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

Year 2022, , 36 - 52, 24.06.2022

Devrim Yalçın , Aslı Aybars

https://doi.org/10.14780/muiibd.1135455
Cited By: 1

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.

References

  • 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
  • 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
  • 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
  • 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
  • Bikchandani, S. & Sharma, S. (2001). Herd behavior in financial markets. IMF Staff Papers, 47(3), 279–310. https://doi.org/10.2307/3867650
  • 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
  • Brooks, C. (2019). Introductory Econometrics for Finance (4th ed.). Cambridge University Press.
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • Gleason, K. C., Lee, C. & Mathur, I. (2003). Herding behavior in European futures markets. Finance Letters, 1, 5–8.
  • 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
  • Investing.com (n.d.). BIST 100 Index Stock Prices. Retrieved April 7, 2021, from https://www.investing.com/ indices/ise-100-components
  • Kahneman, D. & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 263–292. https://doi.org/10.2307/1914185
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • Steland, A. (2012). Financial Statistics and Mathematical Finance: Methods, Models and Applications. John Wiley & Sons, Ltd.
  • Treynor, J. L. & Mazuy, K. (1966). Can Mutual Funds Outguess the Market? Harvard Business Review, 4, 131- 136.

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

Year 2022, , 36 - 52, 24.06.2022

Devrim Yalçın , Aslı Aybars

https://doi.org/10.14780/muiibd.1135455
Cited By: 1

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

  • 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
  • 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
  • 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
  • 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
  • Bikchandani, S. & Sharma, S. (2001). Herd behavior in financial markets. IMF Staff Papers, 47(3), 279–310. https://doi.org/10.2307/3867650
  • 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
  • Brooks, C. (2019). Introductory Econometrics for Finance (4th ed.). Cambridge University Press.
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • Gleason, K. C., Lee, C. & Mathur, I. (2003). Herding behavior in European futures markets. Finance Letters, 1, 5–8.
  • 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
  • Investing.com (n.d.). BIST 100 Index Stock Prices. Retrieved April 7, 2021, from https://www.investing.com/ indices/ise-100-components
  • Kahneman, D. & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 263–292. https://doi.org/10.2307/1914185
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • Steland, A. (2012). Financial Statistics and Mathematical Finance: Methods, Models and Applications. John Wiley & Sons, Ltd.
  • Treynor, J. L. & Mazuy, K. (1966). Can Mutual Funds Outguess the Market? Harvard Business Review, 4, 131- 136.
There are 36 citations in total.

Details

Primary Language English
Journal Section Makaleler
Authors

Devrim Yalçın 0000-0002-0017-2959

Aslı Aybars This is me 0000-0002-7899-2367

Publication Date June 24, 2022
Submission Date January 4, 2022
Published in Issue Year 2022

Cite

APA Yalçın, D., & Aybars, A. (2022). TESTING FOR HERD BEHAVIOR IN BORSA ISTANBUL DURING THE COVID-19 PANDEMIC. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 44(1), 36-52. https://doi.org/10.14780/muiibd.1135455
AMA Yalçın D, Aybars A. TESTING FOR HERD BEHAVIOR IN BORSA ISTANBUL DURING THE COVID-19 PANDEMIC. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. June 2022;44(1):36-52. doi:10.14780/muiibd.1135455
Chicago Yalçın, Devrim, and Aslı Aybars. “TESTING FOR HERD BEHAVIOR IN BORSA ISTANBUL DURING THE COVID-19 PANDEMIC”. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi 44, no. 1 (June 2022): 36-52. https://doi.org/10.14780/muiibd.1135455.
EndNote Yalçın D, Aybars A (June 1, 2022) TESTING FOR HERD BEHAVIOR IN BORSA ISTANBUL DURING THE COVID-19 PANDEMIC. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 44 1 36–52.
IEEE D. Yalçın and A. Aybars, “TESTING FOR HERD BEHAVIOR IN BORSA ISTANBUL DURING THE COVID-19 PANDEMIC”, Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, vol. 44, no. 1, pp. 36–52, 2022, doi: 10.14780/muiibd.1135455.
ISNAD Yalçın, Devrim - Aybars, Aslı. “TESTING FOR HERD BEHAVIOR IN BORSA ISTANBUL DURING THE COVID-19 PANDEMIC”. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 44/1 (June 2022), 36-52. https://doi.org/10.14780/muiibd.1135455.
JAMA Yalçın D, Aybars A. TESTING FOR HERD BEHAVIOR IN BORSA ISTANBUL DURING THE COVID-19 PANDEMIC. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2022;44:36–52.
MLA Yalçın, Devrim and Aslı Aybars. “TESTING FOR HERD BEHAVIOR IN BORSA ISTANBUL DURING THE COVID-19 PANDEMIC”. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi, vol. 44, no. 1, 2022, pp. 36-52, doi:10.14780/muiibd.1135455.
Vancouver Yalçın D, Aybars A. TESTING FOR HERD BEHAVIOR IN BORSA ISTANBUL DURING THE COVID-19 PANDEMIC. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2022;44(1):36-52.

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https://doi.org/10.29106/fesa.1286673

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