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

Nihan Dalgıç, Cumhur Ekinci*, Oğuz Ersan

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5 Atıf (Scopus)

Özet

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.

Orijinal dilİngilizce
Sayfa (başlangıç-bitiş)1793-1810
Sayfa sayısı18
DergiEmerging Markets Finance and Trade
Hacim57
Basın numarası6
DOI'lar
Yayın durumuYayınlandı - 2021

Bibliyografik not

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

Finansman

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

FinansörlerFinansör numarası
TUBITAK117K908
Türkiye Bilimsel ve Teknolojik Araştirma Kurumu

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