IDEAS home Printed from https://ideas.repec.org/a/mes/emfitr/v51y2015i1p140-159.html
   My bibliography  Save this article

Effect of Global Shocks and Volatility on Herd Behavior in an Emerging Market: Evidence from Borsa Istanbul

Author

Listed:
  • Mehmet Balcilar
  • Riza Demirer

Abstract

In this article, we examine the dynamic relationship between global factors and herd behavior in an emerging market. Utilizing a time-varying transition probability Markov-switching model, we examine the role of global risk factors on investor behavior in Borsa Istanbul, which is dominated largely by foreign investors. Our tests yield three distinct market regimes (low, high, and extreme volatility) and evidence consistent with herd behavior during both the high- and extreme-volatility regimes. U.S. market–related factors are found to dominate regime transitions and thus significantly contribute to herd behavior in all market sectors with the exception of industrials, suggesting that industrials are relatively immune to global shocks. Multivariate synchronization tests further suggest that herding regimes are perfectly synchronized across all market sectors.

Suggested Citation

  • Mehmet Balcilar & Riza Demirer, 2015. "Effect of Global Shocks and Volatility on Herd Behavior in an Emerging Market: Evidence from Borsa Istanbul," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 51(1), pages 140-159, January.
    • Handle: RePEc:mes:emfitr:v:51:y:2015:i:1:p:140-159
    DOI: 10.1080/1540496X.2015.1011520
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1540496X.2015.1011520
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1540496X.2015.1011520?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    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:mes:emfitr:v:51:y:2015:i:1:p:140-159. 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: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MREE20 .

    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.