükselen hem de düşen piyasa koşullarında BİST pay endekslerinde sürü davranışının varlığı ortaya koyulmuştur. Buna göre, yükselen piyasa koşullarında piyasa değeri küçük şirketlerin paylarının yer aldığı endekslerde (BİST Tüm–100 ve BİST KOBİ Sanayi), düşen piyasa koşullarında ise piyasa değeri yüksek şirketlerin paylarının yer aldığı endekslerde (BİST 30 ve BİST 50) sürü davranışı görülmüştür.

Keywords

COVID–19, Sürü Davranışı, Borsa İstanbul, Boğa ve Ayı Piyasası, Pay Endeksleri

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