Analysis of Investors Herding Behavior: An Empirical Study from Istanbul Stock Exchange


Eren Sarıoğlu S.

European Journal of Business and Management Research, vol.5, no.2, pp.1-11, 2020 (Peer-Reviewed Journal)

Abstract

This study investigates the existence of herding

behavior in Istanbul Stock Exchange using a narrow index for

the period between January 1, 2000 and December 31, 2018.

Besides, the study tests herding behavior of investors during

high and low volatility periods. The data is collected from Finnet

and it contains daily, weekly and monthly return data. The study

uses both modified CSSD and CSAD models. The finding of the

study shows that herding is more prevalent when the market

falls and from the three data type it is more prevalent in the daily

data. This indicates that investors behave rationally when the

market rises and they become irrational and herd the market

consensus when the market falls. On the other hand, the level of

herding is significantly high during high market volatility

periods. Therefore, we conclude that there is an asymmetrical

investor behavior while pricing assets in Istanbul Stock

Exchange.