EconPapers    
Economics at your fingertips  
 

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

Mehmet Balcilar and Riza Demirer

Emerging Markets Finance and Trade, 2015, vol. 51, issue 1, 140-159

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.

Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (34) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/1540496X.2015.1011520 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mes:emfitr:v:51:y:2015:i:1:p:140-159

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/MREE20

DOI: 10.1080/1540496X.2015.1011520

Access Statistics for this article

More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2023-09-20
Handle: RePEc:mes:emfitr:v:51:y:2015:i:1:p:140-159