IDEAS home Printed from https://ideas.repec.org/a/bdd/journl/v2y2008i1p27-58.html
   My bibliography  Save this article

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

Author

Listed:
  • Erdinç Altay

Abstract

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

Suggested Citation

  • Erdinç Altay, 2008. "Herding in Capital Markets: Analysis of Herding Towards the Market in ISE," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 2(1), pages 27-58.
    • Handle: RePEc:bdd:journl:v:2:y:2008:i:1:p:27-58
    as

    Download full text from publisher

    File URL: http://www.bddk.org.tr/Content/docs/bddkDergiTr/dergi_0003_04.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Herding Behavior; Behavioral Finance;

    JEL classification:

    • C91 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Individual Behavior
    • C92 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Group Behavior
    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty
    • G1 - Financial Economics - - General Financial Markets
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bdd:journl:v:2:y:2008:i:1:p:27-58. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sumeyye Azize CENGIZ (email available below). General contact details of provider: https://edirc.repec.org/data/bddgvtr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.