Beta Herding in the Covid-19 Era: Evidence from Borsa Istanbul

Hilal H. Erdogan
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Hilal H. Erdogan: Avrasya University

Business and Economics Research Journal, 2021, vol. 12, issue 2, 359-368

Abstract: The study aims to examine beta herding in the Covid-19 era in Borsa Istanbul. Herding was analyzed based on the state-space model utilizing cross-sectional volatility of beta coefficients between January 2010 and November 2020. The results provided evidence of herding in Borsa Istanbul. In case of beta herding, this model provides to detect whether herding is intentional or spurious, as well. Within this context, market volatility, market return, size, and value factors of the Fama-French model were included in the analysis. Accordingly, intentional herding was found in Borsa Istanbul and investors tend to herd more, particularly under the global pandemic of Covid-19.

Keywords: Herd Behavior; Covid-19; Cross-Sectional Volatility; Beta Coefficient; Borsa Istanbul (search for similar items in EconPapers)
JEL-codes: G01 G10 G41 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:buecrj:0547

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