Ezgi AKÇAALAN, Burak DİNDAROĞLU, Ayla Oğuş BİNATLI

International Investors, Volatility, and Herd Behavior: Borsa İstanbul, 2001-2016

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.

Uluslararası Yatırımcılar, Volatilite ve Sürü Davranışı: Borsa İstanbul, 2001-2016

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 aksinepazarda bir volatilite artışına neden olmamaktadır. Sürü davranışının ekonomik kriz dönemlerinde artmadığı, ancak ülkede politik gerilimi artıran önemli olaylar sonucunda yükseliş gösterdiği bulunmuştur

PDF

___

Adrangi, B. and Chatruth, A. (1998). Futures commitments and exchange rate volatility. Journal of Business Finance & Accounting, 25(3‐4), 501-520.

Altay, E. (2008). Sermaye piyasasında sürü davranışı: İMKB’de piyasa yönünde sürü davranışının analizi. BDDK Bankacılık ve Finansal Piyasalar, 2(1), 27-58.

Balcilar, M. and 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.

Blasco, N., Corredor, P. and Ferreruela, S. (2012). Does herding affect volatility? Implications for the Spanish stock market. Quantitative Finance, 12(2), 311-327.

Borsa İstanbul Annual Report. 2015. Accessed Jan 25, 2017 at http://www.borsaistanbul.com/en/corporate/publications/annual-reports

Cakan, E. and Balagyozyan. A. (2014). Herd behavior in the Turkish banking sector. Applied Economics Letters, 21(2), 75-79.

Caparrelli, F., D'Arcangelis, A. M. and Cassuto, A. (2004). Herding in the Italian stock market: a case of behavioral finance. The Journal of Behavioral Finance, 5(4), 222-230.

Chang, E., Chou, R. Y. and Nelling, E. F. (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.

Chang, E. C., Cheng, J. W. and Khorana, A. (2000). An examination of herd behavior in equity markets: An international perspective. Journal of Banking & Finance, 24(10), 1651-1679.

Chatrath, A., Song, F. (1999). Futures commitments and commodity price jumps. Financial Review 34(3), 95-111.

Chattopadhyay, M., Garg, A. K. and Mitra, S. K. (2018). Herding by Foreign Institutional Investors: An Evidential Exploration for Persistence and Predictability. Journal of Behavioral Finance, 19(1), 73-88. Chen, T. (2013)."Do investors herd in global stock markets? Journal of Behavioral Finance, 14(3): 230-239.

Cheng, I-H., Kirilenko, A. and Xiong, W. (2014). Convective risk flows in commodity futures markets. Review of Finance 19(5), 1733-1781.

Chiang, T. C., Li, J. and Tan, L. (2010). Empirical investigation of herding behavior in Chinese stock markets: Evidence from quantile regression analysis. Global Finance Journal, 21(1), 111-124.

Chiang, T. C., Li, J. Tan, L. and Nelling, E. (2013). Dynamic herding behavior in Pacific-Basin markets: Evidence and implications. Multinational Finance Journal, 17(3/4), 165-200.

Chiang, T. C. and Zheng, D. (2010). An empirical analysis of herd behavior in global stock markets. Journal of Banking & Finance, 34(8), 1911-1921.

Choe, H., Kho, B-C. and Stulz, R. M. (1999). Do foreign investors destabilize stock markets? The Korean experience in 1997. Journal of Financial Economics, 54(2), 227-264.

Christie, W. G. Huang, R. D. (1995). Following the pied piper: Do individual returns herd around the market? Financial Analysts Journal, 51(4), 31-37.

Celik, S. (2013). Herd behavior in world stock markets: Evidence from quantile regression analysis. Iktisat Isletme ve Finans, 28(329), 75-96.

Demir, N., Mahmud, S. F. and Solakoglu, M. N. (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.

Demirer, R., Kutan, A. M. and Zhang, H. (2014). Do ADR investors herd?: Evidence from advanced and emerging markets. International Review of Economics & Finance, 30, 138-148.

Doğukanlı, H. and Ergün, B. (2011). IMKB'de Sürü Davranışı: Yatay Kesit Değişkenlik Temelinde Bir Araştrma. Dokuz Eylül Universitesi Işletme Fakültesi Dergisi, 12 (2), 227-242.

Drukker, D. M. and Gates, R. B. (2011). State space methods in Stata. Journal of Statistical Software, 41(10), 1-25.

Durukan, M. B., Özsu, H. H. and Ergun, Z. C. (2017). Financial Crisis and Herd Behavior: Evidence from the Borsa Istanbul. In Handbook of Investors' Behavior During Financial Crises. Eds. Economou, F., Gavriilidis, K., Gregoriou, G. N. and Kallinterakis, V., 203-217. Cambridge: Academic Press.

Ezzat, H. and Kirkulak-Uludag, B. (2017) Information Arrival and Volatility: Evidence from the Saudi Stock Exchange (Tadawul). Panoeconomicus, 64(1), 45-59.

Economou, F., Kostakis, A. and Philippas, N. (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.

Froot, K. A., Scharfstein, D. S. and Stein, J. C. (1992). Herd on the street: Informational inefficiencies in a market with short‐term speculation. The Journal of Finance 47(4), 1461-1484.

Froot, K. A., O’Connell, P. G. J. and Seasholes, M. S. (2001). The portfolio flows of international investors. Journal of financial Economics, 59(2), 151-193.

Galariotis, E. C., Rong, W. and Spyrou, S. I. (2015). Herding on fundamental information: A comparative study. Journal of Banking & Finance, 50, 589-598.

Hirshleifer, D. and Teoh, S. H. (2003). Herd behavior and cascading in capital markets: A review and synthesis. European Financial Management, 9(1), 25-66.

Hwang, S. and Salmon, M. (2004). Market stress and herding. Journal of Empirical Finance, 11(4), 585-616.

Indārs, E. R., Savin, A. and Lublóy, Á. (2019). Herding behavior in an emerging market: Evidence from the Moscow Exchange. Emerging Markets Review, 38, 468-487.

Gonçalves, W. and Eid, W. (2017). Sophistication and price impact of foreign investors in the Brazilian stock market. Emerging Markets Review, 33, 102-139.

Messis, P. and Zapranis, A. (2014). Herding behavior and volatility in the Athens Stock Exchange. The Journal of Risk Finance, 15(5), 572-590.

Özsu, H. H. (2015). Empirical Analysis of Herd Behavior in Borsa Istanbul. International Journal of Economic Sciences, 4(4), 27-52.

Pop, R. E. (2012). Herd behavior towards the market index: evidence from Romanian stock exchange. MPRA Paper, No. 51595.

Saastamoinen, J. (2008). Quantile regression analysis of dispersion of stock returns-evidence of herding. Keskustelualoitteita, 57.

Scharfstein, D. S. and Stein, J. C. (1990). Herd behavior and investment. American Economic Review, 80(3), 465-479.

Schwert, G. W. (1989). Why does stock market volatility change over time? The Journal of Finance, 44(5), 1115-1153.

Solakoglu, M. N. and 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. and 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.

Wang, C. (2002). Information, trading demand, and futures price volatility. Financial Review 37.2 (2002), 295-315.

Yang, T-Y. and Yang, Y-T. (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.

Yao, J., Ma, C. and He, W. P. (2014). Investor herding behavior of Chinese stock market. International Review of Economics & Finance, 29, 12-29.