GELİŞEN PİYASALARDA SÜRÜ DAVRANIŞI: BİST ÖRNEĞİ

Yıl 2022, Cilt: 2022 Sayı: 1, 16 - 26, 27.04.2022

Kerim Eser Afşar , Utku Akseki , Zakayo Samson Kisava

Öz

Çalışma, 2008 küresel finansal krizine ve Ocak 2005'ten Aralık 2018'e kadar olan verilere odaklanarak, farklı piyasa ve ekonomik koşullar altında Borsa İstanbul’daki (BİST) sürü davranışını incelemektedir. Sürü davranışını tahmin etmek için iki regresyon modeli kullanılmaktadır: Christie & Huang (1995) tarafından geliştirilen Kesitsel Standart Sapma (CSSD) Modeli; Chang ve diğerleri (2000) tarafından geliştirilen Kesitsel Mutlak Sapma (CSAD) Modeli. Günlük hisse senedi fiyat verilerinden elde edilen bulgular, BİST'te özel durumlar dışında sürü davranışının oluşmadığını göstermektedir. BİST'te düşük oynaklık, düşük işlem hacmi ve finansal krizlerin ortaya çıktığı konjonktürlerde ise sürü davranışı dinamikleri ortaya çıkmaktadır. Makalede ayrıca 2013 yılında gerçekleşen Taper Tantrum'un sürü davranışını tetiklemediği sonucu elde edilmiştir.

Anahtar Kelimeler

CSSD, CSAD, Sürü Davranışı, Finansal Kriz, BİST

HERDING BEHAVIOUR IN EMERGING MARKETS: EVIDENCE FROM BIST

Öz

The study investigates the herding behaviour in the Borsa Istanbul (BIST) market under different market and economic conditions, focusing on the 2008 global financial crisis and data spanning from January 2005 to December 2018. For estimating herding behaviour, two regression models are used: The Cross-Sectional Standard Deviation (CSSD) model developed by Christie & Huang (1995) and the Cross-Sectional Absolute Deviation (CSAD) model developed by Chang et al. (2000). The findings show that herd behaviour does not exist in BIST, except for special cases, based on daily stock data. The BIST determined low volatility, low trading volume, the financial crisis, and herd behaviour. It was also determined that Taper Tantrum that took place in 2013 did not trigger herd behaviour.

Anahtar Kelimeler

CSSD, CSAD, Herd Behaviour, Financial Crisis, BIST

Kaynakça

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