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

Özet

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 volatilityof beta coefficients between January 2010 and November 2020. The results providedevidence of herding in Borsa Istanbul. In case of beta herding, this model provides todetect whether herding is intentional or spurious, as well. Within this context, marketvolatility, market return, size, and value factors of the Fama-French model wereincluded in the analysis. Accordingly, intentional herding was found in Borsa Istanbuland investors tend to herd more, particularly under the global pandemic of Covid-19.