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

Year 2023, Issue: 52, 189 - 198, 27.12.2023

Mustafa Yildirim , İrem Çetinkaya

https://doi.org/10.52642/susbed.1345803

Abstract

We test the existence of daily/weekly 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.

Keywords

Herding Behavior, Firm Size, Foreign Ownership, Financial Ratios

‘Sürü Davranışı’ Belirli Hisse Senetlerine mi Özgü? Türk Hisse Senedi Piyasasından Bir Bakış

Abstract

Haziran 2013 ile Ekim 2020 tarihleri arasında Türk borsasında günlük/haftalık 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.

Keywords

Sürü Davranışı, Firma Büyüklüğü, Yabancı Mülkiyeti, Finansal Oranlar

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