ERDİNÇ ALTAY

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Sermaye Piyasasında Sürü Davranışı: İMKB'de Piyasa Yönünde Sürü Davranışının Analizi

Bu çalışmada 02.01.1997-29.02.2008 döneminde İMKB’de sürü davranışının varlığı incelenmektedir. Hisse senedi getiri oranlarının yatay kesit değişkenliklerinin incelenmesine dayalı test metodolojisinin uygulanması sonucu İMKB’de piyasa yönünde sürü davranışının var olduğuna dair bulgulara ulaşılmıştır. Ayrıca yatay kesit değişkenlik ile aşırı yüksek ya da düşük getiri oranı arasındaki ilişkinin doğrusal olmadığı sonuçlarına ulaşılmıştır. İnceleme kapsamına alınan hizmetler, mali, sınai ve yatırım ortaklıkları sektörlerinin tümü ayrı ayrı incelendiğinde de elde edilen bulguların geçerli olduğu görülmektedir. Hisse senedi beta katsayılarının yatay kesit değişkenliğinin analizine dayalı bir diğer metodolojinin uygulanması sonucunda elde edilen bulgular ise, söz konusu dönem içinde İMKB’de sürü davranışının genel bir eğilim olduğu, ancak özellikle Aralık 2003-Nisan 2004 ve Mayıs-Ekim 2006 döneminde piyasa yönünde sürü davranışının görülmediği yönündedir. Sektörel inceleme sonucunda piyasa yönünde sürü davranışının tüm sektörlerde genel bir eğilim olduğu ancak sürü etkisinden çıkma dönemlerinin ve eğiliminin sektörler arasında değişkenlik gösterdiği sonucuna varılmıştır.
Anahtar Kelimeler:

ekonomik analizler

Herding in Capital Markets: Analysis of Herding Towards the Market in ISE

The aim of the paper is to investigate the presence of herding towards the market in Istanbul Stock Exchange (ISE) during the period of 2nd January 1997-29th February 2008. We got the evidence of the existence of herding behavior in ISE by the implementation of the methodology which is based on the cross sectional volatility of the stock returns. On the other hand, the results show that the relation between cross sectional volatility and extreme high or low returns is nonlinear. These results are also supported by the similar evidence got from the analysis of each sector, namely services, financial, industiral and investment trusts sectors. Another methodology which is based on the cross sectional volatility of beta coefficients of the stocks is also implemented in order to get a deeper analysis. The results show that, herding towards the market is a general trend for the whole market but we cannot find the evidence of herding in the periods of December 2003-April 2004 and May-October 2006. Sectoral analysis also show that herding towards market is also valid for all sectors but the periods in which investors do not herd are not same for all sectors.
Keywords:

economic analysis,

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BDDK Bankacılık ve Finansal Piyasalar Dergisi-Cover
  • ISSN: 1307-5705
  • Yayın Aralığı: Yıllık
  • Başlangıç: 2007
  • Yayıncı: Bankacılık Düzenleme ve Denetleme Kurumu
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