Hisse Senedi Piyasasında Sürü Davranışı: İMKB'de Ampirik Bir İnceleme

Piyasalardaki sürü davranışı etkisinin tespiti, rasyonel varlık fiyatlama modelleri ve çeşitlendirme fırsatlarının geçerliliğini değerlendirme açısından önemlidir. Bu araştırmada Christie ve Huang (1995) ile Chang, Cheng ve Khorana (2000)'nın geliştirdikleri iki farklı model kullanılarak İMKB'de sürü davranışı etkisinin varlığı araştırılmıştır. Araştırma verileri Ocak 1997-Temmuz 2012 dönemi günlük logaritmik hisse senedi getirilerinden oluşmaktadır. Çalışma, analiz döneminin 1997-2004 ve 2005-2012 olmak üzere iki alt döneme ayrılmasıyla çeşitlendirilmiştir. Bulgular sürü davranışı etkisinin I. alt dönemde yükselen piyasa koşullarında yoğun olarak hissedildiği yönündedir. II. alt dönemde ise etki azalmıştır. Dolayısıyla II. dönem itibarıyla çeşitlendirme fırsatlarının arttığı söylenebilir

Herding Behavior in Stock Market: An Empirical Analysis in ISE

It is important to detect the effect of herding behavior in markets in order to assess the validity of rational asset pricing models and diversification opportunities. In this study, the existence of herding behavior effect has been researched at Istanbul Stocks Exchange (ISE) by utilizing two different models developed by Christie and Huang (1995) and Chang, Cheng, and Khorana (2000). Research data consists of daily logarithmic stock returns for the time period of January 1997 - July 2012. Study has been diversified by dividing the time period into two sub-periods, 1997-2004 and 20052012. Findings are in the direction that herding behavior effect has been felt intensively at the first sub-period in rising market conditions. The effect has fallen at the second sub-period. Hence, it can be said that diversification opportunities has risen as of the second sub-period

___

  • Allais, M., (1953). "Allais Paradox", http://www.dictionaryofeconomics.com/Articles. aspx, (Erişim Tarihi 24.07.2007).
  • Al-Shboul, M., (2012). "Asymmetric effects and the herd behavior in the Australian equity market", International Journal of Business and Management, Vol. 7, No. 7, 121-140.
  • Altay, E., (2008). "Sermaye piyasasında sürü davranışı: İMKB'de piyasa yönünde sürü davranışının analizi", BDDK Bankacılık ve Finansal Piyasalar, Cilt. 2, Sayı. 1, 27-58.
  • Banerjee, A., (1992). "A simple model of herd behavior", Quarterly Journal of Economics, Vol. 107, No. 3, 797-818.
  • Chang, E., Cheng, J., Khorana, A., (2000). "An examination of herd behavior in equity markets: An international perspective", Journal of Banking and Finance, Vol. 24, No. 10, 1651-1679.
  • Chiang, T. C., Li, J., Tan, L., (2011). "Dynamic herding behavior in Pacific-Basin markets: Evidence and implications", www.cass.city.ac.uk/__data/.../Chiang.pdf, erişim tarihi: 16.08.2012.
  • Christie, W., Huang, R. D., (1995). "Following pied piper: do individual returns herd around the market?", Financial Analysts Journal, Vol. 51, No. 4, 31-37.
  • De Bondt,W., Thaler, R., (1985). "Does the stock market overreact?, Journal of Finance, Vol. 40, 793-808.
  • Demirer R., Gubo D., Kutan A. M., (2007). "An analysis of cross-country herd behavior in stock markets: a regional perspective", Journal of International Financial Markets, Institutions and Money, Vol. 3, 123-142.
  • Demirer, R., Kutan, A. M., Chen, C-D. (2010). "Do investors herd in emerging stock markets? Evidence from the Taiwanese market", Journal of Economic Behavior and Organizations, Vol. 76, No. 2, 283-295.
  • Economou, F., Kostakis, A., Philippas, N., (2011). "Cross-country effects in herding behavior: Evidence from four south European markets", Journal of International Financial Markets, Institutions & Money, Vol. 21, No. 3, 443-460.
  • Fu, T., Lin, M., (2010). "Herding in China equity market", International Journal of Economics and Finance, Vol. 2, No. 2, 148-156.
  • Fuller, R. J., (2000). "Behavioral finance and the sources of alpha", Journal of Pension Investing, Vol. 2, No. 3.
  • Henker, J., Henker, T., Mitsios, A., (2006). "Do investors herd intraday in Australian equities?" International Journal of Managerial Finance, Vol. 2, No. 3, 196-219.
  • Hwang, S., Salmon, M., (2004). "Market stress and herding", Journal of Empirical Finance, Vol. 11, No. 4, 585-616.
  • Kahneman, D., Tversky, A., (1979). "Prospect theory: An analysis of decisions under risk", Econometrica, Vol. 47 No.2, 263-291.
  • Kapusuzoğlu, A., (2011). "Herding in the Istanbul stock exchange (ISE): A case of behavioral finance", African Journal of Business Management, Vol.5, No. 27, 11210-11218.
  • Khan, H., Hassairi, S. A., Viviani, J-L., (2011). "Herd behavior and market stress: The case of four European countries", International Business Research, Vol. 4, No. 3 53-67.
  • My, T. N., Truong, H. H., (2011). "Herding behavior in an emerging stock market: Empirical evidence from Vietnam", Research Journal of Business Management, Vol. 5, No. 2, 51-76.
  • 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, Vol. 16, No. 1-2, 61-77.
  • Tversky, A., Kahneman, D., (1971). "Belief in the law of small numbers", Psychological Bulletin, Vol. 76, No.2, 105-110.
  • Tversky, A., Kahneman, D., (1974). "Judgment under uncertainty: Heuristics and biases", Science, Vol. 185 (4157), 1124-1131.
  • Wang, D., (2008). "Herb behavior towards the market index: Evidence from 21 financial markets", IESE Business School - University of Navara, Working Paper, WP-776, http://www.iese.edu/research/pdfs/di-0776-e.pdf, erişim tarihi: 10.08.2012.