Analysis of Herding in Reits of an Emerging Market: The Case of Turkey

Omokolade Akinsomi, Yener Coskun () and Rangan Gupta

Journal of Real Estate Portfolio Management, 2018, vol. 24, issue 1, 65-81

Abstract: In this paper, we examine herding behavior in Turkish REITs (TREITs) by using daily closing prices over the period from 07/1/2007 to 05/30/2016. To the best of our knowledge, we are the first to examine the herding behavior in TREITs by utilizing Chang, Cheng, and Khorana's (2000) methodology. Our results indicate herding behavior, the presence of directional asymmetry, and a linear relation between volatility and herding. The evidence also suggests that herding is a persistent phenomenon and increases during market stress. We also find transition periods in both with/without asymmetry term models. Our findings suggest critical implications for portfolio managers and supervisors dealing with the behavioral aspects of irrationality arising from herding behaviors in emerging stock markets and TREITs.

Date: 2018
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Working Paper: Analysis of Herding in REITs of an Emerging Market: The Case of Turkey (2016)
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DOI: 10.1080/10835547.2018.12090007

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