COVID-19’UN SÜRÜ DAVRANIŞI ÜZERİNDEKİ ETKİSİ: GELİŞMEKTE OLAN AFRİKA ÜLKELERİ ÖRNEĞİ

Abstract

Tüm dünyayı etkisi altına alan Koronavirüs Hastalığının (COVID-19) ortaya çıkmasıyla finansal piyasalar üzerinde de şok etkisi yaratmıştır. Korku ve paniğe kapılan yatırımcılar rasyonel bir karar verememiştir ve diğer yatırımcıların almış oldukları kararları taklit etmeye çalışmışlardır. Etkin piyasalar hipotezinden farklı olarak yatırımcılar bu süreçte sürü davranışı göstermiştir. Bu nedenle, bu makale COVID-19’un gelişmekte olan Afrika pazarlarında sürü davranışını artırıp artırmadığını araştırmaktadır. Çalışmada Johannesburg ve Mısır Borsaları 04 Ocak 2010- 30 Haziran 2020 yılları arasında örneklem olarak kullanılmıştır. Analiz sonuçlarına göre COVID-19 döneminde güçlü bir sürü davranış görüldüğü ortaya çıkmıştır. Farklı alt periyotlarda da bulduğumuz sonuç doğrulanmıştır. Çalışmanın sonucu, bireysel ve kurumsal yatırımcıların yanı sıra finansal düzenleyicilerin sürü davranışını önlemeye yönelik bir çözüm bulmasına yardımcı olması açısından önemlidir.

Keywords

• COVID-19
• Sürü Davranışı
• Güney Afrika
• Mısır

THE EFFECT OF COVID-19 ON HERDING BEHAVIOR: EVIDENCE FROM AFRICAN EMERGING MARKETS

Abstract

The emergence of Coronavirus Disease (COVID-19) pandemic, which spread all over the world, created a shock effect on financial markets as in all areas. With fear and panic, investors couldn’t make rational decisions and tried to imitate what other investors were doing. Unlike the idea of the efficient market hypothesis, investors showed herd behavior during the emergence of the pandemic. Hence, this paper investigates whether COVID-19 increased herding behavior in African emerging markets. We use a sample from the Johannesburg Stock Exchanges (JSE) and the Egyptian Exchange (EGX) for the period from January 4, 2010, to June 30, 2020. We find strong evidence of the presence of herding behavior in both stock markets during the COVID-19 period. Robust results are found in different sub-periods. The result of the study is important to help individual and institutional investors as well as financial regulators to find a solution to prevent herd behavior.

Keywords

• COVID-19
• Herding Behavior
• South Africa
• Egypt

References

1. AKHTARUZZAMAN, M., BOUBAKER, S. and SENSOY, A. (2020). Financial Contagion during COVID–19 Crisis. Finance Research Letters. https://doi.org/10.1016/j.frl.2020.101604
2. ALI, M., ALAM, N. and RIZVI, S. A. R. (2020). Coronavirus (COVID-19) - An Epidemic or Pandemic for Financial Markets. Journal of Behavioral and Experimental Finance, 27, 1–6. https://doi.org/10.1016/j.jbef.2020.100341
3. ASHRAF, B. N. (2020a). Economic Impact of Government Interventions during the COVID-19 Pandemic: International Evidence from Financial Markets. Journal of Behavioral and Experimental Finance, 27, 1–9. https://doi.org/10.1016/j.jbef.2020.100371
4. ASHRAF, B. N. (2020b). Stock Markets’ Reaction to COVID-19: Cases or Fatalities? Research in International Business and Finance, 54, 1–7. https://doi.org/10.1016/j.ribaf.2020.101249
5. ASHRAF, B. N. (2020c). Stock markets’ reaction to Covid-19: Moderating Role of National Culture. Finance Research Letters, 1–20. https://doi.org/10.1016/j.frl.2020.101857
6. BAIG, A. S., BUTT, H. A., HAROON, O. and RIZVI, S. A. R. (2020). Deaths, Panic, Lockdowns and US Equity Markets: The Case of COVID-19 Pandemic. Finance Research Letters, (July). https://doi.org/10.1016/j.frl.2020.101701
7. BHARTI, and KUMAR, A. (2022). Exploring Herding Behaviour in Indian Equity Market during COVID-19 Pandemic: Impact of Volatility and Government Response. Millennial Asia, 13(3), 513–531. https://doi.org/10.1177/09763996211020687
8. BOGDAN, S., SUŠTAR, N. and DRAŽENOVIĆ, B. O. (2022). Herding Behavior in Developed, Emerging, and Frontier European Stock Markets during COVID-19 Pandemic. Journal of Risk and Financial Management, 15(9). https://doi.org/10.3390/jrfm15090400

9. CEPOI, C. O. (2020). Asymmetric Dependence between Stock Market Returns and News during COVID-19 Financial Turmoil. Finance Research Letters, 36, 1–5. https://doi.org/10.1016/j.frl.2020.101658
10. CHANG, C. L., MCALEER, M. and WANG, Y. A. (2020). Herding Behaviour in Energy Stock Markets during the Global Financial Crisis, SARS, and ongoing COVID-19. Renewable and Sustainable Energy Reviews, 134, 1–15. https://doi.org/10.1016/j.rser.2020.110349
11. CHANG, E. C., CHENG, J. W. and KHORANA, A. (2000). An Examination of Herd Behavior in Equity Markets: An International Perspective. Journal of Banking and Finance, 24(10), 1651–1679. https://doi.org/10.1016/S0378-4266(99)00096-5
12. CHIANG, T. C. and ZHENG, D. (2010). An Empirical Analysis of Herd Behavior in Global Stock Markets. Journal of Banking and Finance, 34, 1911–1921. https://doi.org/10.1016/j.jbankfin.2009.12.014
13. CHRISTIE, W. G. and HUANG, R. D. (1995). Following the Pied Piper: Do Individual Returns Herd around the Market? Financial Analysts Journal, 51(4), 31–37.
14. DHALL, R. and SINGH, B. (2020). The COVID-19 pandemic and herding behaviour: Evidence from India’s stock market. Millennial Asia, 11(3), 366–390. https://doi.org/10.1177/0976399620964635
15. ECONOMOU, F., KATSIKAS, E. and VICKERS, G. (2016). Testing for herding in the Athens Stock Exchange during the crisis period. Finance Research Letters, 18, 334–341. https://doi.org/10.1016/j.frl.2016.05.011
16. ERDOGAN, H. H. (2021). Beta Herding in the Covid-19 Era: Evidence from Borsa Istanbul. Business and Economics Research Journal, 12(2), 359–368. https://doi.org/10.20409/berj.2021.326
17. ESPINOSA-MÉNDEZ, C. and ARIAS, J. (2021a). COVID-19 effect on herding behaviour in European capital markets. Finance Research Letters. https://doi.org/10.1016/j.frl.2020.101787
18. ESPINOSA-MÉNDEZ, C. and ARIAS, J. (2021b). Herding behaviour in Australian stock market: Evidence on COVID-19 effect. Applied Economics Letters. https://doi.org/10.1080/13504851.2020.1854659
19. FANG, H., CHUNG, C. P., LEE, Y. H. and YANG, X. (2021). The effect of COVID-19 on herding behavior in Eastern European stock markets. Frontiers in Public Health, 9(July), 1–9. https://doi.org/10.3389/fpubh.2021.695931
20. GUNEY, Y., KALLINTERAKIS, V. and KOMBA, G. (2017). Herding in frontier markets: Evidence from African stock exchanges. Journal of International Financial Markets, Institutions and Money, 47, 152–175. https://doi.org/10.1016/j.intfin.2016.11.001
21. JIANG, R., WEN, C., ZHANG, R. and CUI, Y. (2022). Investor’s herding behavior in Asian equity markets during COVID-19 period. Pacific Basin Finance Journal, 73, 101771. https://doi.org/10.1016/j.pacfin.2022.101771
22. KIZYS, R., TZOUVANAS, P. and DONADELLI, M. (2021). From COVID-19 herd immunity to investor herding in international stock markets: The role of government and regulatory restrictions. International Review of Financial Analysis, 74(December 2020). https://doi.org/10.1016/j.irfa.2021.101663
23. KURZ, C. and KURZ-KIM, J. R. (2013). What determines the dynamics of absolute excess returns on stock markets? Economics Letters, 118(2), 342–346. https://doi.org/10.1016/j.econlet.2012.11.029
24. MOBAREK, A., MOLLAH, S. and KEASEY, K. (2014). A cross-country analysis of herd behavior in Europe. Journal of International Financial Markets, Institutions and Money, 32(1), 107–127. https://doi.org/10.1016/j.intfin.2014.05.008
25. SHILLER, R. J. (1987). Investor behavior in the October 1987 stock market crash: Survey evidence (NBER Working Paper, w2446.
26. SHLEIFER, A. and SUMMERS, L. H. (1990). The noise trader approach to finance. The Journal of Economic Perspectives, 4(2), 19–33.
27. SUMMERS, L. H. (1986). Does the stock market rationally reflect fundamental values? Journal of Finance, 41(3), 591–601.
28. TAN, O. F. (2021). The Impact of news on Borsa Istanbul during COVID-19 financial turmoil. Türkiye İletişim Araştırmaları Dergisi/26306220, 37, 109–124. https://doi.org/10.17829/turcom.859299
29. TAN, L., CHIANG, T. C., MASON, J. R. and NELLING, E. (2008). Herding behavior in Chinese stock markets: An examination of A and B shares. Pacific-Basin Finance Journal, 16, 61–77. https://doi.org/10.1016/j.pacfin.2007.04.004
30. WAGNER, A. F. (2020). What the stock market tells us about the post-COVID-19 world. Nature Human Behaviour, 4(5), 440–440. https://doi.org/10.1038/s41562-020-0869
31. WEN, C., YANG, Z., & JIANG, R. (2022). Herding Behavior in Hong Kong Stock Market during the COVID-19 Period: A Systematic Detection Approach. Journal of Chinese Economic and Business Studies, 20(2), 159–170. https://doi.org/10.1080/14765284.2021.1948320
32. WU, G., YANG, B. and ZHAO, N. (2020). Herding behavior in Chinese stock markets during COVID-19. Emerging Markets Finance and Trade, 56(15), 3578–3587. https://doi.org/10.1080/1540496X.2020.1855138
33. YALÇIN, D. and AYBARS, A. (2022). Testing for herding behavior in Borsa Istanbul during the COVID-19 pandemic. Marmara Üniversitesi İktisadi ve Idari Bilimler Dergisi, 44(1), 36–52. https://doi.org/10.14780/muiibd.1135455
34. ZHANG, D., HU, M. and JI, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 36(March). https://doi.org/10.1016/j.frl.2020.101528