Is ‘Herding’ Peculiar to Certain Stocks? A Perspective from the Turkish Stock Market

Yıl 2023, Sayı: 52, 189 - 198, 27.12.2023

Mustafa Yildirim İrem Çetinkaya

https://doi.org/10.52642/susbed.1345803

Öz

We test the existence of daily/weekly herding behavior in the Turkish stock market between June 2013 and October 2020 on the stocks that remained listed on the benchmark stock index over the analysis period. Rather than performing the test on a set of stocks belonging to firms with different characteristics as in the literature, we conduct it on subsets of stocks we form based on foreign ownership ratio, firm size (measured by total assets), and prominent financial indicators (price-to-earnings and market-to-book ratios). Our analysis provides no evidence of herding behavior but yields important insights. Specifically, it demonstrates that financial indicators have no bearing on herding behavior, but investor type and firm size may. A slight indication of herding tendency emerges in stocks with a relatively higher investment from local investors but disappears in those with a comparatively higher investment from foreign investors. This finding suggests a potential market knowledge disparity between local and foreign investors, with the less expert being the local group. Moreover, a faint sign of herding tendency also appears in stocks that belong to small firms, possibly due to a heightened uncertainty inherent in such stocks.

Anahtar Kelimeler

Herding Behavior, Firm Size, Foreign Ownership, Financial Ratios

‘Sürü Davranışı’ Belirli Hisse Senetlerine mi Özgü? Türk Hisse Senedi Piyasasından Bir Bakış

Öz

Haziran 2013 ile Ekim 2020 tarihleri arasında Türk borsasında günlük/haftalık sürü davranışının varlığını, analiz dönemi boyunca gösterge borsa endeksinde kote kalan hisse senetleri üzerinde test ediyoruz. Testi literatürde olduğu gibi farklı özelliklere sahip firmalara ait bir dizi hisse senedi üzerinden yapmak yerine, yabancı sahiplik oranı, firma büyüklüğü (toplam varlıklarla ölçülen) ve öne çıkan finansal göstergelere (fiyat-kazanç ve piyasa-defter oranları) göre oluşturduğumuz hisse alt kümeleri üzerinden yapıyoruz. Analizimiz, sürü davranışına ilişkin bir kanıt sağlamamakta, ancak önemli içgörüler sunmaktadır. Spesifik olarak, analizimiz finansal göstergelerin sürü davranışı üzerinde bir etkisi olmadığını, ancak yatırımcı türü ve firma büyüklüğünün olabileceğini göstermektedir. Sürü eğiliminin hafif bir göstergesi yerel yatırımcılardan nispeten daha yüksek yatırım alan hisse senetlerinde ortaya çıkarken, yabancı yatırımcılardan nispeten daha yüksek yatırım alan hisse senetlerinde kaybolmaktadır. Bu bulgu, yerel ve yabancı yatırımcılar arasında daha az uzman olanın yerel grup olduğu olası bir pazar bilgisi eşitsizliği olduğuna işaret etmektedir. Ayrıca, muhtemelen bu tür hisse senetlerinin doğasında var olan daha büyük bir belirsizlik nedeniyle, küçük firmalara ait hisse senetlerinde de hafif bir sürü eğilimi belirtisi ortaya çıkmaktadır.

Anahtar Kelimeler

Sürü Davranışı, Firma Büyüklüğü, Yabancı Mülkiyeti, Finansal Oranlar

Kaynakça

• Altunoz, U. (2018). Does Herd Behaviour Exist In Turkish Stock Markets? The Case Of Borsa Istanbul. Proceedings of International Academic Conferences, Article 8109857. https://ideas.repec.org//p/sek/iacpro/8109857.html
• 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 and Trade, 51(1), 140–159. https://doi.org/10.1080/1540496X.2015.1011520
• Bowe, M., & Domuta, D. (2004). Investor herding during financial crisis: A clinical study of the Jakarta Stock Exchange. Pacific-Basin Finance Journal, 12(4), 387–418. https://doi.org/10.1016/j.pacfin.2003.09.003
• Cakan, E., & Balagyozyan, A. (2016). Sectoral herding: Evidence from an emerging market. Journal of Accounting and Finance, 16(4), 87–96.
• 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. https://doi.org/10.1016/S0378-4266(99)00096-5
• Chong, T. T.-L., Liu, X., & Zhu, C. (2017). What Explains Herd Behavior in the Chinese Stock Market? Journal of Behavioral Finance, 18(4), 448–456. https://doi.org/10.1080/15427560.2017.1365365
• Christie, W., & Huang, R. (1995). Following the Pied Piper: Do Individual Returns Herd around the Market? Financial Analysts Journal - FINANC ANAL J, 51, 31–37. https://doi.org/10.2469/faj.v51.n4.1918
• Dalgıç, N., Ekinci, C., & Ersan, O. (2021). Daily and Intraday Herding within Different Types of Investors in Borsa Istanbul. Emerging Markets Finance and Trade, 57(6), 1793–1810. https://doi.org/10.1080/1540496X.2019.1641082
• Dass, N., Massa, M., & Patgiri, R. (2008). Mutual Funds and Bubbles: The Surprising Role of Contractual Incentives. The Review of Financial Studies, 21(1), 51–99. https://doi.org/10.1093/rfs/hhm033
• 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. https://doi.org/10.1016/j.intfin.2005.01.002
• Devenow, A., & Welch, I. (1996). Rational herding in financial economics. European Economic Review, 40(3), 603–615. https://doi.org/10.1016/0014-2921(95)00073-9
• Doğukanli, H., & Ergün, B. (2015). BIST’te Sürü Davranışı: Hwang ve Salmon Yöntemi ile Bir Araştırma. Finans Politik ve Ekonomik Yorumlar, 603, Article 603.
• Ganesh, R., Naresh, G., & Thiyagarajan, S. (2017). The reflection of crowd behaviour in Indian bourses. International Journal of Behavioural Accounting and Finance, 6(2), 93–106. https://doi.org/10.1504/IJBAF.2017.086408
• Garg, A., & Jindal, K. (2014). Herding Behavior in an Emerging Stock Market: Empirical Evidence from India. IUP Journal of Applied Finance, 20(2), 18–36.
• Holtfort, T. (2019). From standard to evolutionary finance: A literature survey. Management Review Quarterly, 69(2), 207–232. https://doi.org/10.1007/s11301-018-0151-9
• Hsieh, S.-F. (2013). Individual and institutional herding and the impact on stock returns: Evidence from Taiwan stock market. International Review of Financial Analysis, 29, 175–188. https://doi.org/10.1016/j.irfa.2013.01.003
• Iihara, Y., Kato, H. K., & Tokunaga, T. (2001). Investors’ Herding on the Tokyo Stock Exchange. International Review of Finance, 2(1–2), 71–98. https://doi.org/10.1111/1468-2443.00016
• Johansen, A., & Sornette, D. (1999). Financial" anti-bubbles": Log-periodicity in gold and Nikkei collapses. International Journal of Modern Physics C, 10(04), 563–575.
• Kremer, S., & Nautz, D. (2013). Causes and consequences of short-term institutional herding. Journal of Banking & Finance, 37(5), 1676–1686.
• Lakonishok, J., Shleifer, A., & Vishny, R. W. (1992). The impact of institutional trading on stock prices. Journal of Financial Economics, 32(1), 23–43.
• Lux, T. (1995). Herd behaviour, bubbles and crashes. The Economic Journal, 105(431), 881–896.
• Roßbach, P. (2001). Behavioral finance: Eine Alternative zur vorherrschenden Kapitalmarkttheorie? Arbeitsberichte der Hochschule für Bankwirtschaft.
• Sias, R. W. (2004). Institutional herding. The Review of Financial Studies, 17(1), 165–206.
• Solakoglu, M. N., & Demir, N. (2014). Sentimental herding in Borsa Istanbul: Informed versus uninformed. Applied Economics Letters, 21(14), 965–968.
• Tan, L., Chiang, T. C., Mason, J. R., & Nelling, E. (2008). Herding behavior in Chinese stock markets: An examination of A and B shares. Pacific-Basin Finance Journal, 16(1–2), 61–77.
• Venezia, I., Nashikkar, A., & Shapira, Z. (2011). Firm specific and macro herding by professional and amateur investors and their effects on market volatility. Journal of Banking & Finance, 35(7), 1599–1609.
• 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 UK data. The Journal of Business, 78(1), 381–403.
• Yao, J., Ma, C., & He, W. P. (2014). Investor herding behaviour of Chinese stock market. International Review of Economics & Finance, 29, 12–29.
• Zheng, D., Li, H., & Zhu, X. (2015). Herding behavior in institutional investors: Evidence from China’s stock market. Journal of Multinational Financial Management, 32, 59–76.
• Zhou, R. T., & Lai, R. N. (2009). Herding and information based trading. Journal of Empirical Finance, 16(3), 388–393.