Yıl 2019, Cilt 7 , Sayı 1, Sayfalar 37 - 54 2019-06-30

Analysis of Herd Behavior In Commodity Futures Markets
Emtia Futures Piyasalarında Sürü Davranışının Analizi

İsmail Atacan [1] , Erdinç Altay [2]


The herd behavior which can be defined as ignoring self opinions and imitating the other investors in investment decision making process can be a fundamental characteristic of financial markets in crisis periods. The main purpose of the study is to examine the possible existence of the herd behavior in the commodity futures markets fort he period of 06.01.1998-07.06.2018. In this study, the methodologies of Christie and Huang (1995) and Chang, Cheng, and Khorana (2000), which are based on the cross-sectional variability of commodity futures contracts, and the Hwang and salmon (2004) method which is based on the cross-sectional variability of beta coefficients were implemented. As a result, the evidence obtained from the method of Christie and Huang (1995), which assumed a linear relation between cross-sectional variability and market returns, does not show herd behavior. On the other hand, the evidence obtained from the method of Chang, Cheng and Khorana (2000), who argue a nonlinear relation supports the hypothesis that there is a herd behavior in the commodity futures market and shows that the relationship between crosssectional variability and high and low rates of return is nonlinear. In particular, it is seen that the effects of herd behavior are more pronounced in the bullish periods of in the market. Furthermore, the findings obtained from the methodology based on the variability of the betas also show the presence of the herd behavior in certain periods.
Yatırım karar sürecinde kendi bilgi ve görüşlerini göz ardı ederek diğerlerini taklit etmek olarak tanımlanan sürü davranışı, özellikle kriz dönemlerinde finansal piyasaların temel bir karakteristiği olabilmektedir. Bu çalışmanın temel amacı, sürü davranışının emtia futures piyasalarındaki olası varlığını 06.01.1998-07.06.2018 döneminde incelemektir. Çalışmada emtia futures sözleşmelerinin getiri oranlarının yatay kesit değişkenliğine dayanan Christie ve Huang (1995) ve Chang, Cheng ve Khorana (2000)’nın metodolojileri ile beta katsayılarının yatay kesit değişkenliğine dayalı olan Hwang ve Salmon (2004)’un yöntemi kullanılmıştır. Getirilerin yatay kesit değişkenlik ile piyasa getirileri arasındaki ilişkinin doğrusal olduğunu varsayan Christie ve Huang (1995)’ın yönteminden elde edilen bulgularda sürü davranışı görülmezken, bu ilişkinin doğrusal olmadığını savunan Chang, Cheng ve Khorana (2000) yönteminden elde edilen sonuçlar, emtia futures piyasasında sürü davranışının var olduğu hipotezini desteklemekte ve yatay kesit değişkenlik ile yüksek ve düşük getiri oranları arasındaki ilişkinin doğrusal olmadığını göstermektedir. Bulgular, özelikle piyasada artışların olduğu dönemlerde sürü davranışının etkilerinin daha belirgin olduğunu görülmektedir. Ayrıca, betaların yatay kesit değişkenliğine dayalı metodolojiden elde edilen bulgular da belirli dönemlerde sürü davranışının ortaya çıktığını göstermektedir.
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Orcid: 0000-0002-6995-5003
Yazar: İsmail Atacan
Kurum: İSTANBUL ÜNİVERSİTESİ, SOSYAL BİLİMLER ENSTİTÜSÜ, PARA, SERMAYE PİYASALARI VE FİNANSAL KURUMLAR (YL)
Ülke: Turkey


Orcid: 0000-0002-4461-3891
Yazar: Erdinç Altay
Kurum: İSTANBUL ÜNİVERSİTESİ, İKTİSAT FAKÜLTESİ
Ülke: Turkey


Tarihler

Başvuru Tarihi : 1 Kasım 2018
Kabul Tarihi : 28 Şubat 2019
Yayımlanma Tarihi : 30 Haziran 2019

APA Atacan, İ , Altay, E . (2019). Emtia Futures Piyasalarında Sürü Davranışının Analizi. Alphanumeric Journal , 7 (1) , 37-54 . DOI: 10.17093/alphanumeric.477589