 DOES HERD BEHAVIOUR EXIST IN TURKISH STOCK MARKETS? THE CASE OF BORSA ISTANBULUtku Altunoz ()
No 8109857, Proceedings of International Academic Conferences from International Institute of Social and Economic Sciences 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. Keywords: : Herding Behavior; Diversification; Christie and Huang (1995) Model; Chang; Cheng; and Khorana (2000) Model. (search for similar items in EconPapers) Published in Proceedings of the Proceedings of the 44th International Academic Conference, Vienna, Nov 2018, pages 22-33 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:sek:iacpro:8109857 Access Statistics for this paper More papers in Proceedings of International Academic Conferences from International Institute of Social and Economic Sciences |
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