Piyasaların Likiditesi Sürü Davranışını Tetikliyor Mu?

Amaç – Çalışmanın amacı Borsa İstanbul hisse senedi piyasasında sürü davranışının varlığı ve piyasa likiditesi ile ilişkisi küresel kriz dikkate alınarak incelemektir. Yöntem – Borsa İstanbul’da kayıtlı 189 işletmeye ait hisse senetlerinin 13.01.2005 ile 17.05.2018 arasında günlük veriler kullanılarak ve 2007-2009 küresel kriz dikkate alınarak dört farklı dönem için Christie ve Huang (1995) modeli test edilmiştir. Bulgular – Analiz sonucunda Türkiye’de kriz öncesi dönemde sürü davranışının geçerli olmadığı, kriz dönemlerinde piyasa likiditesinin yüksek olduğu zamanlarda, kriz sonrası dönemlerde ise piyasa likiditesinin düşük olduğu zamanlarda yatırımcının sürü davranışı sergilediği ve bu dönemlerde artan belirsizlikten dolayı piyasanın ortak kararına uymaya yöneldiği gözlenmektedir. Ayrıca yatırımcıların sürü davranışı gösterme eğiliminin piyasa likiditesi ile ilişkili olduğu bulgusuna ulaşılmıştır. Tartışma – Çalışmada elde edilen bulguların Türkiye için daha önce test edilmemiş olması çalışmanın özgünlüğü ve literatüre katkısı olup bu alanda farklı çalışmalar için örnek olabilecektir.

Does The Liquidity of Market Lead to Herding?

Purpose – This study purpose to analyse the herd behavior and the relationship between herd behavior and the market liquidity in Borsa Istanbul stock markets. Design/methodology/approach – In this study, Christie ve Huang (1995) model has been tested for four different period by using daily data between 18.01.2005 and 17.04.2018 of stocks traded in Stock Exchange Istanbul and taking into consideration the 2007-2009 global crisis. Findings – As a result of analysis, the herd behavior is not valid in the pre-crisis period in Turkey. However the investors exhibit herd behavior in times of high market liquidity in crisis period and in periods of low market liquidity in the post-crisis period. Investors attempt to comply with the market's co-decision because of the increasing uncertainity in these periods. It has also been found that investors' tendency to show herd behavior is related to market liquidity. Discussions – Since the findings of this paper have not been tested previously for Turkey, the paper would contribute to the existing literature and it will serve as a model for future papers.

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