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HERDING IN TURKEY DURING THE GLOBAL FINANCIAL CRISIS

Yıl 2021, Cilt: 14 Sayı: 1, 139 - 143, 31.12.2021
https://doi.org/10.17261/Pressacademia.2021.1511

Öz

Purpose- The purpose of this study is to give evidence on herding behavior in Turkey during the global financial crisis of 2007-2009. In this
study, we want to see if herding behavior is observed in Borsa Istanbul during the period when an unexpected event happened in the market.
During crisis periods, investors usually follow the market consensus rather than their own mind and therefore it is more possible to detect
herding behavior during crisis periods (Christie and Huang, 1995). Accordingly, we will try to calculate herding behavior statistics using the
number of trades by institutional investors in the BIST30 index in Borsa Istanbul for each month between October 2008 and November 2009
which is the time period that the global financial crisis showed its effect in Turkey.
Methodology- This study employs the methodology developed by Lakonishok, Shleifer, and Vishny (hereafter LSV) (1992) in order to measure
herding behavior. The statistical measure developed by LSV (1992) tries to detect whether investors in a stock exchange are inclined to stay
together on the buy side or on the sell side of a given stock in a given time period. In order to measure herding behavior in Turkey, we use
the number of trades by institutional investors for each stock in each month between October 2008 and November 2009 in the BIST30 index.
The data was gathered from the Central Securities Depository of Turkey.
Findings- The analysis of this study reveals that the herding behavior statistic for the global financial crisis period is 1.42% in Turkey. 1.42%
implies that if the possibility of a buy or sell in the market is 50%, then 51.42% of institutional investors were changing their trades in one
direction and 48.58% in the other direction. The herding measure of LSV (1992) in their study was 2.7%, and the authors concluded that this
is a small measure of herding behavior and that there is no significant evidence of herding among pension fund managers that they analyzed.
Similarly in our study we find a small measure of herding as 1.42% and it is possible for us to say that there is a small evidence of herding
practiced by institutional investors in Turkey during the global financial crisis of 2007-2009.
Conclusion- Based upon the findings of the analysis, it may be concluded that during the global financial crisis, there was a small evidence of
herding practiced by institutional investors in Turkey. As the literature about herding behavior indicates, in crisis periods, investors usually
prefer to follow the common information in the stock market rather than their own mind. According to our findings there is a small herding
behavior statistic for the global financial crisis period in Turkey. We can say that the global financial crisis did not lead to a very high level of
herding behavior in Borsa Istanbul. Further studies can calculate herding behavior statistics for other crisis terms in order to be able to
generalize this result that there is a small evidence of herding practiced by institutional investors in Turkey during financial crisis periods

Kaynakça

  • Angela-Maria, F., Maria, P. A., & Miruna, P. M. (2015). An empirical investigation of herding behavior in CEE stock markets under the global financial crisis. Procedia Economics and Finance, 25, 354-361.
  • Balcilar, M., & 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.
  • Bikhchandani, S., & Sharma, S. (2001). Herd behavior in financial markets. IMF Staff Papers, 47(3), 279-310.
  • Brigham, E. F., & Ehrhardt, M. C. (2017). Financial management: theory & practice. Cengage Learning (Chapter 1).
  • Central Bank of the Republic of Turkey (CBRT) (2008). Financial stability report. 7, November.
  • Central Bank of the Republic of Turkey (CBRT) (2009). Financial stability report. 8, May.
  • 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.
  • 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.
  • Dalgıç, N., Ekinci, C., & Ersan, O. (2019). Daily and intraday herding within different types of investors in Borsa Istanbul. Emerging Markets Finance & Trade, 1-18.
  • 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.
  • Frey, S., Herbst, P., & Walter, A. (2014). Measuring mutual fund herding–a structural approach. Journal of International Financial Markets, Institutions and Money, 32, 219-239.
  • Grinblatt, M., Titman, S., & Wermers, R. (1995). Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior. The American Economic Review, 85(5), 1088–1105.
  • Hirshleifer, D. (2015). Behavioral finance. Annual Review of Financial Economics, 7, 133-159.
  • https://www.mkk.com.tr/tr-tr/Veri-Depolama-Hizmetleri/e-VERi/Sayfalar/Yillik-Istatistiki-Veriler.aspx
  • Lakonishok, J., Shleifer, A., & Vishny, R. W. (1992). The impact of institutional trading on stock prices. Journal of Financial Economics, 32(1), 23-43.
  • Mishkin, F. S. (2009). Is monetary policy effective during financial crises?. NBER Working Paper, No: 14678.
  • Nofsinger, J. R., & Sias, R. W. (1999). Herding and feedback trading by institutional and individual investors. The Journal of Finance, 54(6), 2263–2295.
  • Shiller, R. J. (2003). From efficient markets theory to behavioral finance. Journal of economic perspectives, 17(1), 83-104.
  • Sias, R. W. (2004). Institutional herding. The Review of Financial Studies, 17(1), 165–206.
  • Voronkova, S., & Bohl, M. T. (2005). Institutional traders’ behavior in an emerging stock market: Empirical evidence on polish pension fund investors. Journal of Business Finance & Accounting, 32(7‐8), 1537-1560.
  • Walter, A., & Weber, F. M. (2006). Herding in the German mutual fund industry. European Financial Management, 12(3), 375-406.
  • Wermers, R. (1999). Mutual fund herding and the impact on stock prices. The Journal of Finance, 54(2), 581-622.
  • Wylie, S. (2005). Fund manager herding: A test of the accuracy of empirical results using U.K. data. Journal of Business, 78(1), 381-403.
Yıl 2021, Cilt: 14 Sayı: 1, 139 - 143, 31.12.2021
https://doi.org/10.17261/Pressacademia.2021.1511

Öz

Kaynakça

  • Angela-Maria, F., Maria, P. A., & Miruna, P. M. (2015). An empirical investigation of herding behavior in CEE stock markets under the global financial crisis. Procedia Economics and Finance, 25, 354-361.
  • Balcilar, M., & 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.
  • Bikhchandani, S., & Sharma, S. (2001). Herd behavior in financial markets. IMF Staff Papers, 47(3), 279-310.
  • Brigham, E. F., & Ehrhardt, M. C. (2017). Financial management: theory & practice. Cengage Learning (Chapter 1).
  • Central Bank of the Republic of Turkey (CBRT) (2008). Financial stability report. 7, November.
  • Central Bank of the Republic of Turkey (CBRT) (2009). Financial stability report. 8, May.
  • 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.
  • 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.
  • Dalgıç, N., Ekinci, C., & Ersan, O. (2019). Daily and intraday herding within different types of investors in Borsa Istanbul. Emerging Markets Finance & Trade, 1-18.
  • 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.
  • Frey, S., Herbst, P., & Walter, A. (2014). Measuring mutual fund herding–a structural approach. Journal of International Financial Markets, Institutions and Money, 32, 219-239.
  • Grinblatt, M., Titman, S., & Wermers, R. (1995). Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior. The American Economic Review, 85(5), 1088–1105.
  • Hirshleifer, D. (2015). Behavioral finance. Annual Review of Financial Economics, 7, 133-159.
  • https://www.mkk.com.tr/tr-tr/Veri-Depolama-Hizmetleri/e-VERi/Sayfalar/Yillik-Istatistiki-Veriler.aspx
  • Lakonishok, J., Shleifer, A., & Vishny, R. W. (1992). The impact of institutional trading on stock prices. Journal of Financial Economics, 32(1), 23-43.
  • Mishkin, F. S. (2009). Is monetary policy effective during financial crises?. NBER Working Paper, No: 14678.
  • Nofsinger, J. R., & Sias, R. W. (1999). Herding and feedback trading by institutional and individual investors. The Journal of Finance, 54(6), 2263–2295.
  • Shiller, R. J. (2003). From efficient markets theory to behavioral finance. Journal of economic perspectives, 17(1), 83-104.
  • Sias, R. W. (2004). Institutional herding. The Review of Financial Studies, 17(1), 165–206.
  • Voronkova, S., & Bohl, M. T. (2005). Institutional traders’ behavior in an emerging stock market: Empirical evidence on polish pension fund investors. Journal of Business Finance & Accounting, 32(7‐8), 1537-1560.
  • Walter, A., & Weber, F. M. (2006). Herding in the German mutual fund industry. European Financial Management, 12(3), 375-406.
  • Wermers, R. (1999). Mutual fund herding and the impact on stock prices. The Journal of Finance, 54(2), 581-622.
  • Wylie, S. (2005). Fund manager herding: A test of the accuracy of empirical results using U.K. data. Journal of Business, 78(1), 381-403.
Toplam 23 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Finans, İşletme
Bölüm Makaleler
Yazarlar

Melike Cobandag Bu kişi benim 0000-0002-8020-6783

Jale Sozer Oran Bu kişi benim 0000-0001-8976-2893

Yayımlanma Tarihi 31 Aralık 2021
Yayımlandığı Sayı Yıl 2021 Cilt: 14 Sayı: 1

Kaynak Göster

APA Cobandag, M., & Oran, J. S. (2021). HERDING IN TURKEY DURING THE GLOBAL FINANCIAL CRISIS. PressAcademia Procedia, 14(1), 139-143. https://doi.org/10.17261/Pressacademia.2021.1511
AMA Cobandag M, Oran JS. HERDING IN TURKEY DURING THE GLOBAL FINANCIAL CRISIS. PAP. Aralık 2021;14(1):139-143. doi:10.17261/Pressacademia.2021.1511
Chicago Cobandag, Melike, ve Jale Sozer Oran. “HERDING IN TURKEY DURING THE GLOBAL FINANCIAL CRISIS”. PressAcademia Procedia 14, sy. 1 (Aralık 2021): 139-43. https://doi.org/10.17261/Pressacademia.2021.1511.
EndNote Cobandag M, Oran JS (01 Aralık 2021) HERDING IN TURKEY DURING THE GLOBAL FINANCIAL CRISIS. PressAcademia Procedia 14 1 139–143.
IEEE M. Cobandag ve J. S. Oran, “HERDING IN TURKEY DURING THE GLOBAL FINANCIAL CRISIS”, PAP, c. 14, sy. 1, ss. 139–143, 2021, doi: 10.17261/Pressacademia.2021.1511.
ISNAD Cobandag, Melike - Oran, Jale Sozer. “HERDING IN TURKEY DURING THE GLOBAL FINANCIAL CRISIS”. PressAcademia Procedia 14/1 (Aralık 2021), 139-143. https://doi.org/10.17261/Pressacademia.2021.1511.
JAMA Cobandag M, Oran JS. HERDING IN TURKEY DURING THE GLOBAL FINANCIAL CRISIS. PAP. 2021;14:139–143.
MLA Cobandag, Melike ve Jale Sozer Oran. “HERDING IN TURKEY DURING THE GLOBAL FINANCIAL CRISIS”. PressAcademia Procedia, c. 14, sy. 1, 2021, ss. 139-43, doi:10.17261/Pressacademia.2021.1511.
Vancouver Cobandag M, Oran JS. HERDING IN TURKEY DURING THE GLOBAL FINANCIAL CRISIS. PAP. 2021;14(1):139-43.

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