AN INVESTIGATION OF HERDING BEHAVIOR IN TURKISH MUTUAL FUND INDUSTRY

Year 2018, Volume: 10 Issue: 19, 291 - 302, 01.07.2018

Pınar Evrim Mandacı Zeliha Can Ergün F. Dilvin Taşkın Yeşilova

https://doi.org/10.14784/marufacd.502166

Abstract

This paper investigates the herding behavior of mutual
fund managers in Turkey by using monthly data for the period from March 2014 to
April 2017. We collect data from the monthly reports of 18 common stock mutual
funds. First, we use the herding measure (H_i,t) that was developed
by Lakanishok, Shleifer and Vishny
(1992) to point out the stock picking herding, and then we apply the buying and
selling side herding measures of Wermers (1999)
to see the direction of this stock picking herding. Additionally, we apply an
alternative measure of herding introduced by Oehler
(1998), to determine the overall extent of mutual fund herding (market-wide
herding). While our results on stock picking herding indicate the existence of
any herding, the results on market-wide herding indicates the presence of it.

Keywords

Behavioral Finance, Herding Behavior, Mutual Funds

References

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