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

^*Bu çalışma için yazışmadan sorumlu yazar

İşletme Mühendisliği Bölümü

Yeditepe University
Kadir Has University

Araştırma sonucu: Dergiye katkı › Makale › bilirkişi

9 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 dil	İngilizce
Sayfa (başlangıç-bitiş)	1793-1810
Sayfa sayısı	18
Dergi	Emerging Markets Finance and Trade
Hacim	57
Basın numarası	6
DOI'lar	https://doi.org/10.1080/1540496X.2019.1641082
Yayın durumu	Yayınlandı - 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].

Finansörler	Finansör numarası
TUBITAK	117K908
Türkiye Bilimsel ve Teknolojik Araştirma Kurumu

Belgeye Erişim

10.1080/1540496X.2019.1641082

Diğer Dosyalar ve Linkler

Link to publication in Scopus

Alıntı Yap

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title = "Daily and Intraday Herding within Different Types of Investors in Borsa Istanbul",

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.",

keywords = "Borsa Istanbul, G12, G23, G41, behavioral finance, herding",

author = "Nihan Dalgı{\c c} and Cumhur Ekinci and Oğuz Ersan",

note = "Publisher Copyright: {\textcopyright}, Copyright {\textcopyright} Taylor \& Francis Group, LLC.",

year = "2021",

doi = "10.1080/1540496X.2019.1641082",

language = "English",

volume = "57",

pages = "1793--1810",

journal = "Emerging Markets Finance and Trade",

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TY - JOUR

T1 - Daily and Intraday Herding within Different Types of Investors in Borsa Istanbul

AU - Dalgıç, Nihan

AU - Ekinci, Cumhur

AU - Ersan, Oğuz

PY - 2021

Y1 - 2021

N2 - 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.

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.

KW - Borsa Istanbul

KW - G12

KW - G23

KW - G41

KW - behavioral finance

KW - herding

UR - https://www.scopus.com/pages/publications/85105837877

U2 - 10.1080/1540496X.2019.1641082

DO - 10.1080/1540496X.2019.1641082

M3 - Article

AN - SCOPUS:85105837877

SN - 1540-496X

VL - 57

SP - 1793

EP - 1810

JO - Emerging Markets Finance and Trade

JF - Emerging Markets Finance and Trade

IS - 6

ER -

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

Özet

Bibliyografik not

Finansman

Belgeye Erişim

Diğer Dosyalar ve Linkler

Parmak izi

Alıntı Yap