Uluslararası Yatırımcılar, Volatilite ve Sürü Davranışı

Öz

Bu çalışmada Borsa İstanbul'da 2001 ve 2016 yılları arasında sürü davranışı çalışılmış, ve özellikle uluslararası yatırımcı ve volatilite etkilerine odaklanılmıştır. Sürü davranışı, temel pazar göstergeleri kontrol edildiği durumda, yatay-kesitsel beta değerlerindeki hareketliliğin %31'ini açıklamaktadır. Elde ettiğimiz sürü davranışı endeksinin zaman serisi analizi, sürü davranışının uluslararası yatırımcıların ticaret hacmi ile arttığını, ancak toplam ticaret hacmi ile azaldığını göstermektedir. Sürü davranışı, artan pazar volatilitesi ile artmakta, ancak -yazındaki kimi iddiaların aksine- pazarda bir volatilite artışına neden olmamaktadır. Sürü davranışının ekonomik kriz dönemlerinde artmadığı, ancak ülkede politik gerilimi artıran önemli olaylar sonucunda yükseliş gösterdiği bulunmuştur.

Anahtar Kelimeler

• Sürü davranışı
• Borsa İstanbul
• Volatilite
• Uluslararası yatırımcılar

International Investors, Volatility, and Herd Behavior

Abstract

We study herding in Borsa Istanbul between 2001 and 2016, focusing on the effects of international investors and market volatility. Herding explains 31% of total variability in the cross sectional standard deviation of beta values, controlling for market fundamentals. We perform time-series analysis of a herding index and find that herding increases following increased trading by international investors, but falls with overall trading volume on the market. Herding rises in response to increased volatility, rather than leading to it, against previous arguments. Investors do not herd during economic crises, but following important events that raise political tension in the country.

Keywords

• Herd behavior
• Borsa İstanbul
• Volatility
• International investors

Kaynakça

1. Adrangi, Bahram, and Arjun Chatruth. 1998. "Futures commitments and exchange rate volatility." Journal of Business Finance & Accounting 25(3‐4): 501-520. https://doi.org/10.1111/1468-5957.00200
2. Altay, Erdinç. 2008. "Sermaye piyasasında sürü davranışı: İMKB’de piyasa yönünde sürü davranışının analizi." BDDK Bankacılık ve Finansal Piyasalar, 2(1): 27-58.
3. Balcilar, Mehmet, and Riza Demirer. 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
4. Blasco, Natividad, Pilar Corredor, and Sandra Ferreruela. 2012. "Does herding affect volatility? Implications for the Spanish stock market." Quantitative Finance, 12(2): 311-327. https://doi.org/10.1080/14697688.2010.516766
5. Borsa İstanbul Annual Report. 2015. Accessed Jan 25, 2017 at http://www.borsaistanbul.com/en/corporate/publications/annual-reports
6. Cakan, Esin, and Aram Balagyozyan. 2014. "Herd behaviour in the Turkish banking sector." Applied Economics Letters, 21(2): 75-79. https://doi.org/10.1080/13504851.2013.842629
7. Caparrelli, Franco, Anna Maria D'Arcangelis, and Alexander Cassuto. 2004. "Herding in the Italian stock market: a case of behavioral finance." The Journal of Behavioral Finance, 5(4): 222-230. https://doi.org/10.1207/s15427579jpfm0504_5
8. Chang, Eric, Ray Y. Chou, and Edward F. Nelling. 2000. "Market volatility and the demand for hedging in stock index futures." Journal of Futures Markets: Futures, Options, and Other Derivative Products 20(2): 105-125. https://doi.org/10.1002/(SICI)1096-9934(200002)20:2<105::AID-FUT1>3.0.CO;2-Q

9. Chang, Eric C., Joseph W. Cheng, and Ajay Khorana. 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
10. Chatrath, Arjun, and Frank Song. 1999. "Futures commitments and commodity price jumps." Financial Review 34(3): 95-111. https://doi.org/10.1111/j.1540-6288.1999.tb00465.x
11. Chattopadhyay, Manojit, Ashish Kumar Garg, and Subrata Kumar Mitra. 2018. "Herding by Foreign Institutional Investors: An Evidential Exploration for Persistence and Predictability." Journal of Behavioral Finance, 19(1): 73-88. https://doi.org/10.1080/15427560.2017.1373282
12. Chen, Tao. 2013. "Do investors herd in global stock markets?." Journal of Behavioral Finance, 14(3): 230-239. https://doi.org/10.1080/15427560.2013.819804
13. Cheng, Ing-Haw, Andrei Kirilenko, and Wei Xiong. 2014. "Convective risk flows in commodity futures markets." Review of Finance 19(5): 1733-1781. https://doi.org/10.1093/rof/rfu043
14. Chiang, Thomas C., Jiandong Li, and Lin Tan. 2010. "Empirical investigation of herding behavior in Chinese stock markets: Evidence from quantile regression analysis." Global Finance Journal, 21(1): 111-124. https://doi.org/10.1016/j.gfj.2010.03.005
15. Chiang, Thomas C., Jiandong Li, Lin Tan, and Edward Nelling. 2013. "Dynamic herding behavior in Pacific-Basin markets: Evidence and implications." Multinational Finance Journal, 17(3/4): 165-200. https://ssrn.com/abstract=2619663
16. Chiang, Thomas C., and Dazhi Zheng. 2010. "An empirical analysis of herd behavior in global stock markets." Journal of Banking & Finance, 34(8): 1911-1921. https://doi.org/10.1016/j.jbankfin.2009.12.014
17. Choe, Hyuk, Bong-Chan Kho, and Rene M. Stulz. 1999. "Do foreign investors destabilize stock markets? The Korean experience in 1997." Journal of Financial Economics, 54(2): 227-264. https://doi.org/10.1016/S0304-405X(99)00037-9
18. Christie, William G., and Roger D. Huang. 1995. "Following the pied piper: Do individual returns herd around the market?." Financial Analysts Journal, 51(4): 31-37. https://doi.org/10.2469/faj.v51.n4.1918
19. Celik, Sibel. 2013. "Herd behavior in world stock markets: Evidence from quantile regression analysis." Iktisat Isletme ve Finans, 28(329): 75-96. https://doi.org/10.3848/iif.2013.329.3718
20. Dalgıç, Nihan, Cumhur Ekinci, and Oğuz Ersan. Forthcoming. "Daily and Intraday Herding within Different Types of Investors in Borsa Istanbul." Emerging Markets Finance and Trade. https://doi.org/10.1080/1540496X.2019.1641082
21. Demir, Nazmi, Syed F. Mahmud, and M. Nihat Solakoglu. 2014. "Sentiment and beta herding in the Borsa İstanbul (BIST)." Risk Management Post Financial Crisis: A Period of Monetary Easing. Emerald Group Publishing Limited, 389-400. https://doi.org/10.1108/S1569-375920140000096016
22. Demirer, Rıza, Ali M. Kutan, and Huacheng Zhang. 2014. "Do ADR investors herd?: Evidence from advanced and emerging markets." International Review of Economics & Finance, 30: 138-148. https://doi.org/10.1016/j.iref.2013.10.006
23. Doğukanlı, Hatice, and Bahadır Ergün. 2011. “IMKB'de Sürü Davranışı: Yatay Kesit Değişkenlik Temelinde Bir Araştrma." Dokuz Eylül Universitesi Işletme Fakültesi Dergisi, 12 (2): 227-242.
24. Drukker, David M., and Richard B. Gates. 2011. "State space methods in Stata." Journal of Statistical Software, 41(10): 1-25. https://doi.org/10.18637/jss.v041.i10
25. Durukan, Mübeccel Banu, Hilal Hümayra Özsu and Zeliha Can Ergun. 2017. “Financial Crisis and Herd Behavior: Evidence from the Borsa Istanbul” In Handbook of Investors' Behavior During Financial Crises. Eds Fotini Economou, Konstantinos Gavriilidis, Greg N. Gregoriou, and Vasileios Kallinterakis, 203-217. Cambridge: Academic Press. https://doi.org/10.1016/B978-0-12-811252-6.00012-8
26. Ezzat, Hassan and Berna Kirkulak-Uludag. (2017) " Information Arrival and Volatility: Evidence from the Saudi Stock Exchange (Tadawul)." Panoeconomicus, 64(1): 45-59. http://dx.doi.org/10.2298/PAN140206030E
27. Economou, Fotini, Alexandros Kostakis, and Nikolaos Philippas. 2011. "Cross-country effects in herding behaviour: Evidence from four south European markets." Journal of International Financial Markets, Institutions and Money, 21(3): 443-460. https://doi.org/10.1016/j.intfin.2011.01.005
28. Froot, Kenneth A., David S. Scharfstein, and Jeremy C. Stein. 1992. "Herd on the street: Informational inefficiencies in a market with short‐term speculation." The Journal of Finance 47(4): 1461-1484. https://doi.org/10.1111/j.1540-6261.1992.tb04665.x
29. Froot, Kenneth A., Paul G. J. O’Connell, and Mark S. Seasholes. 2001 "The portfolio flows of international investors." Journal of financial Economics, 59(2): 151-193. https://doi.org/10.1016/S0304-405X(00)00084-2
30. Galariotis, Emilios C., Wu Rong, and Spyros I. Spyrou. 2015. "Herding on fundamental information: A comparative study." Journal of Banking & Finance, 50 (January): 589-598. https://doi.org/10.1016/j.jbankfin.2014.03.014
31. Hirshleifer, David, and Siew Hong Teoh. 2003. "Herd behaviour and cascading in capital markets: A review and synthesis." European Financial Management, 9(1): 25-66. https://doi.org/10.1111/1468-036X.00207
32. Hwang, Soosung, and Mark Salmon. 2004. "Market stress and herding." Journal of Empirical Finance, 11(4): 585-616. https://doi.org/10.1016/j.jempfin.2004.04.003
33. Indārs, Edgars Rihards, Aliaksei Savin, and Ágnes Lublóy. 2019. "Herding behaviour in an emerging market: Evidence from the Moscow Exchange." Emerging Markets Review, 38(March): 468-487. https://doi.org/10.1016/j.ememar.2018.12.002
34. Junior, Walter Gonçalves, and William Eid Junior. 2017. "Sophistication and price impact of foreign investors in the Brazilian stock market." Emerging Markets Review, 33(December): 102-139. https://doi.org/10.1016/j.ememar.2017.09.006
35. Messis, Petros, and Achilleas Zapranis. 2014. "Herding behaviour and volatility in the Athens Stock Exchange." The Journal of Risk Finance, 15(5): 572-590. https://doi.org/10.1108/JRF-04-2014-0054
36. Özsu, Hilal Hümeyra. 2015. “Empirical Analysis of Herd Behavior in Borsa Istanbul”. International Journal of Economic Sciences, 4(4): 27-52. https://doi.org/10.20472/ES.2015.4.4.003
37. Pop, Raluca Elena. 2012. "Herd behavior towards the market index: evidence from Romanian stock exchange." MPRA Paper, No. 51595. https://mpra.ub.uni-muenchen.de/id/eprint/51595
38. Saastamoinen, Jani. 2008. "Quantile regression analysis of dispersion of stock returns-evidence of herding." Keskustelualoitteita, 57.
39. Scharfstein, David S., and Jeremy C. Stein. 1990. "Herd behavior and investment." American Economic Review, 80(3): 465-479. https://www.jstor.org/stable/2006678
40. Schwert, G. William. 1989. "Why does stock market volatility change over time?." The journal of finance, 44(5): 1115-1153. https://doi.org/10.1111/j.1540-6261.1989.tb02647.x
41. Solakoglu, M. Nihat, and Nazmi Demir. 2014. "Sentimental herding in Borsa Istanbul: informed versus uninformed." Applied Economics Letters, 21(14): 965-968. https://doi.org/10.1080/13504851.2014.902015
42. Spyrou, Spyros. 2013. "Herding in financial markets: a review of the literature." Review of Behavioral Finance, 5(2): 175-194. https://doi.org/10.1108/RBF-02-2013-0009
43. Tan, Lin., Thomas C. Chiang, Joseph R. Mason, and Edward Nelling. (2008). “Herding behavior in Chinese stock markets: An examination of A and B shares”. Pacific-Basin Finance Journal, 16(1-2): 61-77. https://doi.org/10.1016/j.pacfin.2007.04.004
44. Wang, Changyun. 2002. "Information, trading demand, and futures price volatility." Financial Review 37.2 (2002): 295-315. https://doi.org/10.1111/1540-6288.00016
45. Yang, Tzu-Yi and Yu-Tai Yang. 2015. " A Study on the Asymmetry of the News Aspect of the Stock Market: Evidence from Three Institutional Investors in the Taiwan Stock Market." Panoeconomicus, 62(3): 361-383. http://dx.doi.org/10.2298/PAN1503361Y
46. Yao, Juan, Chuanchan Ma, and William Peng He. 2014. "Investor herding behaviour of Chinese stock market." International Review of Economics & Finance, 29 (January): 12-29. https://doi.org/10.1016/j.iref.2013.03.002