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FİNANSAL PİYASALARDA VOLATİLİTENİN SÜRÜ DAVRANIŞI ÜZERİNE ETKİSİ: BRICS-T ÜLKELERİ ÜZERİNE BİR UYGULAMA

Year 2024, Issue: 44, 207 - 222, 07.08.2024

Esra Kangal , Veli Akel

https://doi.org/10.18092/ulikidince.1475659

Abstract

Piyasa katılımcılarının, yatırım kararı verirken rasyonel davranamamalarına sebep olan sürü davranışı davranışsal finans kapsamında yer alan bir kavramdır. Bu çalışmada BRICS-T Ülkelerinde sürü davranışı varlığını araştırmak amacıyla Christie ve Huang (1995) ve Chang, Cheng ve Khorana (2000) modelleri kullanılmıştır. 2011-2021 yılları arasındaki günlük piyasa verileri kullanılarak analiz gerçekleştirilmiştir. Tüm, düşen ve yükselen ve piyasalar için regresyon analizi sonuçları ayrı ayrı incelenmiştir. CH (1995) modelinde Brezilya, Rusya, Hindistan, Güney Afrika ve Türkiye yükselen piyasa dönemlerinde sürü davranışı varlığı tespit edilirken Çin finansal piyasasında sürü davranışı etkisi görülmemiştir. CCK (2000) modelinde ise Hindistan yükselen piyasasında sürü davranışına dair kanıtlar elde edilirken diğer BRICS-T ülkelerinde bu modele göre herhangi bir sürü davranışı bulgusuna rastlanılmamıştır. Elde edilen analiz sonuçlarına göre volatilitenin sürü davranışı üzerinde asimetrik bir etkisi gözlemlenmemiştir.

Keywords

Sürü Davranışı Christie ve Huang (1995) Chang Cheng ve Khorona (2000) Yöntemi BRICS-T Ülkeleri

References

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  • Ampofo, R. T., Aidoo, E. N., Ntiamoah, B. O., Frimpong, O., and Sasu, D. (2023). An Empirical İnvestigation of COVID-19 Effects on Herding Behaviour in USA and UK Stock Markets Using a Quantile Regression Approach. Journal of Economics and Finance, 47(2), 517-540.
  • Ampofo, R. T., Aidoo, E. N., Ntiamoah, B. O., Frimpong, O., and Sasu, D. (2023). An Empirical İnvestigation of COVID-19 Effects on Herding Behaviour in USA and UK Stock Markets Using a Quantile Regression Approach. Journal of Economics and Finance, 47(2), 517-540.
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  • Demirer, R., Kutan, A.M. and 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, DOI: 10.1016/j.jebo.2010.06.013.
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  • Galariotis, E. C., Krokida, S. I., and Spyrou, S. I. (2016). Bond Market İnvestor Herding: Evidence from the European Financial Crisis. International Review of Financial Analysis, 48, 367-375.
  • Galariotis, E. C., Krokida, S. I., and Spyrou, S. I. (2016). Bond Market İnvestor Herding: Evidence from the European Financial Crisis. International Review of Financial Analysis, 48, 367-375.
  • Garg, A. and Jindal K. (2014), Herding Behaviour in An Emerging Stock Market: Empirical Evidence From India, The UIP Journal of Applied Finance, Vol 20, No.2, pp. 18-36.
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  • Gazel, S. (2016, Ocak). Davranışsal Finans: Psikolojik Eşik ve Önyargılar, Detay Yayıncılık.
  • Gazel, S. (2016, Ocak). Davranışsal Finans: Psikolojik Eşik ve Önyargılar, Detay Yayıncılık.
  • Haryonto, S., Subroto, A. and Ulpah, M. (2020). Disposition Effect and Herding Behavior in The Cryptocurrency Market, Journal of Industrial and Business Economics. (47) 115–132.
  • Haryonto, S., Subroto, A. and Ulpah, M. (2020). Disposition Effect and Herding Behavior in The Cryptocurrency Market, Journal of Industrial and Business Economics. (47) 115–132.
  • Kayalıdere, K. (2012), Hisse Senedi Piyasasında Sürü Davranışı: İMKB’de Ampirik Bir İnceleme, İşletme Araştırmaları Dergisi, 4(4), 77-94.
  • Kayalıdere, K. (2012), Hisse Senedi Piyasasında Sürü Davranışı: İMKB’de Ampirik Bir İnceleme, İşletme Araştırmaları Dergisi, 4(4), 77-94.
  • Kıyılar, M. ve Akkaya, M. (2016, Mart). Davranışsal Finans, İstanbul: Literatür Yayınları.
  • Kıyılar, M. ve Akkaya, M. (2016, Mart). Davranışsal Finans, İstanbul: Literatür Yayınları.
  • Kuzu, S. ve Çelik, İ.E. (2020), Borsa İstanbul’da Sürü Davranışı Varlığının Test Edilmesi: Borsa İstanbul Üzerine Bir Uygulama, Mehmet Akif Ersoy Uygulamalı Bilimler Dergisi, 4(2), 363-375.
  • Kuzu, S. ve Çelik, İ.E. (2020), Borsa İstanbul’da Sürü Davranışı Varlığının Test Edilmesi: Borsa İstanbul Üzerine Bir Uygulama, Mehmet Akif Ersoy Uygulamalı Bilimler Dergisi, 4(2), 363-375.
  • Medetoğlu, B. ve Saldanlı, A. (2019), Sürü Davranışının Hisse Senedi Fiyat Hareketliliğine Etkisi: BİST 100 Örneği, İşletme Araştırmaları Dergisi Journal of Busıness Research- Turk, 11(2), 1191-1204.
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  • Messis, P., and Zapranis, A. (2014). Herding Behaviour and Volatility in the Athens Stock Exchange. The Journal of Risk Finance, 15(5), 572-590.
  • Messis, P., and Zapranis, A. (2014). Herding Behaviour and Volatility in the Athens Stock Exchange. The Journal of Risk Finance, 15(5), 572-590.
  • Mobarek, A., Mollah, S., and Keasey, K. (2014). A Cross-Country Analysis of Herd Behavior in Europe. Journal of International Financial Markets, Institutions and Money, 32, 107-127.
  • Mobarek, A., Mollah, S., and Keasey, K. (2014). A Cross-Country Analysis of Herd Behavior in Europe. Journal of International Financial Markets, Institutions and Money, 32, 107-127.
  • Onour, I. (2019). Herd Behavior and Volatility Persistence in Bombay (Mumbai) Stock Exchange. Management and Economics Research Journal, 6.
  • Onour, I. (2019). Herd Behavior and Volatility Persistence in Bombay (Mumbai) Stock Exchange. Management and Economics Research Journal, 6.
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  • Sefil, S. ve Çilingiroğlu, H.K. (2011). Davranışsal Finansın Temelleri: Karar Vermenin Bilişsel ve Duygusal Eğilimleri. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 10 (19) 247-268.
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THE EFFECT OF VOLATILITY ON HERD BEHAVIOR IN FINANCIAL MARKETS: AN APPLICATION ON BRICS-T COUNTRIES

Year 2024, Issue: 44, 207 - 222, 07.08.2024

Esra Kangal , Veli Akel

https://doi.org/10.18092/ulikidince.1475659

Abstract

Herd behavior, which causes market participants not to act rationally when making investment decisions, is a concept within the scope of behavioral finance. In this study, the existence of herd behavior in BRICS-T Countries was investigated using the Christie and Huang (1995) and Chang, Cheng and Khorana (2000) models, which are among the herd behavior measurement methods. The analysis was carried out using daily market closing data between 2011 and 2021. The regression analysis results for all rising and falling markets were examined separately. In the CH (1995) model, the presence of herding behavior was detected in the emerging market periods of Brazil, Russia, India, South Africa and Turkey, while no herding effect was observed in Chinese financial markets. While the CCK (2000) model found herd behavior in the Indian emerging market, no herd effect was found in this model applied in other BRICS-T countries. According to the analysis results, no asymmetric effect of volatility on herd behavior was observed.

Keywords

Herd Behavior Christie and Huang (1995) Chang Cheng and Khorona (2000) BRICS-T Countries

References

  • Akçaalan, E., Dizdaroğlu, B. ve Binatlı, A.O. (2020), International Investors, Volatility, and Herd Behavior: Borsa İstanbul, 2001-2016, Uluslararası Ekonomi ve Yenilik Dergisi, 6(2), 247-259.
  • Akçaalan, E., Dizdaroğlu, B. ve Binatlı, A.O. (2020), International Investors, Volatility, and Herd Behavior: Borsa İstanbul, 2001-2016, Uluslararası Ekonomi ve Yenilik Dergisi, 6(2), 247-259.
  • Akkuş, H.T., Çelik, İ. ve Karakaya, T. (Mart, 2023). Kripto Para Piyasalarında Sürü Davranışlarının Analizi: Piyasa Değeri En Yüksek Kripto Para Birimlerinden Yeni Kanıtlar, Finans Ekonomi ve Sosyal Araştırmalar Dergisi, Cilt.8 Sayı.1.
  • Akkuş, H.T., Çelik, İ. ve Karakaya, T. (Mart, 2023). Kripto Para Piyasalarında Sürü Davranışlarının Analizi: Piyasa Değeri En Yüksek Kripto Para Birimlerinden Yeni Kanıtlar, Finans Ekonomi ve Sosyal Araştırmalar Dergisi, Cilt.8 Sayı.1.
  • Ampofo, R. T., Aidoo, E. N., Ntiamoah, B. O., Frimpong, O., and Sasu, D. (2023). An Empirical İnvestigation of COVID-19 Effects on Herding Behaviour in USA and UK Stock Markets Using a Quantile Regression Approach. Journal of Economics and Finance, 47(2), 517-540.
  • Ampofo, R. T., Aidoo, E. N., Ntiamoah, B. O., Frimpong, O., and Sasu, D. (2023). An Empirical İnvestigation of COVID-19 Effects on Herding Behaviour in USA and UK Stock Markets Using a Quantile Regression Approach. Journal of Economics and Finance, 47(2), 517-540.
  • Aydın, Ü. ve Ağan, B. (2017), Davranışsal Finans: Finansal Yatırım Kararlarının Davranışsal Temeli, Ekin Yayınevi.
  • Aydın, Ü. ve Ağan, B. (2017), Davranışsal Finans: Finansal Yatırım Kararlarının Davranışsal Temeli, Ekin Yayınevi.
  • Balcilar, M. ve Demirer R. (2015). Effect of Global Shocks and Volatility on Herd Behavior in an Emerging Market: Evidence from Borsa Istanbul, Emerging Markets Finance & Trade, 51:140–159.
  • Balcilar, M. ve Demirer R. (2015). Effect of Global Shocks and Volatility on Herd Behavior in an Emerging Market: Evidence from Borsa Istanbul, Emerging Markets Finance & Trade, 51:140–159.
  • Bohl, M. T., Klein, A. C., and Siklos, P. L. (2014). Short-Selling Bans and Institutional Investors' Herding Behaviour: Evidence From the Global Financial Crisis. International Review of Financial Analysis, 33, 262-269.
  • Bohl, M. T., Klein, A. C., and Siklos, P. L. (2014). Short-Selling Bans and Institutional Investors' Herding Behaviour: Evidence From the Global Financial Crisis. International Review of Financial Analysis, 33, 262-269.
  • Can, R., ve Dizdarlar, I. (2019). Herd Behavior in the Borsa Istanbul. In Contemporary Issues in Behavioral Finance (pp. 171-185). Emerald Publishing Limited.
  • Can, R., ve Dizdarlar, I. (2019). Herd Behavior in the Borsa Istanbul. In Contemporary Issues in Behavioral Finance (pp. 171-185). Emerald Publishing Limited.
  • 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, pp. 31-37.
  • 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, pp. 31-37.
  • 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(2), 1651-1679.
  • 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(2), 1651-1679.
  • Chen, T. (2013)."Do İnvestors Herd in Global Stock Markets? Journal of Behavioral Finance, 14(3): 230-239.
  • Chen, T. (2013)."Do İnvestors Herd in Global Stock Markets? Journal of Behavioral Finance, 14(3): 230-239.
  • Demirer, R., Kutan, A.M. and 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, DOI: 10.1016/j.jebo.2010.06.013.
  • Demirer, R., Kutan, A.M. and 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, DOI: 10.1016/j.jebo.2010.06.013.
  • Fernandes, B.J.L. (2007). Risk Taking in Financial Markets: A Behavioral Perspectıve, Universıdad Carlos III De Madrid PhD Thesis.
  • Fernandes, B.J.L. (2007). Risk Taking in Financial Markets: A Behavioral Perspectıve, Universıdad Carlos III De Madrid PhD Thesis.
  • Galariotis, E. C., Krokida, S. I., and Spyrou, S. I. (2016). Bond Market İnvestor Herding: Evidence from the European Financial Crisis. International Review of Financial Analysis, 48, 367-375.
  • Galariotis, E. C., Krokida, S. I., and Spyrou, S. I. (2016). Bond Market İnvestor Herding: Evidence from the European Financial Crisis. International Review of Financial Analysis, 48, 367-375.
  • Garg, A. and Jindal K. (2014), Herding Behaviour in An Emerging Stock Market: Empirical Evidence From India, The UIP Journal of Applied Finance, Vol 20, No.2, pp. 18-36.
  • Garg, A. and Jindal K. (2014), Herding Behaviour in An Emerging Stock Market: Empirical Evidence From India, The UIP Journal of Applied Finance, Vol 20, No.2, pp. 18-36.
  • Gazel, S. (2016, Ocak). Davranışsal Finans: Psikolojik Eşik ve Önyargılar, Detay Yayıncılık.
  • Gazel, S. (2016, Ocak). Davranışsal Finans: Psikolojik Eşik ve Önyargılar, Detay Yayıncılık.
  • Haryonto, S., Subroto, A. and Ulpah, M. (2020). Disposition Effect and Herding Behavior in The Cryptocurrency Market, Journal of Industrial and Business Economics. (47) 115–132.
  • Haryonto, S., Subroto, A. and Ulpah, M. (2020). Disposition Effect and Herding Behavior in The Cryptocurrency Market, Journal of Industrial and Business Economics. (47) 115–132.
  • Kayalıdere, K. (2012), Hisse Senedi Piyasasında Sürü Davranışı: İMKB’de Ampirik Bir İnceleme, İşletme Araştırmaları Dergisi, 4(4), 77-94.
  • Kayalıdere, K. (2012), Hisse Senedi Piyasasında Sürü Davranışı: İMKB’de Ampirik Bir İnceleme, İşletme Araştırmaları Dergisi, 4(4), 77-94.
  • Kıyılar, M. ve Akkaya, M. (2016, Mart). Davranışsal Finans, İstanbul: Literatür Yayınları.
  • Kıyılar, M. ve Akkaya, M. (2016, Mart). Davranışsal Finans, İstanbul: Literatür Yayınları.
  • Kuzu, S. ve Çelik, İ.E. (2020), Borsa İstanbul’da Sürü Davranışı Varlığının Test Edilmesi: Borsa İstanbul Üzerine Bir Uygulama, Mehmet Akif Ersoy Uygulamalı Bilimler Dergisi, 4(2), 363-375.
  • Kuzu, S. ve Çelik, İ.E. (2020), Borsa İstanbul’da Sürü Davranışı Varlığının Test Edilmesi: Borsa İstanbul Üzerine Bir Uygulama, Mehmet Akif Ersoy Uygulamalı Bilimler Dergisi, 4(2), 363-375.
  • Medetoğlu, B. ve Saldanlı, A. (2019), Sürü Davranışının Hisse Senedi Fiyat Hareketliliğine Etkisi: BİST 100 Örneği, İşletme Araştırmaları Dergisi Journal of Busıness Research- Turk, 11(2), 1191-1204.
  • Medetoğlu, B. ve Saldanlı, A. (2019), Sürü Davranışının Hisse Senedi Fiyat Hareketliliğine Etkisi: BİST 100 Örneği, İşletme Araştırmaları Dergisi Journal of Busıness Research- Turk, 11(2), 1191-1204.
  • Messis, P., and Zapranis, A. (2014). Herding Behaviour and Volatility in the Athens Stock Exchange. The Journal of Risk Finance, 15(5), 572-590.
  • Messis, P., and Zapranis, A. (2014). Herding Behaviour and Volatility in the Athens Stock Exchange. The Journal of Risk Finance, 15(5), 572-590.
  • Mobarek, A., Mollah, S., and Keasey, K. (2014). A Cross-Country Analysis of Herd Behavior in Europe. Journal of International Financial Markets, Institutions and Money, 32, 107-127.
  • Mobarek, A., Mollah, S., and Keasey, K. (2014). A Cross-Country Analysis of Herd Behavior in Europe. Journal of International Financial Markets, Institutions and Money, 32, 107-127.
  • Onour, I. (2019). Herd Behavior and Volatility Persistence in Bombay (Mumbai) Stock Exchange. Management and Economics Research Journal, 6.
  • Onour, I. (2019). Herd Behavior and Volatility Persistence in Bombay (Mumbai) Stock Exchange. Management and Economics Research Journal, 6.
  • Özsu, H.H. (2015), Empirical Analysis of Herd Behavior in Borsa Istanbul, International Journal of Economic Sciences, IV(4), 27-52, DOI: 10.52950/ES.2015.4.4.003.
  • Özsu, H.H. (2015), Empirical Analysis of Herd Behavior in Borsa Istanbul, International Journal of Economic Sciences, IV(4), 27-52, DOI: 10.52950/ES.2015.4.4.003.
  • Park, B. J. (2011). Asymmetric Herding as a Source of Asymmetric Return Volatility. Journal of Banking & Finance, 35(10), 2657-2665.
  • Park, B. J. (2011). Asymmetric Herding as a Source of Asymmetric Return Volatility. Journal of Banking & Finance, 35(10), 2657-2665.
  • Raafat, R. M., Chater, N. and Frith, C. (2009). Herding in Humans. Trends in Cognitive Sciences, 13(10): 420-428.
  • Raafat, R. M., Chater, N. and Frith, C. (2009). Herding in Humans. Trends in Cognitive Sciences, 13(10): 420-428.
  • Sefil, S. ve Çilingiroğlu, H.K. (2011). Davranışsal Finansın Temelleri: Karar Vermenin Bilişsel ve Duygusal Eğilimleri. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 10 (19) 247-268.
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Details

Primary Language Turkish
Subjects Behavioural Finance
Journal Section Articles
Authors

Esra Kangal 0000-0002-9154-1149

Veli Akel 0000-0002-5723-0910

Publication Date August 7, 2024
Submission Date April 29, 2024
Acceptance Date August 6, 2024
Published in Issue Year 2024 Issue: 44

Cite

APA Kangal, E., & Akel, V. (2024). FİNANSAL PİYASALARDA VOLATİLİTENİN SÜRÜ DAVRANIŞI ÜZERİNE ETKİSİ: BRICS-T ÜLKELERİ ÜZERİNE BİR UYGULAMA. Uluslararası İktisadi Ve İdari İncelemeler Dergisi(44), 207-222. https://doi.org/10.18092/ulikidince.1475659

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