Daily and Intraday Herding within Different Types of Investors in Borsa Istanbul

Nihan Dalgıç; Cumhur Ekinci; Oğuz Ersan

doi:10.1080/1540496X.2019.1641082

Daily and Intraday Herding within Different Types of Investors in Borsa Istanbul

Nihan Dalgıç, Cumhur Ekinci^*, Oğuz Ersan

^*Corresponding author for this work

Department of Management Engineering

Research output: Contribution to journal › Article › peer-review

6 Citations (Scopus)

Abstract

This paper aims to explore the daily and intraday herd behavior of various investor groups trading in an emerging equity market, Borsa Istanbul (BIST). We analyze a one-year tick-by-tick order and trade data of BIST 100 Index stocks and document differences in herding behavior of investor groups considering market capitalization, market conditions, and announcements as well as daily and intraday periodicities. We find that nonprofessional investors (brokerage houses and domestic funds) tend to herd on large (small) stocks; their herding behavior mostly exhibits a U shape (an inverse U shape) during the day. All types of investors tend to herd in down markets on a daily basis while this behavior disappears, even inverts intraday.

Original language	English
Pages (from-to)	1793-1810
Number of pages	18
Journal	Emerging Markets Finance and Trade
Volume	57
Issue number	6
DOIs	https://doi.org/10.1080/1540496X.2019.1641082
Publication status	Published - 2021

Bibliographical note

Publisher Copyright:
©, Copyright © Taylor & Francis Group, LLC.

Funding

We are grateful for the financial support provided by the Scientific and Technological Research Council of Turkey (TUBITAK) for the Project No [117K908].

Funders	Funder number
TUBITAK	117K908
Türkiye Bilimsel ve Teknolojik Araştirma Kurumu

Keywords

behavioral finance
Borsa Istanbul
G12
G23
G41
herding

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10.1080/1540496X.2019.1641082

Cite this

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abstract = "This paper aims to explore the daily and intraday herd behavior of various investor groups trading in an emerging equity market, Borsa Istanbul (BIST). We analyze a one-year tick-by-tick order and trade data of BIST 100 Index stocks and document differences in herding behavior of investor groups considering market capitalization, market conditions, and announcements as well as daily and intraday periodicities. We find that nonprofessional investors (brokerage houses and domestic funds) tend to herd on large (small) stocks; their herding behavior mostly exhibits a U shape (an inverse U shape) during the day. All types of investors tend to herd in down markets on a daily basis while this behavior disappears, even inverts intraday.",

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AU - Ekinci, Cumhur

AU - Ersan, Oğuz

PY - 2021

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AB - This paper aims to explore the daily and intraday herd behavior of various investor groups trading in an emerging equity market, Borsa Istanbul (BIST). We analyze a one-year tick-by-tick order and trade data of BIST 100 Index stocks and document differences in herding behavior of investor groups considering market capitalization, market conditions, and announcements as well as daily and intraday periodicities. We find that nonprofessional investors (brokerage houses and domestic funds) tend to herd on large (small) stocks; their herding behavior mostly exhibits a U shape (an inverse U shape) during the day. All types of investors tend to herd in down markets on a daily basis while this behavior disappears, even inverts intraday.

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Daily and Intraday Herding within Different Types of Investors in Borsa Istanbul

Abstract

Bibliographical note

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Keywords

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