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Journals / Uluslararası Ekonomi ve Yenilik Dergisi / 2020 / Cilt: 6 - Sayı: 2

International Investors, Volatility, and Herd Behavior: Borsaİstanbul, 2001-2016

Uluslararası Yatırımcılar, Volatilite ve Sürü Davranışı: Borsa İstanbul, 2001-2016

Burak DİNDAROĞLU
Ezgi AKÇAALAN
Ayla Oğuş BİNATLI
Pages
247–259
Publication Date
2022-11-06
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

We perform time-series analysis of a herding index and find that herding increases following increased trading by international investors, but falls with overall trading volume on the market.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:We study herding in Borsa Istanbul between 2001 and 2016, focusing on the effects of international investors and market volatility.
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Key Findings & Data:Herding explains 31% of total variability in the cross sectional standard deviation of beta values, controlling for market fundamentals.
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Conclusion & Impact:We perform time-series analysis of a herding index and find that herding increases following increased trading by international investors, but falls with overall trading volume on the market.
🔬Design:Research Article
📍Scope:2001 Verileri
⚙️Variables:Domain Parameters

Abstract

We study herding in Borsa Istanbul between 2001 and 2016, focusing on the effects of international investors and market volatility. Herding explains 31% of total variability in the cross sectional standard deviation of beta values, controlling for market fundamentals. We perform time-series analysis of a herding index and find that herding increases following increased trading by international investors, but falls with overall trading volume on the market. Herding rises in response to increased volatility, rather than leading to it, against previous arguments. Investors do not herd during economic crises, but following important events that raise political tension in the country.

Özet

Bu çalışmada Borsa İstanbul'da 2001 ve 2016 yılları arasında sürü davranışıçalışılmış, ve özellikle uluslararası yatırımcı ve volatilite etkilerine odaklanılmıştır. Sürüdavranışı, temel pazar göstergeleri kontrol edildiği durumda, yatay-kesitsel betadeğerlerindeki hareketliliğin %31'ini açıklamaktadır. Elde ettiğimiz sürü davranışıendeksinin zaman serisi analizi, sürü davranışının uluslararası yatırımcıların ticarethacmi ile arttığını, ancak toplam ticaret hacmi ile azaldığını göstermektedir. Sürüdavranışı, artan pazar volatilitesi ile artmakta, ancak -yazındaki kimi iddiaların aksine pazarda bir volatilite artışına neden olmamaktadır. Sürü davranışının ekonomik krizdönemlerinde artmadığı, ancak ülkede politik gerilimi artıran önemli olaylar sonucundayükseliş gösterdiği bulunmuştur

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Cite This Article

DİNDAROĞLU, B., AKÇAALAN, E., BİNATLI, A. O. (2022). International Investors, Volatility, and Herd Behavior: Borsaİstanbul, 2001-2016. Uluslararası Ekonomi ve Yenilik Dergisi, Cilt: 6 - Sayı: 2, 247–259. https://ajindex.com/articles/644722

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