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- Title
International Investors, Volatility, and Herd Behavior: Borsa İstanbul, 2001-2016.
- Authors
AKÇAALAN, Ezgi; DİNDAROĞLU, Burak; BİNATLI, Ayla Oğuş
- Abstract
We study herding in Borsa Istanbul between 2001 and 2016, focusing on the effects of international investors and market volatility. Herding explains 31% of total variability in the cross sectional standard deviation of beta values, controlling for market fundamentals. We perform time-series analysis of a herding index and find that herding increases following increased trading by international investors, but falls with overall trading volume on the market. Herding rises in response to increased volatility, rather than leading to it, against previous arguments. Investors do not herd during economic crises, but following important events that raise political tension in the country.
- Subjects
ANIMAL herds; TIME series analysis; INVESTORS; INVESTOR confidence; INTERNATIONAL trade; FINANCIAL crises
- Publication
Uluslararasi Ekonomi ve Yenilik Dergisi, 2020, Vol 6, Issue 2, p247
- ISSN
2149-6838
- Publication type
Article