IDEAS home Printed from https://ideas.repec.org/p/sek/iacpro/8109857.html
   My bibliography  Save this paper

Does Herd Behaviour Exist In Turkish Stock Markets? The Case Of Borsa Istanbul

Author

Listed:
  • UTKU ALTUNOZ

    (sinop university)

Abstract

Herd describes how individuals in a group can act collectively without centralized direction. The herd behavior on stock markets implies that investors ignore their own ideas in stock trading decisions and trade in the direction of the market. It is important to detect the effect of herding behavior in markets to assess the validity of rational asset pricing models and diversification opportunities. This paper, the validity of herding has been researched at Borsa Istanbul by considering 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 period of 1998 ? 2016. Study has been diversified by dividing the period into two sub-periods, 1998-2005 and 2006- 2016. According to obtained results, 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.

Suggested Citation

  • Utku Altunoz, 2018. "Does Herd Behaviour Exist In Turkish Stock Markets? The Case Of Borsa Istanbul," Proceedings of International Academic Conferences 8109857, International Institute of Social and Economic Sciences.
    • Handle: RePEc:sek:iacpro:8109857
    as

    Download full text from publisher

    File URL: https://iises.net/proceedings/44th-international-academic-conference-vienna/table-of-content/detail?cid=81&iid=002&rid=9857
    File Function: First version, 2018
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    : Herding Behavior; Diversification; Christie and Huang (1995) Model; Chang; Cheng; and Khorana (2000) Model.;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    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:sek:iacpro:8109857. 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: Klara Cermakova (email available below). General contact details of provider: https://iises.net/ .

    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.