Uluslararası Yatırımcılar, Volatilite ve Sürü Davranışı

Year 2020, Volume: 6 Issue: 2, 247 - 259, 17.10.2019

Ezgi Akçaalan Burak Dindaroğlu , Ayla Ogus Binatlı

Abstract

Bu çalışmada Borsa İstanbul'da 2001 ve 2016 yılları arasında sürü davranışı çalışılmış, ve özellikle uluslararası yatırımcı ve volatilite etkilerine odaklanılmıştır. Sürü davranışı, temel pazar göstergeleri kontrol edildiği durumda, yatay-kesitsel beta değerlerindeki hareketliliğin %31'ini açıklamaktadır. Elde ettiğimiz sürü davranışı endeksinin zaman serisi analizi, sürü davranışının uluslararası yatırımcıların ticaret hacmi ile arttığını, ancak toplam ticaret hacmi ile azaldığını göstermektedir. Sürü davranışı, artan pazar volatilitesi ile artmakta, ancak -yazındaki kimi iddiaların aksine- pazarda bir volatilite artışına neden olmamaktadır. Sürü davranışının ekonomik kriz dönemlerinde artmadığı, ancak ülkede politik gerilimi artıran önemli olaylar sonucunda yükseliş gösterdiği bulunmuştur.

Keywords

Sürü davranışı, Borsa İstanbul, Volatilite, Uluslararası yatırımcılar

International Investors, Volatility, and Herd Behavior

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.

Keywords

Herd behavior, Borsa İstanbul, Volatility, International investors

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