THE MONTH OF RAMADAN AND HERDING BEHAVIOR: AN INVESTIGATION ON BORSA ISTANBUL

Yıl 2023, Cilt: 9 Sayı: 2, 241 - 265, 31.12.2023

Gamze Taştemel , Nasıf Özkan

https://doi.org/10.54863/jief.1377616

Öz

This study investigates the existence of Ramadan-related herding behavior in Borsa Istanbul. For this purpose, the study used dividend-adjusted returns of 532 stocks traded in Borsa Istanbul between 03.03.2014 and 31.12.2021. We analyzed this data set by the cross-sectional absolute deviation of returns (CSAD) methodology developed by Chang et al. (2000). In the examined date range, we did not observe herding behavior throughout Ramadan, on different days of Ramadan (the first, second, and last ten days, and odd and even numbered days in the last ten days), and in different market conditions of this month. However, we determined herding behavior in Borsa Istanbul on days other than the month of Ramadan and especially in up-market conditions. Contrary to the existing evidence, the findings show that the herding behavior caused by Ramadan in Borsa Istanbul is not persistent.

Anahtar Kelimeler

Efficient Markets, Ramadan, Social Mood, Herding Behavior.

RAMAZAN AYI VE SÜRÜ DAVRANIŞI: BORSA İSTANBUL ÜZERİNE BİR ARAŞTIRMA

Öz

Bu çalışma, Borsa İstanbul’da Ramazan ayına bağlı sürü davranışının varlığını araştırmaktadır. Bu amaçla çalışmada, 03.03.2014 ile 31.12.2021 tarihleri arasında Borsa İstanbul’da işlem gören 532 payın temettüye göre düzeltilmiş getirileri kullanılmaktadır. Bu veri seti, Chang vd. (2000)’in geliştirdiği getirilerin yatay kesit mutlak sapması (CSAD) metodolojisiyle analiz edilmektedir. İncelenen tarih aralığında Ramazan ayının bütününde, Ramazan ayının farklı günlerinde (ilk, ikinci, son on gün ile son on günündeki tek ve çift sayılı günler) ve bu aydaki farklı piyasa koşullarında sürü davranışına rastlanamamıştır. Ancak, Borsa İstanbul’da Ramazan ayı dışındaki günlerde ve özellikle de yükselen piyasa koşullarında sürü davranışı görülmektedir. Mevcut kanıtların aksine elde edilen bulgular, Borsa İstanbul’da Ramazan ayından kaynaklanan sürü davranışının kalıcı olmadığını göstermektedir.

Anahtar Kelimeler

Etkin Piyasalar, Ramazan Ayı, Sosyal Ruh Hali, Sürü Davranışı

Etik Beyan

Yapılan bu çalışmada “Yükseköğretim Kurumları Bilimsel Araştırma ve Yayın Etiği Yönergesi” kapsamında uyulması gerektiği belirtilen tüm kurallara uyulmuştur. Yönergenin ikinci bölümü olan “Bilimsel Araştırma ve Yayın Etiğine Aykırı Eylemler” başlığı altında belirtilen eylemlerden hiçbiri gerçekleştirilmemiştir.

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