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Empirical Analysis of Herd Behavior in the Turkish IPO Market

Year 2019, Volume: 34 Issue: 1, 67 - 75, 29.03.2019
https://doi.org/10.24988/ije.2019341794

Abstract

The
behavioral issues behind initial public offerings (IPOs) are still unsolved phenomenon
in finance literature. The aim of this paper is to find out the probable presence
of herd behavior in the post-IPO period of the firms listed in Borsa Istanbul
for the short term. Parker and Prechter (2012) emphasized that based on the
socioeconomic theory, when there is uncertainty; people tend to imitate others
due to evolutionary reasons. For this reason, the analysis is conducted to IPO
market in which uncertainity is higher. The underlying reason is that people
think unconsciously that “sometimes others actually do know”, so according to
them under uncertainty following others or showing herd behavior increases the
overall chance of survival (Parker and Prechter, 2012, p.5). Kremer (2010)
states that in emerging markets uncertainty is higher due to lack of perfect
regulatory frameworks. Therefore, because of this uncertain environment,
investors may follow others. Many researchers conducted studies about the
evidence of herd behavior in developed (such as USA and England) and developing
(such as Turkey and Brazil) countries’ markets. According to the investigated
literature, to the best of authors’ knowledge, there is no study that focused
on the evidence of herd behavior in the Turkish IPOs market and this study aims
to fill this gap. Daily returns of the IPO aftermarket are used during a 30-day
period. To detect the evidence of herd behavior, Christie and Huang (1995)
method is implied by using cross sectional standard deviation (CSSD) as a
dispersion. Regression analysis is employed by using Eviews software. The
results indicate herd behavior is not present for the analysed period.  

References

  • Aggarwal, R. and Rivoli, P. (1990). Fads in the Initial Public Offering Market. Financial Management, 19(4), 45-57.
  • Aggarwal, R., Leal, R. and Hernandez, L. (1993). The Aftermarket Performance of Initial Public Offerings in Latin America. Financial Management, 22(1), 42-53.
  • Akerlof, G. (1970). The market for “lemons”: Quality uncertainty and the market mechanism. Quarterly journal of Economics. 84 (3), 488-500.
  • Alanazi, A. and Al-Zoubi, H. (2015). Extreme IPO Underpricing and the Legal Environment in Wealthy Emerging Economies. Journal of Multinational Financial Management, 31, 83-103.
  • Altan, M. and Hotamış, T. (2008). Türkiye'de Halka İlk Arzı Yapılan Hisse Senetlerinin Kısa Dönem Fiyat Performansı Analizi (2000-2006). KMU İ.İ.B.F. Dergisi, 8(14), pp. 21-45.
  • Altay, E. (2008). Sermaye Piyasasında Sürü Davranışı: İMKB’de Piyasa Yönünde Sürü Davranışının Analizi. BDDK Bankacılık ve Finansal Piyasalar. 2 (1), 27-57.
  • Alvarez, S. and Gonzalez, V. (2005). Signalling and the Long-run Performance of Spanish Initial Public Offerings (IPOs). Journal of Business Finance and Accounting, 32(1), 325-350.
  • Ayden, T. and Karan, M. (2000). İstanbul Menkul Kıymetler Borsasında İlk Halka Arzların Uzun Vadeli Fiyat Performanslarının Ölçülmesi. Gazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 3, 87-96.
  • Banerjee, S., Dai, L. and Shrestha, K. (2011). Cross-country IPOs: What Explains Differences in Underpricing?. Journal of Corporate Finance, 17(5), 1289- 1305.
  • Bikhchandani, S. and Sharma, S. (2000). Herd Behavior in Financial Markets. IMF Staff Papers. 47, 3, 278-310.
  • Caporale, G.M., Economou, F. and Philippas, N. (2008). Herding Behavior in Extreme Market Conditions: The Case of Athens Stock Exchange. Economics Bulletin. 7 (17), 1-13.
  • 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.
  • Chalk, A. and Peavy, J. (1987). Initial Public Offerings: Daily Returns, Offering Types and the Price Effect. Financial Analysts Journal, 43(5), 65-69.
  • Chen, G., Firth, M. and Kim, J. (2004). IPO Underpricing in China’s New Stock Markets. Journal of Multinational Financial Management, 14(3), 283-302.
  • Chi, J. and Padgett, C. (2005). The Performance and Long Run Characteristics of the Chinese IPO Markets. Pacific Economic Review, 10(4), 451-469.
  • Choe, H., Kho, B. and Stulz, R. (1998). Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997. Journal of Financial Economics. 54 (2), 227-264.
  • Christie, W.G. and Huang, R.D. (1995). Following the Pied Piper: Do Individual Returns Herd around the Market? Financial Analysts Journal. Vol. 51, No. 4, p. 31-37.
  • Çoban, A.T. (2009). İMKB’de Sürü Davranışının Test Edilmesi. (Unpublished Master Dissertation). Adana: Çukurova University Graduate School of Social Sciences.
  • Dehghani, P. and Sapian, R.Z.Z. (2014). Sectoral Herding Behavior in the Aftermarket of Malaysian IPOs.Venture Capital. Vol. 16, No. 3, p. 227-246.
  • Doğukanlı, H. and Ergün, B. (2011). İMKB’de Sürü Davranışı: Yatay Kesit Değişkenlik Temelinde Bir Araştırma. Çukurova Ünivsersitesi İşletme Fakültesi Dergisi. Vol. 12, No. 2, p. 227-242.
  • Döm, S. (2003). Yatırımcı Psikolojisi, 1st ed. Istanbul: Değişim.
  • Elmas, B. ve Amanianganeh, M. (2013). BIST'de Halka Açılan Şirketlerde Düşük Fiyatlama Anomalisine Etki Edebilen Değişkenlerin Analizi: 1995- 2010 Dönemi. Afyon Kocatepe Üniversitesi İİBF Dergisi, 15(2), p. 217-241.
  • Engelen, P. ve Essen, M. (2010). Underpricing of IPOs: Firm-, issue- and country- specific characteristics. Journal of Banking ve Finance, 34(8), pp. 1958-1969.
  • Ercan, M. and Çevikel, S. (2011). Survey on IPO Underpricing in the Istanbul Stock Exchange. İktisat İşletme ve Finans, 26(305), p. 85-117.

  • Ertuna, B., Ercan, M. and Akgiray, V. (2003). The Effect of the Issuer-Underwriter Relationship on IPOs: The Case of an Emerging Market. The Journal of Entrepreneurial Finance, 3(8), pp. 43-55.
  • Hwang, S. and Salmon, M. (2004a). Market Stress and Herding. Journal of Empirical Finance. 11 (2004), 585-616.
  • Güzelhan, H. and Ağar, M. (1991). İlk Halka Arzlarda Hisse Senetlerinin Fiyat Performansı. İşletme ve Finans, 6(68), p. 51-59.

  • Handa, R. and Singh, B. (2014). The Effect of Board Size on Underpricing of IPOs: Indian Evidence. The IUP Journal of Corporate Governance, 13(3), 7-16.
  • Hearn, B. (2014). The Impact of Institutions, Ownership Structure, Business Angels, Venture Capital and Lead Managers on IPO Firm Underpricing Across North Africa. Journal of Multinational Financial Management, 24, 19-42.
  • Hensler, D. A., Herrera, M. J. and Lockwood, L. J. (2000). The Performance of Initial Public Offerings in the Mexican Stock Market, 1987–1993. Journal of International Money and Finance, 19(1), 93-116.
  • Ibbotson, R. (1975). Price Performance of Common Stock New Issues. Journal of Financial Economics, 2(3), 235-272.
  • Jakobsen, J. and Sorensen, O. (2001). Decomposing and Testing Long-term Returns: an Application on Danish IPOs. European Financial Management, 7(3), 393- 417.
  • Jaskiewicz, P., González, V. M., Menéndez, S. and Schiereck, D. (2005). Long-Run IPO Performance Analysis of German and Spanish Family-Owned Businesses. Family Business Review, 18(3), 179-202.
  • Kapusuzoğlu, A. (2011). Herding in the Istanbul Stock Exchange (ISE): A Case of Behavioral Finance. African Journal of Business Management. 5 (27), 11210-11218.
  • Kayalıdere, K. (2012). Hisse Senedi Piyasasında Sürü Davranışı: İMKB’de Ampirik Bir İnceleme. İşletme Araştırmaları Dergisi. 4 (4), 77-94.
  • Kıymaz, H. (1997). İMKB'de 1996 Yılında Halka Arzedilen Hisse Senetlerinin Performansları. İktisat İşletme ve Finans, 12 (134), 38-55.
  • Kıymaz, H. (2000). The Initial and Aftermarket Performance of IPOs in an Emerging Market: Evidence from Istanbul Stock Exchange. Journal of Multinational Financial Management, 10, 213-227.
  • Kremer, S. (2010). Herding of Institutional Traders. SFB 649 Discussion Paper. Humboldt University, Berlin, Germany.
  • Kurtaran, A. (2013). Türkiye'deki İlk Halka Arzların İlk Getirileri ile Uzun Dönem Fiyat Performansları Arasındaki İlişkinin Analizi. International Journal of Economic and Administrative Studies, 6(11), 185-209.
  • Küçükkocaoğlu, G. (2008). Underpricing in Turkey: A Comparison of the IPO Methods. International Research Journal of Finance and Economics, 13, 162-182.
  • Küçükkocaoğlu, G. and Alagöz, A. (2009). İMKB’de Uygulanan Halka Arz Yöntemlerinin Karşılaştırmalı Analizi. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(2), 65-86.
  • Lakonishok, J., Shleifer, A. and Vishny, R. (1991). Do Institutional Investors Destabilize Stock Prices? Evidence on Herding and Feedback Trading. http://www.nber.org/papers/w3846.pdf, (Accessed on 9.1.2018).
  • Lee, J., Kuo, C. ve Yen, P. (2011). Market States and Initial Returns: Evidence from Taiwanese IPOs. Emerging Markets Finance and Trade, 47(2), 6-20.
  • Ljungqvist, A. and Wilhelm, W. (2003). IPO Pricing in the Dot-com Bubble. Journal of Finance, 58(2), 723-752.
  • Loughran, T., Ritter, J. and Rydqvist, K. (1994). Initial Public Offerings: International Insights. Pacific-Basin Finance Journal, 2, 165-199.
  • Lowry, M. (2003). Why Does IPO Volome Fluctuate? Journal of Financial Economics. vol. 67 (1), 3-40.
  • Lucas, D. and McDonald, R. (1990). Equity Issues and Stock Price Dynamics. Journal of Finance, 45(4), 1019-1043.
  • Maksimovic, V. and Pichler, P. (2001). Technological Innovation and Initial Public Offerings. Review of Financial Studies, 14(2), 459-494.
  • McDonald, J. and Fisher, A. (1972). New Issue Stock Price Behavior. The Journal of Finance, 27(1), 97-102.
  • Levis, M. (1993). The Long-Run Performance of Initial Public Offerings: The UK Experience 1980-1988. Financial Management, 22(1), 28-41.
  • Orhan, M. (2006). Short and Long-run Performance of IPOs Traded on the Istanbul Stock Exchange. Initial Public Offerings: An International Perspective. Oxford: Butterworth- Heinemann, 45-55.
  • Pagano, M., Panetta, F. and Zingales, L. (1998). Why Do Companies Go Public? An Empirical Analysis. Journal of Finance, 53(1), 27-64.
  • Paudyal, K., Saadouni, B. and Briston, R. J. (1998). Privatisation Initial Public Offerings in Malaysia: Initial Premium and Long-term Performance. Pacific-Basin Finance Journal, 6, 427-251.
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Türk İlk Halka Arz Piyasasında Sürü Davranışının Ampirik Analizi

Year 2019, Volume: 34 Issue: 1, 67 - 75, 29.03.2019
https://doi.org/10.24988/ije.2019341794

Abstract

İlk
halka arzların arkasındaki davranış sorunları finans literatüründe hala çözüme
ulaşmamış bir olgudur.  Bu çalışmanın
amacı, kısa vadede Borsa İstanbul’da listelenen firmaların halka arz sonrası
dönemde olası sürü davranışının varlığını tespit etmektir. Parker ve Pretcher
(2012), sosyoekonomik teoriye göre, belirsizlik olduğu durumlarda insanların
başkalarını taklit etme eğilimi gösterdiğini belirtmişlerdir. Bu nedenle,
analiz, belirsizliğin daha yüksek olduğu halka arz piyasasında yapılmıştır.
Altında yatan sebep ise, insanların bilinçaltlarında “bazen başkalarının
gerçekten bildiğini” düşünmeleri, bu nedenle onlara göre belirsizlik altında
diğerlerini takip etmek ya da sürü davranışı göstermek hayatta kalma şansları
arttırmaktadır (Parker ve Pretcher, 2012:5). Kremer (2010), gelişmekte olan
piyasalarda belirsizliğin, mükemmel düzenleyici çerçevelerin bulunmamasından
dolayı daha yüksek olduğunu belirtmektedir. Dolayısıyla, bu belirsiz ortam
nedeniye, yatırımcılar diğerlerini takip ederler. Birçok araştırmacı, gelişmiş
(ABD ve İngiltere gibi) ve gelişmekte olan (Türkiye ve Brezilya gibi) ülkelerin
pazarlarındaki sürü davranışının varlığına yönelik çalışmalar yapmışlardır.
İncelenen literatüre göre, yazarların bilgisi doğrultusunda, Türk halka arz
piyasasında sürü davranışının varlığına yönelik herhangi bir çalışma olmadığı
görülmüştür ve bu çalışma bu boşluğu doldurmayı amaçlamaktadır. Halka arz satış
sonrası getirileri 30-günlük periyod halinde kullanılmıştır. Sürü davranışının
varlığı saptamak için, Christie ve Huang (1995) yöntemi kesitsel standart sapma
(CSSD) dağılım olarak kullanılarak uygulanmıştır. Eviews yazılımı kullanılarak
regresyon analizi uygulanmıştır. Sonuçlar, sürü davranışının analiz edilen süre
boyunca mevcut olmadığını göstermektedir.

References

  • Aggarwal, R. and Rivoli, P. (1990). Fads in the Initial Public Offering Market. Financial Management, 19(4), 45-57.
  • Aggarwal, R., Leal, R. and Hernandez, L. (1993). The Aftermarket Performance of Initial Public Offerings in Latin America. Financial Management, 22(1), 42-53.
  • Akerlof, G. (1970). The market for “lemons”: Quality uncertainty and the market mechanism. Quarterly journal of Economics. 84 (3), 488-500.
  • Alanazi, A. and Al-Zoubi, H. (2015). Extreme IPO Underpricing and the Legal Environment in Wealthy Emerging Economies. Journal of Multinational Financial Management, 31, 83-103.
  • Altan, M. and Hotamış, T. (2008). Türkiye'de Halka İlk Arzı Yapılan Hisse Senetlerinin Kısa Dönem Fiyat Performansı Analizi (2000-2006). KMU İ.İ.B.F. Dergisi, 8(14), pp. 21-45.
  • Altay, E. (2008). Sermaye Piyasasında Sürü Davranışı: İMKB’de Piyasa Yönünde Sürü Davranışının Analizi. BDDK Bankacılık ve Finansal Piyasalar. 2 (1), 27-57.
  • Alvarez, S. and Gonzalez, V. (2005). Signalling and the Long-run Performance of Spanish Initial Public Offerings (IPOs). Journal of Business Finance and Accounting, 32(1), 325-350.
  • Ayden, T. and Karan, M. (2000). İstanbul Menkul Kıymetler Borsasında İlk Halka Arzların Uzun Vadeli Fiyat Performanslarının Ölçülmesi. Gazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 3, 87-96.
  • Banerjee, S., Dai, L. and Shrestha, K. (2011). Cross-country IPOs: What Explains Differences in Underpricing?. Journal of Corporate Finance, 17(5), 1289- 1305.
  • Bikhchandani, S. and Sharma, S. (2000). Herd Behavior in Financial Markets. IMF Staff Papers. 47, 3, 278-310.
  • Caporale, G.M., Economou, F. and Philippas, N. (2008). Herding Behavior in Extreme Market Conditions: The Case of Athens Stock Exchange. Economics Bulletin. 7 (17), 1-13.
  • 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.
  • Chalk, A. and Peavy, J. (1987). Initial Public Offerings: Daily Returns, Offering Types and the Price Effect. Financial Analysts Journal, 43(5), 65-69.
  • Chen, G., Firth, M. and Kim, J. (2004). IPO Underpricing in China’s New Stock Markets. Journal of Multinational Financial Management, 14(3), 283-302.
  • Chi, J. and Padgett, C. (2005). The Performance and Long Run Characteristics of the Chinese IPO Markets. Pacific Economic Review, 10(4), 451-469.
  • Choe, H., Kho, B. and Stulz, R. (1998). Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997. Journal of Financial Economics. 54 (2), 227-264.
  • Christie, W.G. and Huang, R.D. (1995). Following the Pied Piper: Do Individual Returns Herd around the Market? Financial Analysts Journal. Vol. 51, No. 4, p. 31-37.
  • Çoban, A.T. (2009). İMKB’de Sürü Davranışının Test Edilmesi. (Unpublished Master Dissertation). Adana: Çukurova University Graduate School of Social Sciences.
  • Dehghani, P. and Sapian, R.Z.Z. (2014). Sectoral Herding Behavior in the Aftermarket of Malaysian IPOs.Venture Capital. Vol. 16, No. 3, p. 227-246.
  • Doğukanlı, H. and Ergün, B. (2011). İMKB’de Sürü Davranışı: Yatay Kesit Değişkenlik Temelinde Bir Araştırma. Çukurova Ünivsersitesi İşletme Fakültesi Dergisi. Vol. 12, No. 2, p. 227-242.
  • Döm, S. (2003). Yatırımcı Psikolojisi, 1st ed. Istanbul: Değişim.
  • Elmas, B. ve Amanianganeh, M. (2013). BIST'de Halka Açılan Şirketlerde Düşük Fiyatlama Anomalisine Etki Edebilen Değişkenlerin Analizi: 1995- 2010 Dönemi. Afyon Kocatepe Üniversitesi İİBF Dergisi, 15(2), p. 217-241.
  • Engelen, P. ve Essen, M. (2010). Underpricing of IPOs: Firm-, issue- and country- specific characteristics. Journal of Banking ve Finance, 34(8), pp. 1958-1969.
  • Ercan, M. and Çevikel, S. (2011). Survey on IPO Underpricing in the Istanbul Stock Exchange. İktisat İşletme ve Finans, 26(305), p. 85-117.

  • Ertuna, B., Ercan, M. and Akgiray, V. (2003). The Effect of the Issuer-Underwriter Relationship on IPOs: The Case of an Emerging Market. The Journal of Entrepreneurial Finance, 3(8), pp. 43-55.
  • Hwang, S. and Salmon, M. (2004a). Market Stress and Herding. Journal of Empirical Finance. 11 (2004), 585-616.
  • Güzelhan, H. and Ağar, M. (1991). İlk Halka Arzlarda Hisse Senetlerinin Fiyat Performansı. İşletme ve Finans, 6(68), p. 51-59.

  • Handa, R. and Singh, B. (2014). The Effect of Board Size on Underpricing of IPOs: Indian Evidence. The IUP Journal of Corporate Governance, 13(3), 7-16.
  • Hearn, B. (2014). The Impact of Institutions, Ownership Structure, Business Angels, Venture Capital and Lead Managers on IPO Firm Underpricing Across North Africa. Journal of Multinational Financial Management, 24, 19-42.
  • Hensler, D. A., Herrera, M. J. and Lockwood, L. J. (2000). The Performance of Initial Public Offerings in the Mexican Stock Market, 1987–1993. Journal of International Money and Finance, 19(1), 93-116.
  • Ibbotson, R. (1975). Price Performance of Common Stock New Issues. Journal of Financial Economics, 2(3), 235-272.
  • Jakobsen, J. and Sorensen, O. (2001). Decomposing and Testing Long-term Returns: an Application on Danish IPOs. European Financial Management, 7(3), 393- 417.
  • Jaskiewicz, P., González, V. M., Menéndez, S. and Schiereck, D. (2005). Long-Run IPO Performance Analysis of German and Spanish Family-Owned Businesses. Family Business Review, 18(3), 179-202.
  • Kapusuzoğlu, A. (2011). Herding in the Istanbul Stock Exchange (ISE): A Case of Behavioral Finance. African Journal of Business Management. 5 (27), 11210-11218.
  • Kayalıdere, K. (2012). Hisse Senedi Piyasasında Sürü Davranışı: İMKB’de Ampirik Bir İnceleme. İşletme Araştırmaları Dergisi. 4 (4), 77-94.
  • Kıymaz, H. (1997). İMKB'de 1996 Yılında Halka Arzedilen Hisse Senetlerinin Performansları. İktisat İşletme ve Finans, 12 (134), 38-55.
  • Kıymaz, H. (2000). The Initial and Aftermarket Performance of IPOs in an Emerging Market: Evidence from Istanbul Stock Exchange. Journal of Multinational Financial Management, 10, 213-227.
  • Kremer, S. (2010). Herding of Institutional Traders. SFB 649 Discussion Paper. Humboldt University, Berlin, Germany.
  • Kurtaran, A. (2013). Türkiye'deki İlk Halka Arzların İlk Getirileri ile Uzun Dönem Fiyat Performansları Arasındaki İlişkinin Analizi. International Journal of Economic and Administrative Studies, 6(11), 185-209.
  • Küçükkocaoğlu, G. (2008). Underpricing in Turkey: A Comparison of the IPO Methods. International Research Journal of Finance and Economics, 13, 162-182.
  • Küçükkocaoğlu, G. and Alagöz, A. (2009). İMKB’de Uygulanan Halka Arz Yöntemlerinin Karşılaştırmalı Analizi. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(2), 65-86.
  • Lakonishok, J., Shleifer, A. and Vishny, R. (1991). Do Institutional Investors Destabilize Stock Prices? Evidence on Herding and Feedback Trading. http://www.nber.org/papers/w3846.pdf, (Accessed on 9.1.2018).
  • Lee, J., Kuo, C. ve Yen, P. (2011). Market States and Initial Returns: Evidence from Taiwanese IPOs. Emerging Markets Finance and Trade, 47(2), 6-20.
  • Ljungqvist, A. and Wilhelm, W. (2003). IPO Pricing in the Dot-com Bubble. Journal of Finance, 58(2), 723-752.
  • Loughran, T., Ritter, J. and Rydqvist, K. (1994). Initial Public Offerings: International Insights. Pacific-Basin Finance Journal, 2, 165-199.
  • Lowry, M. (2003). Why Does IPO Volome Fluctuate? Journal of Financial Economics. vol. 67 (1), 3-40.
  • Lucas, D. and McDonald, R. (1990). Equity Issues and Stock Price Dynamics. Journal of Finance, 45(4), 1019-1043.
  • Maksimovic, V. and Pichler, P. (2001). Technological Innovation and Initial Public Offerings. Review of Financial Studies, 14(2), 459-494.
  • McDonald, J. and Fisher, A. (1972). New Issue Stock Price Behavior. The Journal of Finance, 27(1), 97-102.
  • Levis, M. (1993). The Long-Run Performance of Initial Public Offerings: The UK Experience 1980-1988. Financial Management, 22(1), 28-41.
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There are 66 citations in total.

Details

Primary Language English
Journal Section Articles
Authors

Ayşegül Çimen 0000-0002-5523-1397

Zeliha Can Ergün 0000-0003-3357-9859

Publication Date March 29, 2019
Submission Date October 11, 2018
Acceptance Date March 27, 2019
Published in Issue Year 2019 Volume: 34 Issue: 1

Cite

APA Çimen, A., & Can Ergün, Z. (2019). Empirical Analysis of Herd Behavior in the Turkish IPO Market. İzmir İktisat Dergisi, 34(1), 67-75. https://doi.org/10.24988/ije.2019341794
İzmir Journal of Economics
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