Is ‘Herding’ Peculiar to Certain Stocks? A Perspective from the Turkish Stock Market

Mustafa Yildirim; İrem Çetinkaya

Article Details

Is ‘Herding’ Peculiar to Certain Stocks? A Perspective from the Turkish Stock Market

Authors:

Mustafa Yildirim | İrem Çetinkaya

Publisher:

Selcuk University

Main Topics:

Finansal Ekonomi

Journal:

Selçuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi Issue 52, pp.189-198

Document Type:

Article

Publication Date:

12/2023

Document Language:

English

Document ID (Org No.):

2001307157

pISSN:

2667-4750

Keywords:

Abstract:

 We test the existence of dailyweekly herding behavior in the Turkish stock market between June 2013 and October 2020 on the stocks that remained listed on the benchmark stock index over the analysis period. Rather than performing the test on a set of stocks belonging to firms with different characteristics as in the literature, we conduct it on subsets of stocks we form based on foreign ownership ratio, firm size measured by total assets, and prominent financial indicators price-to-earnings and market-to-book ratios. Our analysis provides no evidence of herding behavior but yields important insights. Specifically, it demonstrates that financial indicators have no bearing on herding behavior, but investor type and firm size may. A slight indication of herding tendency emerges in stocks with a relatively higher investment from local investors but disappears in those with a comparatively higher investment from foreign investors. This finding suggests a potential market knowledge disparity between local and foreign investors, with the less expert being the local group. Moreover, a faint sign of herding tendency also appears in stocks that belong to small firms, possibly due to a heightened uncertainty inherent in such stocks.

 We test the existence of dailyweekly herding behavior in the Turkish stock market between June 2013 and October 2020 on the stocks that remained listed on the benchmark stock index over the analysis period. Rather than performing the test on a set of stocks belonging to firms with different characteristics as in the literature, we conduct it on subsets of stocks we form based on foreign ownership ratio, firm size measured by total assets, and prominent financial indicators price-to-earnings and market-to-book ratios. Our analysis provides no evidence of herding behavior but yields important insights. Specifically, it demonstrates that financial indicators have no bearing on herding behavior, but investor type and firm size may. A slight indication of herding tendency emerges in stocks with a relatively higher investment from local investors but disappears in those with a comparatively higher investment from foreign investors. This finding suggests a potential market knowledge disparity between local and foreign investors, with the less expert being the local group. Moreover, a faint sign of herding tendency also appears in stocks that belong to small firms, possibly due to a heightened uncertainty inherent in such stocks.

 We test the existence of dailyweekly herding behavior in the Turkish stock market between June 2013 and October 2020 on the stocks that remained listed on the benchmark stock index over the analysis period. Rather than performing the test on a set of stocks belonging to firms with different characteristics as in the literature, we conduct it on subsets of stocks we form based on foreign ownership ratio, firm size measured by total assets, and prominent financial indicators price-to-earnings and market-to-book ratios. Our analysis provides no evidence of herding behavior but yields important insights. Specifically, it demonstrates that financial indicators have no bearing on herding behavior, but investor type and firm size may. A slight indication of herding tendency emerges in stocks with a relatively higher investment from local investors but disappears in those with a comparatively higher investment from foreign investors. This finding suggests a potential market knowledge disparity between local and foreign investors, with the less expert being the local group. Moreover, a faint sign of herding tendency also appears in stocks that belong to small firms, possibly due to a heightened uncertainty inherent in such stocks.

 Haziran 2013 ile Ekim 2020 tarihleri arasında Türk borsasında günlükhaftalık sürü davranışının varlığını, analiz dönemi boyunca gösterge borsa endeksinde kote kalan hisse senetleri üzerinde test ediyoruz. Testi literatürde olduğu gibi farklı özelliklere sahip firmalara ait bir dizi hisse senedi üzerinden yapmak yerine, yabancı sahiplik oranı, firma büyüklüğü toplam varlıklarla ölçülen ve öne çıkan finansal göstergelere fiyat-kazanç ve piyasa-defter oranları göre oluşturduğumuz hisse alt kümeleri üzerinden yapıyoruz. Analizimiz, sürü davranışına ilişkin bir kanıt sağlamamakta, ancak önemli içgörüler sunmaktadır. Spesifik olarak, analizimiz finansal göstergelerin sürü davranışı üzerinde bir etkisi olmadığını, ancak yatırımcı türü ve firma büyüklüğünün olabileceğini göstermektedir. Sürü eğiliminin hafif bir göstergesi yerel yatırımcılardan nispeten daha yüksek yatırım alan hisse senetlerinde ortaya çıkarken, yabancı yatırımcılardan nispeten daha yüksek yatırım alan hisse senetlerinde kaybolmaktadır. Bu bulgu, yerel ve yabancı yatırımcılar arasında daha az uzman olanın yerel grup olduğu olası bir pazar bilgisi eşitsizliği olduğuna işaret etmektedir. Ayrıca, muhtemelen bu tür hisse senetlerinin doğasında var olan daha büyük bir belirsizlik nedeniyle, küçük firmalara ait hisse senetlerinde de hafif bir sürü eğilimi belirtisi ortaya çıkmaktadır.

Article Details

Is ‘Herding’ Peculiar to Certain Stocks? A Perspective from the Turkish Stock Market

Authors:

Mustafa Yildirim | İrem Çetinkaya

Publisher:

Selcuk University

Main Topics:

Finansal Ekonomi

Journal:

Selçuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi Issue 52, pp.189-198

Document Type:

Article

Publication Date:

12/2023

Document Language:

English

Document ID (Org No.):

2001307157

pISSN:

2667-4750

Herding Behavior

Firm Size

Foreign Ownership

Financial RatiosSürü Davranışı

Firma Büyüklüğü

Yabancı Mülkiyeti

Finansal Oranlar

Issues

Article Details

Authors: Mustafa Yildirim | İrem Çetinkaya

Publisher: Selcuk University

Main Topics: Finansal Ekonomi

Journal: Selçuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi Issue 52, pp.189-198

Document Type: Article

Publication Date: 12/2023

Document Language: English

Document ID (Org No.): 2001307157

pISSN: 2667-4750

Issues

Authors:

Mustafa Yildirim | İrem Çetinkaya

Publisher:

Selcuk University

Main Topics:

Finansal Ekonomi

Journal:

Selçuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi Issue 52, pp.189-198

Document Type:

Article

Publication Date:

12/2023

Document Language:

English

Document ID (Org No.):

2001307157

pISSN:

2667-4750