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KRİPTO PARA PİYASALARINDA SÜRÜ DAVRANIŞLARININ ANALİZİ: EN BÜYÜK KRİPTO PARA BİRİMLERİNDEN YENİ KANITLAR

Year 2023, Volume: 8 Issue: 1, 107 - 120, 31.03.2023
https://doi.org/10.29106/fesa.1216301

Abstract

Bu çalışmanın amacı kripto para getirilerinde sürü davranışının varlığının Chang vd. (2000) tarafından geliştirilen CSAD sürü davranışı ölçüm yöntemi kullanılarak araştırılmasıdır. Çalışmada piyasa büyüklüğü açısından en büyük sekiz kripto para birimi ile kripto para piyasasını temsilen MVDA endeksinin 06.12.2018-11.03.2022 dönemini kapsayan günlük kapanış verileri kullanılmaktadır. Araştırma sonucunda hem genel piyasa hem de aşağı ve yukarı piyasa durumlarına göre En Küçük Kareler (EKK) tahmin bulguları, kripto para piyasasında sürü karşıtı davranış (negatif sürü davranışı) durumunun varlığına ilişkin kanıtlar sunmaktadır. Diğer taraftan GARCH modeli sonuçları, aşağı piyasa durumunda sürü karşıtı davranış durumunun varlığı yönünde EKK tahmin sonucunu destekler nitelikte kanıtlar sunarken, diğer durumlarda istatistiksel olarak anlamsız sonuçlar sunmaktadır. Kripto para piyasalarında sürü karşıtı davranış ile ilgili kanıtların elde edilmesi, ilgili piyasada işlem yapanların piyasa çapında fikir birliği yapmadıklarını yani kendi değerlendirmelerine göre işlem yaptıklarını göstermektedir.

References

  • AJAZ, T. & KUMAR, A. S. (2018). Herding in Crypto-Currency Markets. Annals of Financial Economics, 13(2).
  • AMIRAT, A. & ALWAFI, W. (2020). Does Herding Behavior Exist in Cryptocurrency Market? Cogent Economics & Finance, 8(1), 1-10.
  • BALLIS, A. & DRAKOS, K. (2020). Testing for Herding in the Cryptocurrency Market. Finance Research Letters, 33, 101210.
  • BANERJEE, A. V. (1992). A Simple Model of Herd Behavior. The Quarterly Journal of Economics, 107(3), 797-817.
  • BASHIR, H. A., KUMAR, D. & SHILJAS, K. (2021). Investor Attention and Herding in The Cryptocurrency Market during the Covid-19 Pandemic. Applied Finance Letters, 10, 67-77.
  • BIKBCHANDANI, S., HIRSHLEIFER, D. & WELCH, I. (1992). A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades. Journal of Political Economy, 100(5), 992-1026.
  • BIKHCHANDANI, S. & SHARMA, S. (2001). Herd Behavior in Financial Markets. IMF Staff Papers, 47(3).
  • BOLLERSLEV, T. (1987). A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return. The Review of Economics and Statistics, 69(3), 542-547.
  • BOURI, E., GUPTA, R. & ROUBAUD, D. (2019). Herding Behaviour in Cryptocurrencies. Finance Research Letters, 29, 216-221.
  • CALDERÓN, O. P. (2018). Herding Behavior in Cryptocurrency Markets. https://arxiv.org/pdf/1806.11348.pdf (Erişim Tarihi: 14.06.2022).
  • CHANG, E. C., CHENG, J. W. & KHORANA, A. (2000). An Examination of Herd Behavior in Equity Markets: An International Perspective. Journal of Banking and Finance, 24(2), 1651-1679.
  • CHRISTIE, W. G. & HUANG, R. D. (1995). Following the Pied Piper: Do Individual Return Herd around the Market? Financial Analysts Journal, 51(4), 31-37.
  • COSKUN, E. A., LAU, C. K. M. & KAHYAOGLU, H. (2020). Uncertainty and Herding Behavior: Evidence from Cryptocurrencies. Research in International Business and Finance, 54, 101284.
  • DAVIDSON, R. & MACKINNON, J. G. (1993). Estimation and Inference in Econometrics. New York: Oxford University Press.
  • DEVENOW, A. & WELCH, I. (1996). Rational Herding in Financial Economics. European Economic Review, 40(3-5), 603-615.
  • EVRIM MANDACI, P. & CAGLI, E. C. (2022). Herding Intensity and Volatility in Cryptocurrency Markets during the Covid-19. Finance Research Letters, 46, 102382.
  • FROOT, K. A., SCHARFSTEIN, D. S. & STEIN, J. C. (1992). Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation. The Journal of Finance, XLVII(4), 1461-1484.
  • GĘBKA, B. & WOHAR, M. E. (2013). International Herding: Does It Differ across Sectors? Journal of International Financial Markets, Institutions and Money, 23, 55-84.
  • GYAMERAH, S. A. (2021). Covid-19 Pandemic and Herding Behaviour in Cryptocurrency Market. Applied Finance Letters, 10, 58-66.
  • HWANG, S. & SALMON, M. (2004). Market Stress and Herding. Journal of Empirical Finance, 11(4), 585-616.
  • JALAL, R. N. U., SARGIACOMO, M., SAHAR, N. U. & FAYYAZ, U. E. R. (2020). Herding Behavior and
  • Cryptocurrency: Market Asymmetries, Inter-Dependency and Intra-Dependency. Economics and Business, 7(7), 27-34.
  • KAISER, L. & STOCKL, S. (2020). Cryptocurrencies: Herding and the Transfer Currency. Finance Research Letters, 33, 101214.
  • KIYILAR, M. & AKKAYA, M. (2016). Davranışsal Finans. İstanbul: Literatür.
  • KUMAR, A. (2021). Empirical Investigation of Herding in Cryptocurrency Market under Different Market Regimes. Review of Behavioral Finance, 13(3), 297-308.
  • KYRIAZIS, N. A. (2020). Herding Behaviour in Digital Currency Markets: An Integrated Survey and Empirical Estimation. Heliyon, 6(8), e04752.
  • LAKONISHOK. J., SHLEIFER, A. & VISHNY. R. W. (1992). The Impact of Institutional Trading on Stock Prices. Journal of Financial Economics, 32(1), 23-43.
  • OMANE-ADJEPONG, M. O., ALAGIDEDE, I. P., LYIMO, A. G. & TWENEBOAH, G. (2021). Herding Behaviour in Cryptocurrency and Emerging Financial Markets. Cogent Economics & Finance, 9(1), 1-14.
  • PATTERSON, D. M. & SHARMA, V. (2006). Do Traders Follow Each Other at the NYSE? University of Michigan-Dearborn. Working Paper.
  • PHILIPPAS, D., PHILIPPAS, N., TZIOGKIDIS, P. & RJIBA, H. (2020). Signal-Herding in Cryptocurrencies. Journal of International Financial Markets, Institutions & Money, 65, 101191.
  • SCHARFSTEIN, D. S. & STEIN, J. C. (1990). Herd Behavior and Investment. American Economic Review, 80(3), 465-479.
  • SENARATHNE, C. W. & JIANGUO, W. (2020). Herd Behaviour in the Cryptocurrency Market: Fundamental vs. Spurious Herding. The European Journal of Applied Economics, 17(1), 20-36.
  • STAVROS, S. & VASSILIOS, B. (2019). Herding Behavior in Cryptocurrencies Revisited: Novel Evidence from a TVP Model. Journal of Behavioral and Experimental Finance, 22, 57-63.
  • TREYNOR, J. L. & MAZUY, K. K. (1966). Can Mutual Funds Outguess the Market? Harward Business Review, 44, 131-136.
  • VIDAL-TOMÁS, D., IBÁÑEZ, A. M. & FARINÓS, J. E. (2019). Herding in the Cryptocurrency Market: CSSD and CSAD Approaches. Finance Research Letters, 30, 181-186.
  • YOUSSEF, M. (2020). What Drives Herding Behavior in the Cryptocurrency Market? Journal of Behavioral Finance, 23(2), 230-239.
  • İnternet Kaynakları
  • www.cci30.com (Erişim Tarihi: 14.06.2022).
  • www.coinmarketcap.com (Erişim Tarihi: 14.06.2022).
  • www.royalton-crix.com (Erişim Tarihi: 14.06.2022).
  • www.marketvector.com (Erişim Tarihi: 15.09.2022).

ANALYSIS OF HERDING BEHAVIOR IN CRYPTOCURRENCY MARKETS: NEW EVIDENCE FROM TOP CRYPTOCURRENCIES

Year 2023, Volume: 8 Issue: 1, 107 - 120, 31.03.2023
https://doi.org/10.29106/fesa.1216301

Abstract

The aim of this study is to determine the existence of herding behavior in cryptocurrency returns using the CSAD herding behavior measurement method developed by Chang et al. (2000). In the study, the eight largest cryptocurrencies in terms of market capitalization and the Daily closing data of the MVDA index covering the period of 06.12.2018-11.03.2022 are used to represent the cryptocurrency market. As a result of the investigation, according to both the general market and the up-down market conditions, the estimation findings of the ordinary least squares (OLS) provide evidence for the existence of anti-herding behavior (negative herding) in the cryptocurrency market. On the other hand, while the results of the GARCH model provide evidence supporting the OLS prediction result for the presence of anti-herding behavior in the down market situation, they provide statistically insignificant results in other situations. Obtaining evidence of anti-herding behavior in cryptocurrency markets shows that traders in the relevant market do not have a market-wide consensus, that is, they trade according to their own assessment.

References

  • AJAZ, T. & KUMAR, A. S. (2018). Herding in Crypto-Currency Markets. Annals of Financial Economics, 13(2).
  • AMIRAT, A. & ALWAFI, W. (2020). Does Herding Behavior Exist in Cryptocurrency Market? Cogent Economics & Finance, 8(1), 1-10.
  • BALLIS, A. & DRAKOS, K. (2020). Testing for Herding in the Cryptocurrency Market. Finance Research Letters, 33, 101210.
  • BANERJEE, A. V. (1992). A Simple Model of Herd Behavior. The Quarterly Journal of Economics, 107(3), 797-817.
  • BASHIR, H. A., KUMAR, D. & SHILJAS, K. (2021). Investor Attention and Herding in The Cryptocurrency Market during the Covid-19 Pandemic. Applied Finance Letters, 10, 67-77.
  • BIKBCHANDANI, S., HIRSHLEIFER, D. & WELCH, I. (1992). A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades. Journal of Political Economy, 100(5), 992-1026.
  • BIKHCHANDANI, S. & SHARMA, S. (2001). Herd Behavior in Financial Markets. IMF Staff Papers, 47(3).
  • BOLLERSLEV, T. (1987). A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return. The Review of Economics and Statistics, 69(3), 542-547.
  • BOURI, E., GUPTA, R. & ROUBAUD, D. (2019). Herding Behaviour in Cryptocurrencies. Finance Research Letters, 29, 216-221.
  • CALDERÓN, O. P. (2018). Herding Behavior in Cryptocurrency Markets. https://arxiv.org/pdf/1806.11348.pdf (Erişim Tarihi: 14.06.2022).
  • CHANG, E. C., CHENG, J. W. & KHORANA, A. (2000). An Examination of Herd Behavior in Equity Markets: An International Perspective. Journal of Banking and Finance, 24(2), 1651-1679.
  • CHRISTIE, W. G. & HUANG, R. D. (1995). Following the Pied Piper: Do Individual Return Herd around the Market? Financial Analysts Journal, 51(4), 31-37.
  • COSKUN, E. A., LAU, C. K. M. & KAHYAOGLU, H. (2020). Uncertainty and Herding Behavior: Evidence from Cryptocurrencies. Research in International Business and Finance, 54, 101284.
  • DAVIDSON, R. & MACKINNON, J. G. (1993). Estimation and Inference in Econometrics. New York: Oxford University Press.
  • DEVENOW, A. & WELCH, I. (1996). Rational Herding in Financial Economics. European Economic Review, 40(3-5), 603-615.
  • EVRIM MANDACI, P. & CAGLI, E. C. (2022). Herding Intensity and Volatility in Cryptocurrency Markets during the Covid-19. Finance Research Letters, 46, 102382.
  • FROOT, K. A., SCHARFSTEIN, D. S. & STEIN, J. C. (1992). Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation. The Journal of Finance, XLVII(4), 1461-1484.
  • GĘBKA, B. & WOHAR, M. E. (2013). International Herding: Does It Differ across Sectors? Journal of International Financial Markets, Institutions and Money, 23, 55-84.
  • GYAMERAH, S. A. (2021). Covid-19 Pandemic and Herding Behaviour in Cryptocurrency Market. Applied Finance Letters, 10, 58-66.
  • HWANG, S. & SALMON, M. (2004). Market Stress and Herding. Journal of Empirical Finance, 11(4), 585-616.
  • JALAL, R. N. U., SARGIACOMO, M., SAHAR, N. U. & FAYYAZ, U. E. R. (2020). Herding Behavior and
  • Cryptocurrency: Market Asymmetries, Inter-Dependency and Intra-Dependency. Economics and Business, 7(7), 27-34.
  • KAISER, L. & STOCKL, S. (2020). Cryptocurrencies: Herding and the Transfer Currency. Finance Research Letters, 33, 101214.
  • KIYILAR, M. & AKKAYA, M. (2016). Davranışsal Finans. İstanbul: Literatür.
  • KUMAR, A. (2021). Empirical Investigation of Herding in Cryptocurrency Market under Different Market Regimes. Review of Behavioral Finance, 13(3), 297-308.
  • KYRIAZIS, N. A. (2020). Herding Behaviour in Digital Currency Markets: An Integrated Survey and Empirical Estimation. Heliyon, 6(8), e04752.
  • LAKONISHOK. J., SHLEIFER, A. & VISHNY. R. W. (1992). The Impact of Institutional Trading on Stock Prices. Journal of Financial Economics, 32(1), 23-43.
  • OMANE-ADJEPONG, M. O., ALAGIDEDE, I. P., LYIMO, A. G. & TWENEBOAH, G. (2021). Herding Behaviour in Cryptocurrency and Emerging Financial Markets. Cogent Economics & Finance, 9(1), 1-14.
  • PATTERSON, D. M. & SHARMA, V. (2006). Do Traders Follow Each Other at the NYSE? University of Michigan-Dearborn. Working Paper.
  • PHILIPPAS, D., PHILIPPAS, N., TZIOGKIDIS, P. & RJIBA, H. (2020). Signal-Herding in Cryptocurrencies. Journal of International Financial Markets, Institutions & Money, 65, 101191.
  • SCHARFSTEIN, D. S. & STEIN, J. C. (1990). Herd Behavior and Investment. American Economic Review, 80(3), 465-479.
  • SENARATHNE, C. W. & JIANGUO, W. (2020). Herd Behaviour in the Cryptocurrency Market: Fundamental vs. Spurious Herding. The European Journal of Applied Economics, 17(1), 20-36.
  • STAVROS, S. & VASSILIOS, B. (2019). Herding Behavior in Cryptocurrencies Revisited: Novel Evidence from a TVP Model. Journal of Behavioral and Experimental Finance, 22, 57-63.
  • TREYNOR, J. L. & MAZUY, K. K. (1966). Can Mutual Funds Outguess the Market? Harward Business Review, 44, 131-136.
  • VIDAL-TOMÁS, D., IBÁÑEZ, A. M. & FARINÓS, J. E. (2019). Herding in the Cryptocurrency Market: CSSD and CSAD Approaches. Finance Research Letters, 30, 181-186.
  • YOUSSEF, M. (2020). What Drives Herding Behavior in the Cryptocurrency Market? Journal of Behavioral Finance, 23(2), 230-239.
  • İnternet Kaynakları
  • www.cci30.com (Erişim Tarihi: 14.06.2022).
  • www.coinmarketcap.com (Erişim Tarihi: 14.06.2022).
  • www.royalton-crix.com (Erişim Tarihi: 14.06.2022).
  • www.marketvector.com (Erişim Tarihi: 15.09.2022).
There are 41 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section Araştırma Makaleleri
Authors

Hilmi Tunahan Akkuş 0000-0002-8407-1580

İsmail Çelik 0000-0002-6330-754X

Tayfun Karakaya 0000-0003-0253-5888

Early Pub Date March 31, 2023
Publication Date March 31, 2023
Submission Date December 8, 2022
Acceptance Date December 16, 2022
Published in Issue Year 2023 Volume: 8 Issue: 1

Cite

APA Akkuş, H. T., Çelik, İ., & Karakaya, T. (2023). KRİPTO PARA PİYASALARINDA SÜRÜ DAVRANIŞLARININ ANALİZİ: EN BÜYÜK KRİPTO PARA BİRİMLERİNDEN YENİ KANITLAR. Finans Ekonomi Ve Sosyal Araştırmalar Dergisi, 8(1), 107-120. https://doi.org/10.29106/fesa.1216301