AN INVESTIGATION OF HERDING BEHAVIOR IN TURKISH MUTUAL FUND INDUSTRY

Yıl 2018, Cilt: 10 Sayı: 19, 291 - 302, 01.07.2018

Pınar Evrim Mandacı , Zeliha Can Ergün , F. Dilvin Taşkın Yeşilova

https://doi.org/10.14784/marufacd.502166

Öz

This paper investigates the herding behavior of mutual
fund managers in Turkey by using monthly data for the period from March 2014 to
April 2017. We collect data from the monthly reports of 18 common stock mutual
funds. First, we use the herding measure (H_i,t) that was developed
by Lakanishok, Shleifer and Vishny
(1992) to point out the stock picking herding, and then we apply the buying and
selling side herding measures of Wermers (1999)
to see the direction of this stock picking herding. Additionally, we apply an
alternative measure of herding introduced by Oehler
(1998), to determine the overall extent of mutual fund herding (market-wide
herding). While our results on stock picking herding indicate the existence of
any herding, the results on market-wide herding indicates the presence of it.

Anahtar Kelimeler

Behavioral Finance, Herding Behavior, Mutual Funds

Kaynakça

• ALTAY, Erdinç. (2008). Sermaye Piyasasında Sürü Davranışı: İMKB’de Piyasa Yönünde Sürü Davranışının Analizi, BDDK Bankacılık ve Finansal Piyasalar, 2(1): 27-57. ARONSON, Elliot. (1992). The Social Animal, The Random House Publishing Group, New York. BANERJEE, Abhijit V. (1992). A Simple Model of Herd Behavior, Quarterly Journal of Economics, 107: 797-818. BICKHCHANDANI, Sushil., HIRSCLEIFER, David. and WELCH, Ivo. (1992). A Theory of Fads, Fashion, Custom and Cultural Change as Informational Cascades, Journal of Political Economy, 100: 992-1026. BIKHCHANDANI, Sushil., SHARMA, Sunil. (2001). Herd Behavior in Financial Markets, IMF Staff Papers. 47(3): 278-310. CAPORALE, Guglielmo Maria, PHILIPPAS, Nikolaos and ECONOMOU, Fotini. (2008). Herding Behavior in Extreme Market Conditions: The Case of Athens Stock Exchange, Economics Bulletin, 7(17): 1-13. CHANG, Eric.C., CHENG, Joseph.W. and KHORANA, Ajay. (2000). An Examination of Herd Behavior in Equity Markets: An International Perspective, Journal of Banking and Finance, 24(10): 1651-1679. CHOE, Hyuk, KHO, Bong-Chan. and STULZ, René M. (1998). Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997, Journal of Financial Economics, 54(2): 227-264. CHRISTIE, William.G.and HUANG, Roger.D. (1995). Following the Pied Piper: Do Individual Returns Herd around the Market? Financial Analysts Journal, 51 (4): 31-37. ÇOBAN, Ali.Türkay. (2009). “İMKB’de Sürü Davranışının Test Edilmesi”, Adana: Çukurova University Graduate School of Social Sciences, (Unpublished Master Dissertation). DOĞUKANLI, Hatice and ERGÜN, Bahadır. (2011). İMKB’de Sürü Davranışı: Yatay Kesit Değişkenlik Temelinde Bir Araştırma, Çukurova Ünivsersitesi İşletme Fakültesi Dergisi, 12(2): 227-242. FALKENSTEIN, Eric.G. (1996). Preferences for Stock Characteristics as Revealed by Mutual Fund Portfolio Holdings, Journal of Finance, 51(1): 111-135. KALLINTERAKIS, Vasileios, GAVRIILIDIS, Konstantinos and MICCIULLO, Paula. (2006). The Argentine Crisis: A Case for Herd Behavior? Available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=980685, (6.5.2014). GAVRIILIDIS, Konstantinos., KALLINTERAKIS, Vasileios and FERREIRA, Mario Pedro Leite. (2013). Institutional Industry Herding: Intentional or Spurious? Journal of International Financial Markets, Institutions and Money, 26 (2013): 192-214. GRINBLATT, Mark., TITMAN, Sheridan. and WERMERS, Russ. (1995). Momentum Investment Strategies, Portfolio Performance and Herding: A Study of Mutual Fund Behavior, The American Economic Review, 85 (5): 1088 – 1105. HIRSHLEIFER, David., SUBRAHMANYAM, Avanidhar and TITMAN, Sheridan. (1994). Security Analysis and Trading Patterns When Some Investors Receive Information before Others, Journal of Finance, 49 (5): 1665-1698. HSIEH, Shu-Fan. (2013). Individual and Institutional Herding and the Impact on Stock Returns: Evidence from Taiwan Stock Market, International Review of Financial Analysis, 29 (2013): 175-188. HUNG, Weifeng, LU, Chia-Chi and LEE, Cheng F. (2010). Mutual Fund Herding Its Impact on Stock Returns: Evidence from the Taiwan Stock Market, Pacific-Basin Finance Journal, 18 (2010): 477-493. HWANG, Soosung., SALMON, Mark. (2004). Market Stress and Herding, Journal of Empirical Finance, 11(2004): 585-616. KAPUSUZOĞLU, Ayhan. (2011). Herding in the Istanbul Stock Exchange (ISE): A Case of Behavioral Finance, African Journal of Business Management, 5(27): 11210-11218. KAYALIDERE, Koray. (2012). Hisse Senedi Piyasasında Sürü Davranışı: İMKB’de Ampirik Bir İnceleme, İşletme Araştırmaları Dergisi, 4(4): 77-94. LAKONISHOK, Josef., SHLEIFER, Andrei and VISHNY, Robert W. (1992). The Impact of Institutional Trading on Stock Prices, Journal of Financial Economics, 32, 23-43. OEHLER, Andreas. (1998). Do Mutual Funds Specializing in German Stocks Herd? Finanzmarkt und Portfolio Management 4, 452-465. OEHLER, Andreas. and CHAO, George Goeth-Chi. (2000). Institutional Herding in Bond Markets, Discussion Papers 13. OEHLER, Andreas. and WENDT, Stefan. (2009). Herding Behavior of Mutual Fund Managers in Germany. Available at SSRN: https://ssrn.com/abstract=1343470 (23.06.2017). OUARDA, Moatemri, BOURI, Abdelfatteh el. and BERNARD, Olivero. (2013). Herding Behavior under Market Condition: Empirical Evidence on the European Financial Markets, International Journal of Economics and Financial Issues, 3(1): 214-228. PATRO, Archana. and KANAGARAJ, Ayyalusamy. (2012). Exploring the Herding Behavior in Indian Mutual Fund Industry, Asian Journal of Finance and Accounting, 4(1): 189-204. SCHARFSTEIN, David.S and STEIN, Jeremy C. (1990). Herd Behavior and Investment, American Economic Review, 80(3): 465-479. WALTER, Andreas. and WEBER, Friedrich Moritz. (2006). Herding in the German Mutual Fund Industry, European Financial Management, 12 (3): 375-406. WERMERS, Russ. (1999). Mutual Fund Herding and the Impact on Stock Prices, The Journal of Finance, 54 (2): 581-622.