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Investigation of the Effect of Covid 19 on Borsa İstanbul Herd Behavior with the ARDL Bounds Testing Approach Within the VIX Index

Yıl 2023, Cilt: 7 Sayı: Prof. Dr. Muammer ERDOĞAN Anısına Kongre Özel Sayısı, 11 - 34, 29.03.2023
https://doi.org/10.33399/biibfad.1253263

Öz

This study examines the herd behavior in the BIST 30 index within the scope of the VIX (fear) index in the pre-Covid-19 period, the Covid-19 period, and the post-Covid-19 period. In this study the existence of herd behavior was tested using with the Christie ve Huang (1995) ve Chang et al.(2000) model. The cointegration relationship between the VIX (fear) index and the BIST 30 index return was investigated with the distributed autoregressive bounds test approach (ARDL). According to the results, herd behavior was detected in the BIST 30 index in the pre-Covid-19 period, Covid-19 period, and post-Covid-19 period. According to the ARDL bounds test results, a cointegration relationship was found between the VIX index and the BIST 30 index return in all three periods. In the long run, an inverse and significant relationship was found between the VIX index and the BIST 30 index return in the Covid-19 period. In contrast, no significant relationship was found between the BIST 30 index return and the VIX fear index in the pre-Covid-19 period and post-Covid-19 period. The results indicate that the herd behavior detected in the BIST 30 index during the Covid-19 period is irrational herding behavior associated with investor fear.

Kaynakça

  • Abdeldayem, M. M., & Al Dulaimi, S. H. (2020). Investors’ herd behavior related to the pandemic-risk reflected on the GCC stock markets. Zbornik radova Ekonomskog fakulteta u Rijeci: časopis za ekonomsku teoriju i praksu, 38(2), 563-584.
  • Afşar A. (2018). Geleneksel ve Davranışsal Finans Yaklaşımlarına göre Konut Balonları. Akademisyen Kitabevi.
  • Akel, V., ve Gazel, S. (2014). Döviz kurları ile Bist sanayi endeksi arasındaki eşbütünleşme ilişkisi: bir ardl sınır testi yaklaşımı. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 44, 23-41.
  • Alfaro, L., Chari, A., Greenland, A. N., & Schott, P. K. (2020). Aggregate and firm-level stock returns during pandemics, in real time (No. w26950). National Bureau of Economic Research.
  • Altay, E. (2008). Sermaye piyasasında sürü davranışı: İMKB'de piyasa yönünde sürü davranışının analizi. BDDK Bankacılık ve Finansal Piyasalar Dergisi, 2(1), 27-58.
  • Baek, S., Mohanty, S. K., & Glambosky, M. (2020). Covid-19 and stock market volatility: An industry level analysis. Finance Research Letters, 37, 101748.
  • Banerjee, A. V. (1992). A simple model of herd behavior. The Quarterly Journal of Economics, 107(3), 797-817.
  • Barut, A., & Kaygın, C. Y. (2020). Covid-19 pandemisinin seçilmiş borsa endeksleri üzerine etkisinin incelenmesi. Gaziantep University Journal of Social Sciences, 19 (Covid-19 Special Issue), 59-70.
  • Bikhchandani, S. & Sharma, S. (2001). Herd behavior in financial markets: a review, IMF Staff Papers, 47, 279-310.
  • Bouri, E., Demirer, R., Gupta, R., & Nel, J. (2021). Covid-19 pandemic and investor herding in international stock markets. Risks, 9(9), 168.
  • Chang E.C., Cheng J.W. & Khorana A. (2000). An Examination of herd behavior in equity markets: an international perspective. J Bank Finance, 24(10), 1651–1699
  • 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.
  • Devenow, A., & Welch, I. (1996). Rational herding in financial economics. European Economic Review, 40(3-5), 603-615.
  • Dhall, R., & Singh, B. (2020). The Covid-19 pandemic and herding behaviour: Evidence from India’s stock market. Millennial Asia, 11(3), 366-390.
  • Elshqirat, M. (2021). How Covid-19 Affected herding behavior in the Jordanian stock market. Journal of Accounting and Finance, 21(3), 115-124.
  • Erdogan, H. H. (2021). Beta Herding in the Covid-19 Era: Evidence from Borsa Istanbul. Business and Economics Research Journal, 12(2), 359-368.
  • Espinosa-Méndez, C., & Arias, J. (2021a). Herding behaviour in Asutralian stock market: Evidence on Covid-19 effect. Applied Economics Letters, 28(21), 1898-1901.
  • Espinosa-Méndez, C., & Arias, J. (2021b). Covid-19 effect on herding behaviour in European capital markets. Finance Research Letters, 38, 1-6.
  • Ferreruela, S., & Mallor, T. (2021). Herding in the bad times: The 2008 and Covid-19 crises. The North American Journal of Economics and Finance, 58, 1-19.
  • Filip, A., Pochea, M., & Pece, A. (2015). The herding behaviour of investors in the CEE stocks markets. Procedia Economics and Finance, 32, 307-315.
  • Ghorbel, A., Snene, Y., & Frikha, W. (2022). Does herding behavior explain the contagion of the Covid-19 crisis?. Review of Behavioral Finance.
  • Graham, J. R. (1999). Herding among investment newsletters: Theory and evidence, Journal of Finance, 54, 237-268.
  • Heukelom, F. & Sent, E.M. (2010). The economics of the crisis and the crisis of economics. Lessons from behavioral economics, Journal of Contemporary Philosophy, 3, 26-37.
  • Huo, X. & Z. Qiu (2020). How does China’s stock market react to the announcement of the Covid-19 pandemic lockdown?, Economic and Political Studies, 8(4), 436-461.
  • Javed, T., Zafar, N., & Hafeez, B. (2013). Herding behavior in Karachi stock exchange. International Journal of Management Sciences and Business Research, 2, 2, 19-28.
  • Kaminsky, G. L., & Schmukler, S. L. (1999). What triggers market jitters? A chronicle of the Asian crisis. Journal of International Money and Finance, 18(4), 537-560.
  • Kayral, İ. E., & Tandoğan, N. Ş. (2020). BIST 100, döviz kurları ve altının getiri ve volatilitesinde Covid-19 etkisi. Gaziantep University Journal of Social Sciences, 19, (COVID-19 Special Issue), 687-701.
  • Kılıç, Y. (2020). Borsa İstanbul’da Covid-19 (koronavirüs) etkisi. JOEEP: Journal of Emerging Economies and Policy, 5(1), 66-77.
  • Kıyılar ve Akkaya (2016). Davranışsal Finans. Literatür Yayıncılık.
  • Kizys, R., Tzouvanas, P., & Donadelli, M. (2021). From Covid-19 herd immunity to investor herding in international stock markets: The role of government and regulatory restrictions. International Review of Financial Analysis, 74, 1-13.
  • MacDonald, M. R. & Ricci, M. L. A. (2003). Estimation of the equilibrium real exchange rate for South Africa. International Monetary Fund, 72, 282-304.
  • Maug, E., & Naik, N. (1996). Herding and delegated portfolio management, Working Paper Series, London Business School, London.
  • Nordin, S., & Ismail, R. (2014). The impact of palm oil price on the Malaysian stock market performance. Journal of Economics and Behavioral Studies, 6(1), 1-9.
  • Ouarda, M., El Bouri, A., & Bernard, O. (2013). Herding behavior under markets condition: Empirical evidence on the European financial markets. International Journal of Economics and Financial Issues, 3(1), 214-228.
  • Özkan, N., & Yavuzaslan, K. (2022). Covid-19 salgınının Borsa İstanbul pay endekslerine etkisi: Sürü davranışı üzerine bir araştırma. Dumlupinar Üniversitesi Soysyal Bilimler Dergisi, 73, 146-170.
  • Paruolo, P. (1997). Asymptotic inference on the moving average impact matrix in cointegrated 1 (1) VAR systems. Econometric Theory, 13(1), 79-118.
  • Pesaran, H. M. & Pesaran, B. (1997) Micro®t 4.0. Oxford University Press.
  • Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289-326.
  • Putra, A. A., Rizkianto, E., & Chalid, D. A. (2017). The analysis of herding behavior in Indonesia and Singapore stock market. In International Conference on Business and Management Research, 36, 197-206.
  • Rubesam, A., & Júnior, G. D. S. R. (2022). Covid-19 and herding in global equity markets. Journal of Behavioral and Experimental Finance, 35, 1-14.
  • Salisu, A. A., & Sikiru, A. A. (2020). Pandemics and the Asia-Pacific islamic stocks. Asian Economics Letters, 1(1), 17413.
  • Scharfstein, D. & Stein, J. (1990). Herd Behaviour and Investment. Am. Econ. Rev., 80, 465.
  • Shiller, R. J. (1981), Do stock prices move too much to be justified by subsequent changes in dividends?, The American Economic Review, 71, 3, 421-436.
  • Singh, B., Dhall, R., Narang, S., & Rawat, S. (2020). The outbreak of Covıd-19 and stock market responses: An event study and panel data analysis for G-20 countries. Global Business Review, https://doi. org/10.1177/0972150920957274.
  • Tauseef, S. (2021). Investment behavior during the Covid pandemic: An evidence from emerging Asian Markets. IBA Business Review, 16(1).
  • Whaley, R. E. (2000). The investor fear gauge. The Journal of Portfolio Management, 26(3), 12-17.
  • Wu, G., Yang, B., & Zhao, N. (2020). Herding behavior in Chinese stock markets during Covid-19. Emerging Markets Finance and Trade, 56(15), 3578-3587.
  • Yalçın, D., & Aybars, A. (2022). Testing for herd behavior in Borsa İstanbul during the covid-19 pandemıc. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 44(1), 36-52.
  • Zeren, F., & Hizarci, A. (2020). The impact of Covid-19 coronavirus on stock markets: Evidence from selected countries. Muhasebe ve Finans İncelemeleri Dergisi, 3(1), 78-84.

Covid 19’un Borsa İstanbul Sürü Davranışına Etkisinin VIX Endeksi Kapsamında ARDL Sınır Testi Yaklaşımıyla İncelenmesi

Yıl 2023, Cilt: 7 Sayı: Prof. Dr. Muammer ERDOĞAN Anısına Kongre Özel Sayısı, 11 - 34, 29.03.2023
https://doi.org/10.33399/biibfad.1253263

Öz

Bu çalışmanın amacı, Covid-19 öncesi dönem, Covid-19 dönemi ve Covid-19 sonrası dönemde BIST 30 endeksindeki sürü davranışını VIX (korku) endeksi kapsamında incelemektir. Çalışmada, sürü davranışının varlığı Christie ve Huang (1995) ve Chang vd. (2000) modeli ile test edilmiştir. VIX (korku) endeksi ve BIST 30 endeks getirisi arasındaki eş bütünleşme ilişkisi gecikmesi dağıtılmış otoregresif sınır testi yaklaşımı (ARDL) ile incelenmiştir. Çalışmadan elde edilen sonuçlara göre, Covid-19 öncesi dönem, Covid-19 dönemi ve Covid-19 sonrası dönemde BIST 30 endeksinde sürü davranışı tespit edilmiştir. ARDL sınır testi sonuçlarına göre, her üç dönemde VIX endeksiyle BIST 30 endeks getirisi arasında eş bütünleşme ilişkisi saptanmıştır. Uzun dönemde, VIX endeksi ile BIST 30 endeks getirisi arasında Covid-19 döneminde ters yönlü ve anlamlı ilişki tespit edilirken, Covid-19 öncesi dönem ve Covid-19 sonrası dönemde BIST 30 endeks getirisiyle VIX korku endeksi arasında anlamlı ilişki tespit edilememiştir. Sonuçlar, Covid-19 döneminde BIST 30 endeksinde tespit edilen sürü davranışının yatırımcı korkusuyla ilişkili olan rasyonel olmayan sürü davranışı olduğuna işaret etmektedir.

Kaynakça

  • Abdeldayem, M. M., & Al Dulaimi, S. H. (2020). Investors’ herd behavior related to the pandemic-risk reflected on the GCC stock markets. Zbornik radova Ekonomskog fakulteta u Rijeci: časopis za ekonomsku teoriju i praksu, 38(2), 563-584.
  • Afşar A. (2018). Geleneksel ve Davranışsal Finans Yaklaşımlarına göre Konut Balonları. Akademisyen Kitabevi.
  • Akel, V., ve Gazel, S. (2014). Döviz kurları ile Bist sanayi endeksi arasındaki eşbütünleşme ilişkisi: bir ardl sınır testi yaklaşımı. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 44, 23-41.
  • Alfaro, L., Chari, A., Greenland, A. N., & Schott, P. K. (2020). Aggregate and firm-level stock returns during pandemics, in real time (No. w26950). National Bureau of Economic Research.
  • Altay, E. (2008). Sermaye piyasasında sürü davranışı: İMKB'de piyasa yönünde sürü davranışının analizi. BDDK Bankacılık ve Finansal Piyasalar Dergisi, 2(1), 27-58.
  • Baek, S., Mohanty, S. K., & Glambosky, M. (2020). Covid-19 and stock market volatility: An industry level analysis. Finance Research Letters, 37, 101748.
  • Banerjee, A. V. (1992). A simple model of herd behavior. The Quarterly Journal of Economics, 107(3), 797-817.
  • Barut, A., & Kaygın, C. Y. (2020). Covid-19 pandemisinin seçilmiş borsa endeksleri üzerine etkisinin incelenmesi. Gaziantep University Journal of Social Sciences, 19 (Covid-19 Special Issue), 59-70.
  • Bikhchandani, S. & Sharma, S. (2001). Herd behavior in financial markets: a review, IMF Staff Papers, 47, 279-310.
  • Bouri, E., Demirer, R., Gupta, R., & Nel, J. (2021). Covid-19 pandemic and investor herding in international stock markets. Risks, 9(9), 168.
  • Chang E.C., Cheng J.W. & Khorana A. (2000). An Examination of herd behavior in equity markets: an international perspective. J Bank Finance, 24(10), 1651–1699
  • 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.
  • Devenow, A., & Welch, I. (1996). Rational herding in financial economics. European Economic Review, 40(3-5), 603-615.
  • Dhall, R., & Singh, B. (2020). The Covid-19 pandemic and herding behaviour: Evidence from India’s stock market. Millennial Asia, 11(3), 366-390.
  • Elshqirat, M. (2021). How Covid-19 Affected herding behavior in the Jordanian stock market. Journal of Accounting and Finance, 21(3), 115-124.
  • Erdogan, H. H. (2021). Beta Herding in the Covid-19 Era: Evidence from Borsa Istanbul. Business and Economics Research Journal, 12(2), 359-368.
  • Espinosa-Méndez, C., & Arias, J. (2021a). Herding behaviour in Asutralian stock market: Evidence on Covid-19 effect. Applied Economics Letters, 28(21), 1898-1901.
  • Espinosa-Méndez, C., & Arias, J. (2021b). Covid-19 effect on herding behaviour in European capital markets. Finance Research Letters, 38, 1-6.
  • Ferreruela, S., & Mallor, T. (2021). Herding in the bad times: The 2008 and Covid-19 crises. The North American Journal of Economics and Finance, 58, 1-19.
  • Filip, A., Pochea, M., & Pece, A. (2015). The herding behaviour of investors in the CEE stocks markets. Procedia Economics and Finance, 32, 307-315.
  • Ghorbel, A., Snene, Y., & Frikha, W. (2022). Does herding behavior explain the contagion of the Covid-19 crisis?. Review of Behavioral Finance.
  • Graham, J. R. (1999). Herding among investment newsletters: Theory and evidence, Journal of Finance, 54, 237-268.
  • Heukelom, F. & Sent, E.M. (2010). The economics of the crisis and the crisis of economics. Lessons from behavioral economics, Journal of Contemporary Philosophy, 3, 26-37.
  • Huo, X. & Z. Qiu (2020). How does China’s stock market react to the announcement of the Covid-19 pandemic lockdown?, Economic and Political Studies, 8(4), 436-461.
  • Javed, T., Zafar, N., & Hafeez, B. (2013). Herding behavior in Karachi stock exchange. International Journal of Management Sciences and Business Research, 2, 2, 19-28.
  • Kaminsky, G. L., & Schmukler, S. L. (1999). What triggers market jitters? A chronicle of the Asian crisis. Journal of International Money and Finance, 18(4), 537-560.
  • Kayral, İ. E., & Tandoğan, N. Ş. (2020). BIST 100, döviz kurları ve altının getiri ve volatilitesinde Covid-19 etkisi. Gaziantep University Journal of Social Sciences, 19, (COVID-19 Special Issue), 687-701.
  • Kılıç, Y. (2020). Borsa İstanbul’da Covid-19 (koronavirüs) etkisi. JOEEP: Journal of Emerging Economies and Policy, 5(1), 66-77.
  • Kıyılar ve Akkaya (2016). Davranışsal Finans. Literatür Yayıncılık.
  • Kizys, R., Tzouvanas, P., & Donadelli, M. (2021). From Covid-19 herd immunity to investor herding in international stock markets: The role of government and regulatory restrictions. International Review of Financial Analysis, 74, 1-13.
  • MacDonald, M. R. & Ricci, M. L. A. (2003). Estimation of the equilibrium real exchange rate for South Africa. International Monetary Fund, 72, 282-304.
  • Maug, E., & Naik, N. (1996). Herding and delegated portfolio management, Working Paper Series, London Business School, London.
  • Nordin, S., & Ismail, R. (2014). The impact of palm oil price on the Malaysian stock market performance. Journal of Economics and Behavioral Studies, 6(1), 1-9.
  • Ouarda, M., El Bouri, A., & Bernard, O. (2013). Herding behavior under markets condition: Empirical evidence on the European financial markets. International Journal of Economics and Financial Issues, 3(1), 214-228.
  • Özkan, N., & Yavuzaslan, K. (2022). Covid-19 salgınının Borsa İstanbul pay endekslerine etkisi: Sürü davranışı üzerine bir araştırma. Dumlupinar Üniversitesi Soysyal Bilimler Dergisi, 73, 146-170.
  • Paruolo, P. (1997). Asymptotic inference on the moving average impact matrix in cointegrated 1 (1) VAR systems. Econometric Theory, 13(1), 79-118.
  • Pesaran, H. M. & Pesaran, B. (1997) Micro®t 4.0. Oxford University Press.
  • Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289-326.
  • Putra, A. A., Rizkianto, E., & Chalid, D. A. (2017). The analysis of herding behavior in Indonesia and Singapore stock market. In International Conference on Business and Management Research, 36, 197-206.
  • Rubesam, A., & Júnior, G. D. S. R. (2022). Covid-19 and herding in global equity markets. Journal of Behavioral and Experimental Finance, 35, 1-14.
  • Salisu, A. A., & Sikiru, A. A. (2020). Pandemics and the Asia-Pacific islamic stocks. Asian Economics Letters, 1(1), 17413.
  • Scharfstein, D. & Stein, J. (1990). Herd Behaviour and Investment. Am. Econ. Rev., 80, 465.
  • Shiller, R. J. (1981), Do stock prices move too much to be justified by subsequent changes in dividends?, The American Economic Review, 71, 3, 421-436.
  • Singh, B., Dhall, R., Narang, S., & Rawat, S. (2020). The outbreak of Covıd-19 and stock market responses: An event study and panel data analysis for G-20 countries. Global Business Review, https://doi. org/10.1177/0972150920957274.
  • Tauseef, S. (2021). Investment behavior during the Covid pandemic: An evidence from emerging Asian Markets. IBA Business Review, 16(1).
  • Whaley, R. E. (2000). The investor fear gauge. The Journal of Portfolio Management, 26(3), 12-17.
  • Wu, G., Yang, B., & Zhao, N. (2020). Herding behavior in Chinese stock markets during Covid-19. Emerging Markets Finance and Trade, 56(15), 3578-3587.
  • Yalçın, D., & Aybars, A. (2022). Testing for herd behavior in Borsa İstanbul during the covid-19 pandemıc. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 44(1), 36-52.
  • Zeren, F., & Hizarci, A. (2020). The impact of Covid-19 coronavirus on stock markets: Evidence from selected countries. Muhasebe ve Finans İncelemeleri Dergisi, 3(1), 78-84.
Toplam 49 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Finans
Bölüm Makaleler
Yazarlar

Aslı Yıkılmaz 0000-0002-2334-7731

Erken Görünüm Tarihi 29 Mart 2023
Yayımlanma Tarihi 29 Mart 2023
Gönderilme Tarihi 19 Şubat 2023
Yayımlandığı Sayı Yıl 2023 Cilt: 7 Sayı: Prof. Dr. Muammer ERDOĞAN Anısına Kongre Özel Sayısı

Kaynak Göster

APA Yıkılmaz, A. (2023). Covid 19’un Borsa İstanbul Sürü Davranışına Etkisinin VIX Endeksi Kapsamında ARDL Sınır Testi Yaklaşımıyla İncelenmesi. Bingöl Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 7(Prof. Dr. Muammer ERDOĞAN Anısına Kongre Özel Sayısı), 11-34. https://doi.org/10.33399/biibfad.1253263


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