IDEAS home Printed from https://ideas.repec.org/p/sek/iefpro/2205023.html
   My bibliography  Save this paper

Empirical Analysis of Herd Behavior in Borsa Istanbul

Author

Listed:
  • Hilal Hümeyra Özsu

    (Gediz University)

Abstract

Behavioral finance is a field that has grown toward the end of 20th century as a reaction to the efficient market hypothesis. This new field studies the effect of investor psychology on financial decisions and explains stock market anomalies in financial markets. Herding is such an anomaly that is defined as mimicking others? decisions or market trend.The aim of the study is to detect whether there is herding or not in Borsa Istanbul. To test the existence of herding, stock returns traded on Borsa Istanbul and BIST 100 Index as market indicator are used. Data covers daily returns from 1988 to 2014 and intraday returns from 1995 to 2014. Herd behavior is analyzed based on the methodology of cross-sectional dispersion of the stocks developed by Christie and Huang (1995) and Chang, Cheng and Khorana (2000). The results indicate that there is no herding for both up and down markets for daily and intraday intervals in Borsa Istanbul. However, tendency of herding is higher in up markets.

Suggested Citation

  • Hilal Hümeyra Özsu, 2015. "Empirical Analysis of Herd Behavior in Borsa Istanbul," Proceedings of Economics and Finance Conferences 2205023, International Institute of Social and Economic Sciences.
    • Handle: RePEc:sek:iefpro:2205023
    as

    Download full text from publisher

    File URL: https://iises.net/proceedings/4th-economics-finance-conference-london/table-of-content/detail?cid=22&iid=046&rid=5023
    File Function: First version, 2015
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Behavioral Finance; Herd Behavior; Borsa Istanbul; Cross-Sectional Dispersion.;
    All these keywords.

    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • 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:iefpro:2205023. 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.