COVID-19 KÜRESEL SALGINI SIRASINDA BORSA İSTANBUL’DA SÜRÜ DAVRANIŞININ TEST EDİLMESİ

Abstract

Sürü davranışı kavramı, herhangi bir merkeze bağlı olmadan hareket etmeye meyilli yatırımcıların piyasada gerçekleştirdikleri sözde koordineli veya işbirlikçi davranışlarının doğasına dayanmaktadır. Bu çalışma, yeni koronavirüs salgını sırasında Borsa İstanbul (BIST) için sürü davranış fenomenini araştırmaktadır. Tüm dönem, yerel anlamda ilk kez karşılaşılan COVID-19 vakasının resmi duyuru tarihi olan 11 Mart 2020 tarihini medyan noktası olarak dikkate alarak iki tane ayrık simetrik bir yıllık alt döneme ayrılmıştır. Makale, 11 Mart 2019 – 9 Mart 2021 dönemi boyunca BIST 100 endeksini oluşturan hisselerin günlük hisse senedi kapanış fiyatları kullanılarak, muhtemel sürü davranışını test etmek için Kesitsel ortalama mutlak sapma (CSAD) ve Kesitsel standart sapma (CSSD) test etme metodolojisine dayanan modelleri esas almak suretiyle ilerlemektedir.

Keywords

• Davranışsal Finans
• Piyasa Etkinliği
• Zaman Serisi Modelleri.

TESTING FOR HERD BEHAVIOR IN BORSA ISTANBUL DURING THE COVID-19 PANDEMIC

Abstract

The concept of herd behavior is based on the nature of decentralized acting investors’ pseudo-collaborative behaviors in the market. This study investigates the herd behavior phenomenon for Borsa Istanbul (BIST) amidst the new coronavirus outbreak. The whole period is split into symmetrical two discrete one-year sub-periods considering the median date of March 11th, 2020, the official announcement date of the first domestic COVID-19 case. The paper proceeds with the models based on the Cross-sectional mean absolute deviation (CSAD) and the Cross-sectional standard deviation (CSSD) test methodology to test for probable herd behavior, using daily stock closing prices of the BIST 100 index shares during the period from March 11th, 2019 to March 9th, 2021.

Keywords

• Behavioral Finance
• Market Efficiency
• Time-Series Models

References

1. Altay, E. (2008). Herding in Capital Markets: Analysis of Herding Towards the Market in ISE. Journal of BRSA Banking and Financial Markets, 2(1), 27–58. https://www.bddk.org.tr/ContentBddk/BddkDergi/ dergi_0003_04.pdf
2. Altunoz, U. (2018). Does herd behavior exist in Turkish stock markets? The case of Borsa Istanbul. Proceedings of International Academic Conferences, 8109857. DOI: 10.20472/IAC.2018.044.002
3. Banerjee, A. V. (1992). A simple model of herd behavior. The Quarterly Journal of Economics, 107(3), 797–817. https://doi.org/10.2307/2118364
4. Bikchandani, S., Hirshleifer, D. & Welch, I. (1992). A theory of fads, fashion, custom, and cultural change as informational cascades. The Journal of Political Economy, 100(5), 992– 026. https://doi. org/10.1086/261849
5. Bikchandani, S. & Sharma, S. (2001). Herd behavior in financial markets. IMF Staff Papers, 47(3), 279–310. https://doi.org/10.2307/3867650
6. Bouri, E., Demirer, R., Gupta, R. & Nel, J. (2021). COVID-19 Pandemic and Investor Herding in International Stock Markets. Risks, 9(9), 168. https://doi.org/10.3390/risks9090168
7. Brooks, C. (2019). Introductory Econometrics for Finance (4th ed.). Cambridge University Press.
8. Cakan, E. & Balagyozyan, A. (2014). Herd behaviour in the Turkish banking sector. Applied Economics Letters, 21(2), 75–79. https://doi.org/10.1080/13504.851.2013.842629

9. Chang, C. L., McAleer, M., & 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, 110349. https://doi.org/10.1016/j.rser.2020.110349
10. Chang, E. C., Cheng, J. W. & Khorana, A. (2000). An examination of herd behavior in equity markets: An international perspective. Journal of Banking & Finance, 24(10), 1651–1679. https://doi.org/10.1016/ S0378-4266(99)00096-5
11. Christie, W. G. & Huang, R. D. (1995). Following the Pied Piper: Do Individual Returns Herd around the Market?. Financial Analysts Journal, 51(4), 31–37. https://doi.org/10.2469/faj.v51.n4.1918
12. Demirer, R. & Kutan, A. M. (2006). Does herding behavior exist in Chinese stock markets?. Journal of International Financial Markets, Institutions and Money, 16(2), 123–142. https://doi.org/10.1016/j.intfin.2005.01.002
13. Demirer, R., Kutan, A. M. & Chen, C. D. (2010). Do investors herd in emerging stock markets?: Evidence from the Taiwanese market. Journal of Economic Behavior & Organization, 76(2), 283–295. https://doi. org/10.1016/j.jebo.2010.06.013
14. Dewan, P. & Dharni, K. (2019). Herding behavior in investment decision making: A review. Journal of Economics, Management and Trade, 24(2), 1–12. DOI: 10.9734/jemt/2019/v24i230160
15. Dogukanli, H. & Ergun, B. (2015). Herding in BIST: An investigation using the methodology of Hwang and Salmon. Finans Politik ve Ekonomik Yorumlar, 52(603), 7–24. http://www.ekonomikyorumlar.com.tr/ files/articles/152.820.006165_1.pdf
16. Erdogan, H.H. (2021). Beta Herding in thee Covid-19 Era: Evidence from Borsa Istanbul. Business and Economics Research Journal, 12(2), 359-368. doi: 10.20409/berj.2021.326
17. Erdogan, H.H. (2022). Herd behavior in bank lending: Evidence from participation banks Turkey. International Journal of Economic and Administrative Studies, 34, 117-128. https://doi.org/10.18092/ulikidince.940660
18. Espinosa-Méndez, C., & Arias, J. (2021). COVID-19 effect on herding behaviour in European capital markets. Finance Research Letters, 38, 101787. https://doi.org/10.1016/j.frl.2020.101787
19. Fama, E.F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383–417. https://doi.org/10.2307/2325487
20. Gleason, K. C., Lee, C. & Mathur, I. (2003). Herding behavior in European futures markets. Finance Letters, 1, 5–8.
21. Hwang, S. & Salmon, M. (2004). Market stress and herding. Journal of Empirical Finance, 11(4), 585–616. https:// doi.org/10.1016/j.jempfin.2004.04.003
22. Investing.com (n.d.). BIST 100 Index Stock Prices. Retrieved April 7, 2021, from https://www.investing.com/ indices/ise-100-components
23. Kahneman, D. & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 263–292. https://doi.org/10.2307/1914185
24. Konstantinidis, A., Katarachia, A., Borovas, G. & Voutsa, M.E. (2012). From Efficient Market Hypothesis To Behavioural Finance: Can Behavioural Finance Be The New Dominant Model For Investing?, Scientific Bulletin – Economic Sciences, 11(2), 16-26. https://ideas.repec.org/a/pts/journl/y2012i2p16-26.html
25. Lee, C. C., Chen, M. P. & Hsieh, K. M. (2013). Industry herding and market states: evidence from Chinese stock markets. Quantitative Finance, 13(7), 1091–1113. https://doi.org/10.1080/14697.688.2012.740571
26. Lucas, R. E. Jr. (1972). Expectations and the neutrality of money. Journal of Economic Theory, 4, 103–124. https:// doi.org/10.1016/0022-0531(72)90142-1
27. Miskolczi, P. (2017). Note on simple and logarithmic return. Applied Studies in Agribusiness and Commerce, 11(1-2), 127–136. doi: 10.19041/apstract/2017/1-2/16
28. Needham, T. (1993). A Visual Explanation of Jensen’s Inequality, The American Mathematical Monthly, 100(8), 768–771. https://doi.org/10.1080/00029.890.1993.11990484
29. Ozkan, O. (2021) Impact of COVID-19 on stock market efficiency: Evidence from developed countries. Research in International Business and Finance, 58, 101445. https://doi.org/10.1016/j.ribaf.2021.101445
30. Persaud, A. (2000). Sending the herd off the cliff edge: The disturbing interaction between herding and marketsensitive risk management practices. Journal of Risk Finance, 2(1), 59–65. https://doi.org/10.1108/ eb022947
31. Satish, B. & Padmasree, K. (2018). An empirical analysis of herding behavior in Indian stock market. International Journal of Management Studies, 5(3), 124–132. http://researchersworld.com/ijms/vol5/ issue3_3/Paper_15.pdf
32. Scharfstein, D. S. & Stein, J. C. (1990). Herd behavior and investment. The American Economic Review, 80(3), 465–479. https://www.jstor.org/stable/2006678
33. Shrotryia, V.K. & Kalra, H. (2019). An empirical investigation of herding in the Indian stock market. e-Journal of Social & Behavioral Research in Business, 10(1), 40–53. http://ejsbrb.org/upload/e-JSBRB_4_Shrotryia_ Kalra_10(1)_2019_.pdf
34. Solakoglu, M.N. & Demir, N. (2014). Sentimental herding in Borsa Istanbul: informed versus uninformed. Applied Economic Letters, 21(14), 965–968. https://doi.org/10.1080/13504.851.2014.902015
35. Steland, A. (2012). Financial Statistics and Mathematical Finance: Methods, Models and Applications. John Wiley & Sons, Ltd.
36. Treynor, J. L. & Mazuy, K. (1966). Can Mutual Funds Outguess the Market? Harvard Business Review, 4, 131- 136.