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DOES BORSA ISTANBUL INCORPORATE HERDING AND CALENDAR ANOMALIES? AN EMPIRICAL EVIDENCE

Year 2020, Volume: 9 Issue: 1, 12 - 27, 30.03.2020

Ahmet Mete Cılıngırturk , Meltem Ulusan Polat , Handan Sumer Gogus

https://doi.org/10.17261/Pressacademia.2020.1189

Abstract

Purpose- Anomalies and herding rather than individual rational decisions could be detected in capital markets. Such formations’ enabling abnormal returns under volatility, may be of interest in respect of Turkish capital markets. This study analyzes the herd behavior and calendar anomalies in Borsa Istanbul (BIST) by generalizing the main index and the sectoral indices.
Methodology- The data set is based on the weekly closing prices, trading volume and the number of contracts of BIST-100 Index and 17 sectoral indices for the January 2012 to December 2016. A symmetric GARCH (1,1) and an asymmetric SAARCH (1,1) models have been employed for a comparative analysis.
Findings- Since GARCH (1,1) findings revealed a quiet weak simultaneous interaction between volatility and return, the research was deepened through employment of the SAARCH (1,1) asymmetric estimation model, which revealed an increase in both trading volume and return when considering negative shocks. Hence, a significant herding in BIST has been confirmed. SAARCH (1,1) model has detected day of the week (DoW) and a significant January effect, as well, while both estimation models have detected Ramadan effects.
Conclusion- It becomes apparent that there is a gap in the Turkish capital market-related combined studies on herding and calendar anomalies. The aim of this study, therefore, is to fill this gap, using analyses of the BIST-100 and sectoral indices. Main indices, consisting of blue-chips, are analyzed frequently; however, abnormal trading behaviors could be detected specifically on sectoral basis.

Keywords

Herding calendar anomalies GARCH SAARCH panel data analysis

References

  • Akhter, A., Sandhu, A., Butt, S. (2015). Islamic Calendar Effect on Market Risk and Return Evidence from Islamic Countries. Journal of Business & Financial Affairs, 4(2), 1-5.
  • Al-Khazali, O. M., Mirzaei, A. (2017). The impact of oil price movements on bank non-performing loans: Global evidence from oil-exporting countries. Emerging Markets Review, 31(C), 193-208.
  • Altay, E. (2008). Sermaye Piyasalarında Suru Davranisi: İMKB’de Piyasa Yonunde Suru Davranisinin Analizi. BDDK Bankacılık ve Finansal Piyasalar, 2(1), 27-58.
  • Alsu, E., Tasdemir, A., Özyurt, H.K. (2018). Türkiye İslami Piyasalarında Ramazan Ayı Etkisi. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi 2018 6(5) 707–712.
  • Amemiya, T. (1985). Advanced Econometrics. Cambridge, MA: Harvard University Press.
  • Ari, A., Yuksel, O. (2017). BIST 100’de Haftanin Gunu Anomalisi: Ekonometrik Bir Analiz. Finans Politik & Ekonomik Yorumlar, 54(632), 77-89.
  • Asteriou, D., Bashmakova, Y. (2013). Assessing the impact of oil returns on emerging stock markets: A panel data approach for ten Central and Eastern European Countries. Energy Economics, 38, 204-211.
  • Baklaci, H., Tutek, H. (2006). The Impact of the Futures Market on Spot Volatility: An Analysis in Turkish Derivatives Markets’. Computational Finance and Its Applications II, edited by M. Constantino and C.A.
  • Balaban, E. (1995). Day of the week effects: new evidence from an emerging stock market. Applied Economics Letters, 2(5), 139-143.
  • Batmunkh, M.U.J, Moslehpour, M., Shieh-Liang, C. (2017). Herding Behavior in Advanced Confucian Markets. World Affairs (2) 34(502), 1-26.
  • Beaumont, P. M., Norrbin, S. C., Yiğit, F. P. (2008). Time series evidence on the linkage between the volatility and growth of output. Applied Economic Letters, 15, 45-48.
  • BenSaida, A., Jlassi, M., Litimi, H. (2015). Volume–herding interaction in the American market. American Journal of Finance and Accounting, 4(1), 50-69.
  • Bilir, H. (2018), Ocak Ayı Etkisinin Turk Sermaye Piyasalarında Farklı BIST Endekslerine Gore Analizi. Sosyoekonomi, 26, 145-160.
  • Blasco, N., Corredor, P., Ferreruela, S. (2012) Does herding affect volatility? Implications for the Spanish stock market. Quantitative Finance, 12(2), 311-327.
  • Boyd, N., Buyuksahin, B., Haigh, M., Harris, J. (2016). The Prevalence, Sources, and Effects of Herding. The Journal of Futures Markets, 36(7), 671-694.
  • Bozkurt, I. (2015). Gelismis ve Gelismekte Olan Piyasalarda Anomali Varliginin Incelenmesi. Business and Economics Research Journal, 6(4), 19-37.
  • Brahmana, R., Hooy, C.W., Ahmad, Z. (2012). Asian Academy of Management. Journal of Accounting and Finance, 8(2), 1-20.
  • Brebbia, Southampton, UK: WIT Press, 237-246.
  • Can Ergun (2018), The Effect of Herd Behavior on Stock Markets during the Election Times: Evidence from Borsa Istanbul, Würzburg International Business Forum International Business Conference Proceedings, 97-103.
  • Cengiz, H., Bilen, O., Buyuklu, A. H., Damgaci, G. (2017). Stock market anomalies: the day of the week effects, evidence from Borsa Istanbul. Journal of Global Entrepreneurship Research, 7(1), 1-11.
  • Chang, E., Cheng, J. and A. Khorana. (2000). An examination of herd behavior in equity markets: an international perspective. Journal of Banking and Finance, 24(10), 1651-1679.
  • Chiang, T.,C., Jiandong, L., Tan, L., Nelling, E. (2011). Dynamic herding behavior in PacificBasin markets: Evidence and Implications, Social Science Research Network (SSRN), Retrieved from http://www.cass.city.ac.uk/__data/assets/pdf_file/0006/86622/Chiang.pdf
  • Cross, F. (1973). The Behavior of Stock Prices on Fridays and Mondays. Financial Analysts Journal, 29(6), 67-69.
  • Caglayan, E. (2011). The Impact of Stock Index Futures. Journal of Emerging Market Finance, 10(1), 73-91.
  • Çakan, E., Demirer, R., Gupta, Marfatia, H. (2019). Journal of Economics and Finance, 43(1), 44-56.
  • Cimen, A., Can Ergun, Z. (2019). Turk Ilk Halka Arz Piyasasinda Suru Davranisinin Ampirik Analizi. Izmir Iktisat Dergisi, 34(1), 67-75.
  • De Bondt, W. F. M., Thaler, R. (1987). Further Evidence on Investor Overreaction and Stock Market Seasonality. The Journal of Finance, 42(3), 557-581.
  • Demir, N., Mahmud, S. F., Solakoglu, M. N. (2014). Sentiment and Beta Herding in the Borsa Istanbul (BIST), Contemporary Studies in Economic and Financial Analysis, in Risk Management Post Financial Crisis: A Period of Monetary Easing, 96, Emerald Group Publishing Limited, 389 – 400.
  • Dogukanli, H., Ergun, B. (2011). IMKB’de Suru Davranisi: Yatay Kesit Degiskenlik Temelinde Bir Arastirma. Cukurova Universitesi Isletme Fakultesi Dergisi, 12(2), 227–242.
  • Durukan, M. B., Ozsu, H. H., Can Ergun, Z. (2017). Chapter 12 - Financial Crisis and Herd Behavior: Evidence from the Borsa Istanbul, in (ed.) Economou, F., Gavriilidis, K., Gregoriou, G. N., Kallinterakis, V., Handbook of Investors' Behavior During Financial Crises, Academic Press, 203-217.
  • Engle, R. F. (1982). Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation. Econometrica, 50(4), 987-1008.
  • Engle, R. F. (2001). GARCH 101: The use of ARCH/GARCH models in applied econometrics. Journal of Economic Perspectives, 15(4), 157-168.
  • Engle, R. F., Rangel, J. G. (2008). The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes. Review of Financial Studies, 21(3), 1187-1222.
  • Ergün, B., Doğukanlı, H. (2015). Hisse Senedi Piyasalarında Sürü Davranışı: BİST’te Bir Araştırma. Journal of International Social Research, 8(40), 690-699.
  • Fama, E. F. (1970). Efficient Capital Markets: A review of Theory and Empirical Work. Journal of Finance,25(2), 383 – 417.
  • Fields, M. J. (1931). Stock Prices: A Problem in Verification. The Journal of Business, 4, 415.
  • Gavriilidis, K., Kallinterakis, V., Tsalavoutas, I. (2016). Journal of Economic Behavior&Organization, 132, 23-38.
  • Gunes, H. (2018), Islami Endekslerde Takvim Anomalisi: Ramazan Etkisi. Finans Politik & Ekonomik Yorumlar, 55(645), 75-89.
  • Hayo, B. and Kutan, A. M. (2005). IMF-Related News and Emerging Financial Markets. Journal of International Money and Finance, 24, 1126-1142.
  • Irfan, A., Waheed, A., Namrah, A., Mohammed, M. E. (2017). Impact of Muslim Holy Days on Asian stock markets: An empirical evidence. Cogent Economics & Finance, 5(1), 1-10.
  • Kahneman, D., Tversky, A. (1979). Prospect theory: An analysis of decisions under risk. Econometrica, 47, 313-327.
  • Kapusuzoglu, A. (2011). Herding in the Istanbul Stock Exchange (ISE): A Case of Behavioral Finance. African Journal of Business Research, 4(3), 53-67.
  • Karcioglu, R., Özer, N. (2017). BIST’de Haftanın Gunu ve Tatil Etkisi Anomalilerinin Getiri ve Oynaklık Uzerindeki Etkisinin Incelenmesi. Karadeniz Teknik Universitesi Sosyal Bilimler Enstitusu Sosyal Bilimler Dergisi, 7(14), 457-483.
  • Kayalidere, K. (2012). Hisse Senedi Piyasasında Suru Davranisi: IMKB’de Ampirik bir İnceleme. Isletme Arastirmalari Dergisi, 4(4), 77-94.
  • Kucuksille, E., Ozmutaf, N. M. (2015). Is There Ramadan Effect in Turkish Stock Market?, Uluslararasi Alanya Isletme Fakültesi Dergisi, 7(3), 105-110.
  • Lao, P., Singh, H. (2011). Herding behaviour in the Chinese and Indian stock markets. Journal of Asian Economics, 22(6), 495-506.
  • Lunde, A., Hansen, P. R. (2005). A forecast comparison of volatility models: does anything beat a GARCH (1,1)?. Journal of Applied Econometrics, 20(7), 873-889.
  • Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. New York: Springer.
  • Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.
  • Oncü, M.A., Unal, A., Demirel, O. (2017). The Day of the Week Effect in Borsa Istanbul; A GARCH Model Analysis. Uluslararası Yönetim Iktisat ve Isletme Dergisi, 13(3), 521-534.
  • Ozkan, N., Akbalik, M. (2018). Hicri Takvim Etkisi: Borsa Istanbul Gida-Icecek, Hizmetler ve Ulastırma Endekslerinde Yer Alan Paylar Uzerine Bir Arastırma, Journal of Yasar University, 13(49), 9-21.
  • Petros Messis Achilleas Zapranis, (2014). Herding behaviour and volatility in the Athens Stock Exchange. The Journal of Risk Finance, Vol. 15 Iss 5 pp. 572 – 590.
  • Seif, M., Docherty, P., Shamsuddin, A. (2017). Seasonal Anomalies in Advanced Stock Markets. The Quarterly Review of Economics and Finance, 66, 169-181.
  • Solakoğlu, M. N., Güvercin, A., Akkaş, M. E. (2016). The Impacts of Elections and Central Banks Meetings on Herding Behavior: Evidence from Borsa Istanbul, 20. Finans Sempozyumu, 19-22 October.
  • Tan, O. F. (2017). Ramadan Effect: Evidence from Borsa Istanbul. Marmara Universitesi Iktisadi ve Idari Bilimler Dergisi, 39(1), 239-256.
  • Thaler, R. (1987a). Anomalies The January Effect. Economic Perspectives, 1(1), 197-201.
  • Thaler, R. (1987b). Anomalies Seasonal Movements in Security Prices II: Weekend, Holiday, Turn of the Month, and Intraday Effects. Economic Perspectives, 1(2), 169-177.
  • Toraman, C., Öztosun, E., Colakoglu, E. (2017). Testing the Day-of-the-Week Anomaly for Sectoral Turkish Stock Market. International Journal of Business Management and Economic Research, 8(1), 862-871.
  • Trotter, W. (1916). Instincts of the Herd in Peace and War. London, T. Fisher Unwin Ltd, Retrieved from https://archive.org/details/instinctsofherdi00trot/page/n7
  • Ulusan, M., Hanci, G., Paksoy, M. (2013). Borsa Istanbul’da Ic ya da Dis Denetim Odaklı Bireyler Acisindan Bankacılık Hisseleri Bazında Suru Davranisinin Incelenmesi, 17. Finans Sempozyumu, 23-26 October
  • Ulusan Polat, M., Cilingirturk, Ah. M., Sumer Gogus, H. (2019). Do Calendar Anomalies Really Exist?: An Evidence from Borsa Istanbul, in (ed.) Pernsteiner. H, Sumer, H.,
  • Ulusan Polat, M., Behaviorial Finance, Linde Verlag, 249-281.
  • Urquhart, A., McGroarty, F. (2014). Calendar effects, market conditions and Adaptive Market Hypothesis: Evidence from long-run U.S. data. International Review of Financial Analysis, 35, 154-166.
  • Wang, D. (2008). Herd Behavior towards the Market Index: Evidence from 21 Financial Markets. IESE Business School Working Paper No. 776. Retrieved from https://ssrn.com/abstract=1316783 (Accessed: 04.05.2019).
  • Wu, H. X., Shea, E. Y. P. (2011). Explaining the China Puzzle: High Growth and Low Volatility in the Absence of Healty Financial Institutions, EcoMod2011 Conference, Azores, Portugal, June 29-July 1.
  • Yigiter, S. Y., Sari, S. S. (2016). 2008-2014 Yillari Arasinda BIST’de Haftanin Gunu Etkisi. C.Ü. Iktisadi ve Idari Bilimler Dergisi, 17(1), 287-301

Year 2020, Volume: 9 Issue: 1, 12 - 27, 30.03.2020

Ahmet Mete Cılıngırturk , Meltem Ulusan Polat , Handan Sumer Gogus

https://doi.org/10.17261/Pressacademia.2020.1189

Abstract

References

  • Akhter, A., Sandhu, A., Butt, S. (2015). Islamic Calendar Effect on Market Risk and Return Evidence from Islamic Countries. Journal of Business & Financial Affairs, 4(2), 1-5.
  • Al-Khazali, O. M., Mirzaei, A. (2017). The impact of oil price movements on bank non-performing loans: Global evidence from oil-exporting countries. Emerging Markets Review, 31(C), 193-208.
  • Altay, E. (2008). Sermaye Piyasalarında Suru Davranisi: İMKB’de Piyasa Yonunde Suru Davranisinin Analizi. BDDK Bankacılık ve Finansal Piyasalar, 2(1), 27-58.
  • Alsu, E., Tasdemir, A., Özyurt, H.K. (2018). Türkiye İslami Piyasalarında Ramazan Ayı Etkisi. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi 2018 6(5) 707–712.
  • Amemiya, T. (1985). Advanced Econometrics. Cambridge, MA: Harvard University Press.
  • Ari, A., Yuksel, O. (2017). BIST 100’de Haftanin Gunu Anomalisi: Ekonometrik Bir Analiz. Finans Politik & Ekonomik Yorumlar, 54(632), 77-89.
  • Asteriou, D., Bashmakova, Y. (2013). Assessing the impact of oil returns on emerging stock markets: A panel data approach for ten Central and Eastern European Countries. Energy Economics, 38, 204-211.
  • Baklaci, H., Tutek, H. (2006). The Impact of the Futures Market on Spot Volatility: An Analysis in Turkish Derivatives Markets’. Computational Finance and Its Applications II, edited by M. Constantino and C.A.
  • Balaban, E. (1995). Day of the week effects: new evidence from an emerging stock market. Applied Economics Letters, 2(5), 139-143.
  • Batmunkh, M.U.J, Moslehpour, M., Shieh-Liang, C. (2017). Herding Behavior in Advanced Confucian Markets. World Affairs (2) 34(502), 1-26.
  • Beaumont, P. M., Norrbin, S. C., Yiğit, F. P. (2008). Time series evidence on the linkage between the volatility and growth of output. Applied Economic Letters, 15, 45-48.
  • BenSaida, A., Jlassi, M., Litimi, H. (2015). Volume–herding interaction in the American market. American Journal of Finance and Accounting, 4(1), 50-69.
  • Bilir, H. (2018), Ocak Ayı Etkisinin Turk Sermaye Piyasalarında Farklı BIST Endekslerine Gore Analizi. Sosyoekonomi, 26, 145-160.
  • Blasco, N., Corredor, P., Ferreruela, S. (2012) Does herding affect volatility? Implications for the Spanish stock market. Quantitative Finance, 12(2), 311-327.
  • Boyd, N., Buyuksahin, B., Haigh, M., Harris, J. (2016). The Prevalence, Sources, and Effects of Herding. The Journal of Futures Markets, 36(7), 671-694.
  • Bozkurt, I. (2015). Gelismis ve Gelismekte Olan Piyasalarda Anomali Varliginin Incelenmesi. Business and Economics Research Journal, 6(4), 19-37.
  • Brahmana, R., Hooy, C.W., Ahmad, Z. (2012). Asian Academy of Management. Journal of Accounting and Finance, 8(2), 1-20.
  • Brebbia, Southampton, UK: WIT Press, 237-246.
  • Can Ergun (2018), The Effect of Herd Behavior on Stock Markets during the Election Times: Evidence from Borsa Istanbul, Würzburg International Business Forum International Business Conference Proceedings, 97-103.
  • Cengiz, H., Bilen, O., Buyuklu, A. H., Damgaci, G. (2017). Stock market anomalies: the day of the week effects, evidence from Borsa Istanbul. Journal of Global Entrepreneurship Research, 7(1), 1-11.
  • Chang, E., Cheng, J. and A. Khorana. (2000). An examination of herd behavior in equity markets: an international perspective. Journal of Banking and Finance, 24(10), 1651-1679.
  • Chiang, T.,C., Jiandong, L., Tan, L., Nelling, E. (2011). Dynamic herding behavior in PacificBasin markets: Evidence and Implications, Social Science Research Network (SSRN), Retrieved from http://www.cass.city.ac.uk/__data/assets/pdf_file/0006/86622/Chiang.pdf
  • Cross, F. (1973). The Behavior of Stock Prices on Fridays and Mondays. Financial Analysts Journal, 29(6), 67-69.
  • Caglayan, E. (2011). The Impact of Stock Index Futures. Journal of Emerging Market Finance, 10(1), 73-91.
  • Çakan, E., Demirer, R., Gupta, Marfatia, H. (2019). Journal of Economics and Finance, 43(1), 44-56.
  • Cimen, A., Can Ergun, Z. (2019). Turk Ilk Halka Arz Piyasasinda Suru Davranisinin Ampirik Analizi. Izmir Iktisat Dergisi, 34(1), 67-75.
  • De Bondt, W. F. M., Thaler, R. (1987). Further Evidence on Investor Overreaction and Stock Market Seasonality. The Journal of Finance, 42(3), 557-581.
  • Demir, N., Mahmud, S. F., Solakoglu, M. N. (2014). Sentiment and Beta Herding in the Borsa Istanbul (BIST), Contemporary Studies in Economic and Financial Analysis, in Risk Management Post Financial Crisis: A Period of Monetary Easing, 96, Emerald Group Publishing Limited, 389 – 400.
  • Dogukanli, H., Ergun, B. (2011). IMKB’de Suru Davranisi: Yatay Kesit Degiskenlik Temelinde Bir Arastirma. Cukurova Universitesi Isletme Fakultesi Dergisi, 12(2), 227–242.
  • Durukan, M. B., Ozsu, H. H., Can Ergun, Z. (2017). Chapter 12 - Financial Crisis and Herd Behavior: Evidence from the Borsa Istanbul, in (ed.) Economou, F., Gavriilidis, K., Gregoriou, G. N., Kallinterakis, V., Handbook of Investors' Behavior During Financial Crises, Academic Press, 203-217.
  • Engle, R. F. (1982). Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation. Econometrica, 50(4), 987-1008.
  • Engle, R. F. (2001). GARCH 101: The use of ARCH/GARCH models in applied econometrics. Journal of Economic Perspectives, 15(4), 157-168.
  • Engle, R. F., Rangel, J. G. (2008). The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes. Review of Financial Studies, 21(3), 1187-1222.
  • Ergün, B., Doğukanlı, H. (2015). Hisse Senedi Piyasalarında Sürü Davranışı: BİST’te Bir Araştırma. Journal of International Social Research, 8(40), 690-699.
  • Fama, E. F. (1970). Efficient Capital Markets: A review of Theory and Empirical Work. Journal of Finance,25(2), 383 – 417.
  • Fields, M. J. (1931). Stock Prices: A Problem in Verification. The Journal of Business, 4, 415.
  • Gavriilidis, K., Kallinterakis, V., Tsalavoutas, I. (2016). Journal of Economic Behavior&Organization, 132, 23-38.
  • Gunes, H. (2018), Islami Endekslerde Takvim Anomalisi: Ramazan Etkisi. Finans Politik & Ekonomik Yorumlar, 55(645), 75-89.
  • Hayo, B. and Kutan, A. M. (2005). IMF-Related News and Emerging Financial Markets. Journal of International Money and Finance, 24, 1126-1142.
  • Irfan, A., Waheed, A., Namrah, A., Mohammed, M. E. (2017). Impact of Muslim Holy Days on Asian stock markets: An empirical evidence. Cogent Economics & Finance, 5(1), 1-10.
  • Kahneman, D., Tversky, A. (1979). Prospect theory: An analysis of decisions under risk. Econometrica, 47, 313-327.
  • Kapusuzoglu, A. (2011). Herding in the Istanbul Stock Exchange (ISE): A Case of Behavioral Finance. African Journal of Business Research, 4(3), 53-67.
  • Karcioglu, R., Özer, N. (2017). BIST’de Haftanın Gunu ve Tatil Etkisi Anomalilerinin Getiri ve Oynaklık Uzerindeki Etkisinin Incelenmesi. Karadeniz Teknik Universitesi Sosyal Bilimler Enstitusu Sosyal Bilimler Dergisi, 7(14), 457-483.
  • Kayalidere, K. (2012). Hisse Senedi Piyasasında Suru Davranisi: IMKB’de Ampirik bir İnceleme. Isletme Arastirmalari Dergisi, 4(4), 77-94.
  • Kucuksille, E., Ozmutaf, N. M. (2015). Is There Ramadan Effect in Turkish Stock Market?, Uluslararasi Alanya Isletme Fakültesi Dergisi, 7(3), 105-110.
  • Lao, P., Singh, H. (2011). Herding behaviour in the Chinese and Indian stock markets. Journal of Asian Economics, 22(6), 495-506.
  • Lunde, A., Hansen, P. R. (2005). A forecast comparison of volatility models: does anything beat a GARCH (1,1)?. Journal of Applied Econometrics, 20(7), 873-889.
  • Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. New York: Springer.
  • Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.
  • Oncü, M.A., Unal, A., Demirel, O. (2017). The Day of the Week Effect in Borsa Istanbul; A GARCH Model Analysis. Uluslararası Yönetim Iktisat ve Isletme Dergisi, 13(3), 521-534.
  • Ozkan, N., Akbalik, M. (2018). Hicri Takvim Etkisi: Borsa Istanbul Gida-Icecek, Hizmetler ve Ulastırma Endekslerinde Yer Alan Paylar Uzerine Bir Arastırma, Journal of Yasar University, 13(49), 9-21.
  • Petros Messis Achilleas Zapranis, (2014). Herding behaviour and volatility in the Athens Stock Exchange. The Journal of Risk Finance, Vol. 15 Iss 5 pp. 572 – 590.
  • Seif, M., Docherty, P., Shamsuddin, A. (2017). Seasonal Anomalies in Advanced Stock Markets. The Quarterly Review of Economics and Finance, 66, 169-181.
  • Solakoğlu, M. N., Güvercin, A., Akkaş, M. E. (2016). The Impacts of Elections and Central Banks Meetings on Herding Behavior: Evidence from Borsa Istanbul, 20. Finans Sempozyumu, 19-22 October.
  • Tan, O. F. (2017). Ramadan Effect: Evidence from Borsa Istanbul. Marmara Universitesi Iktisadi ve Idari Bilimler Dergisi, 39(1), 239-256.
  • Thaler, R. (1987a). Anomalies The January Effect. Economic Perspectives, 1(1), 197-201.
  • Thaler, R. (1987b). Anomalies Seasonal Movements in Security Prices II: Weekend, Holiday, Turn of the Month, and Intraday Effects. Economic Perspectives, 1(2), 169-177.
  • Toraman, C., Öztosun, E., Colakoglu, E. (2017). Testing the Day-of-the-Week Anomaly for Sectoral Turkish Stock Market. International Journal of Business Management and Economic Research, 8(1), 862-871.
  • Trotter, W. (1916). Instincts of the Herd in Peace and War. London, T. Fisher Unwin Ltd, Retrieved from https://archive.org/details/instinctsofherdi00trot/page/n7
  • Ulusan, M., Hanci, G., Paksoy, M. (2013). Borsa Istanbul’da Ic ya da Dis Denetim Odaklı Bireyler Acisindan Bankacılık Hisseleri Bazında Suru Davranisinin Incelenmesi, 17. Finans Sempozyumu, 23-26 October
  • Ulusan Polat, M., Cilingirturk, Ah. M., Sumer Gogus, H. (2019). Do Calendar Anomalies Really Exist?: An Evidence from Borsa Istanbul, in (ed.) Pernsteiner. H, Sumer, H.,
  • Ulusan Polat, M., Behaviorial Finance, Linde Verlag, 249-281.
  • Urquhart, A., McGroarty, F. (2014). Calendar effects, market conditions and Adaptive Market Hypothesis: Evidence from long-run U.S. data. International Review of Financial Analysis, 35, 154-166.
  • Wang, D. (2008). Herd Behavior towards the Market Index: Evidence from 21 Financial Markets. IESE Business School Working Paper No. 776. Retrieved from https://ssrn.com/abstract=1316783 (Accessed: 04.05.2019).
  • Wu, H. X., Shea, E. Y. P. (2011). Explaining the China Puzzle: High Growth and Low Volatility in the Absence of Healty Financial Institutions, EcoMod2011 Conference, Azores, Portugal, June 29-July 1.
  • Yigiter, S. Y., Sari, S. S. (2016). 2008-2014 Yillari Arasinda BIST’de Haftanin Gunu Etkisi. C.Ü. Iktisadi ve Idari Bilimler Dergisi, 17(1), 287-301
There are 66 citations in total.

Details

Primary Language English
Subjects Finance, Business Administration
Journal Section Articles
Authors

Ahmet Mete Cılıngırturk 0000-0001-8677-7969

Meltem Ulusan Polat 0000-0002-0673-5185

Handan Sumer Gogus This is me 0000-0002-1408-9339

Publication Date March 30, 2020
Published in Issue Year 2020 Volume: 9 Issue: 1

Cite

APA Cılıngırturk, A. M., Polat, M. U., & Gogus, H. S. (2020). DOES BORSA ISTANBUL INCORPORATE HERDING AND CALENDAR ANOMALIES? AN EMPIRICAL EVIDENCE. Journal of Business Economics and Finance, 9(1), 12-27. https://doi.org/10.17261/Pressacademia.2020.1189

Journal of Business, Economics and Finance (JBEF) is a scientific, academic, double blind peer-reviewed, quarterly and open-access journal. The publication language is English. The journal publishes four issues a year. The issuing months are March, June, September and December. The journal aims to provide a research source for all practitioners, policy makers and researchers working in the areas of business, economics and finance. The Editor of JBEF invites all manuscripts that that cover theoretical and/or applied researches on topics related to the interest areas of the Journal. JBEF charges no submission or publication fee.



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