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

Uluslararası Yatırımcılar, Volatilite ve Sürü Davranışı

International Investors, Volatility, and Herd Behavior

Ezgi Akçaalan(İZMİR EKONOMİ ÜNİVERSİTESİ)
Burak Dindaroğlu(İZMİR YÜKSEK TEKNOLOJİ ENSTİTÜSÜ)0000-0003-2889-3704
Ayla Ogus Binatlı(İZMİR EKONOMİ ÜNİVERSİTESİ)0000-0002-8291-0010
Sayfa
247–259
Yayın Tarihi
2019-10-17
DOI
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

Elde ettiğimiz sürü davranışı endeksinin zaman serisi analizi, sürü davranışının uluslararası yatırımcıların ticaret hacmi ile arttığını, ancak toplam ticaret hacmi ile azaldığını göstermektedir.

📌 3 Maddede Bu Makale

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Amaç & Hipotez:Bu çalışmada Borsa İstanbul'da 2001 ve 2016 yılları arasında sürü davranışı çalışılmış, ve özellikle uluslararası yatırımcı ve volatilite etkilerine odaklanılmıştır.
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Temel Bulgular & Veri:Sürü davranışı, temel pazar göstergeleri kontrol edildiği durumda, yatay-kesitsel beta değerlerindeki hareketliliğin %31'ini açıklamaktadır.
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Sonuç & Katkı:Elde ettiğimiz sürü davranışı endeksinin zaman serisi analizi, sürü davranışının uluslararası yatırımcıların ticaret hacmi ile arttığını, ancak toplam ticaret hacmi ile azaldığını göstermektedir.
🔬Tür:Araştırma Makalesi
📍Kapsam:2001 Verileri
⚙️Değişkenler:Sürü davranışı · Borsa İstanbul · Volatilite

Özet

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

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.

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Bu Makaleye Atıf Yap

Akçaalan, E., Dindaroğlu, B., Binatlı, A. O. (2019). Uluslararası Yatırımcılar, Volatilite ve Sürü Davranışı. Uluslararası Ekonomi ve Yenilik Dergisi, Cilt: 6 Sayı: 2, 247–259. https://ajindex.com/articles/1319718

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