Daily and Intraday Herding within Different Types of Investors in Borsa Istanbul

Emerging Markets Finance and Trade, July 2019

Posted: 21 Apr 2021

See all articles by Nihan Dalgic

Nihan Dalgic

Yeditepe University

Cumhur Ekinci

Istanbul Technical University

Oguz Ersan

Kadir Has University, International Trade and Finance, Faculty of Economics, Administrative and Social Sciences

Date Written: July 8, 2019

Abstract

This paper aims to explore the daily and intraday herd behavior of various investor groups trading in an emerging equity market, Borsa Istanbul (BIST). We analyze a one-year tick-by-tick order and trade data of BIST 100 Index stocks and document differences in herding behavior of investor groups considering market capitalization, market conditions, and announcements as well as daily and intraday periodicities. We find that nonprofessional investors (brokerage houses and domestic funds) tend to herd on large (small) stocks; their herding behavior mostly exhibits a U shape (an inverse U shape) during the day. All types of investors tend to herd in down markets on a daily basis while this behavior disappears, even inverts intraday.

Keywords: behavioral finance, Borsa Istanbul, herding

JEL Classification: G41, G23, G12

Suggested Citation

Dalgic, Nihan and Ekinci, Cumhur and Ersan, Oguz, Daily and Intraday Herding within Different Types of Investors in Borsa Istanbul (July 8, 2019). Emerging Markets Finance and Trade, July 2019, Available at SSRN: https://ssrn.com/abstract=3823749

Nihan Dalgic

Yeditepe University

81120 Kayisdagi, Istanbul
Turkey

Cumhur Ekinci (Contact Author)

Istanbul Technical University ( email )

ITU Isletme Fakultesi - Macka
Istanbul, 34367
Turkey

HOME PAGE: http://akademi.itu.edu.tr/ekincicu/

Oguz Ersan

Kadir Has University, International Trade and Finance, Faculty of Economics, Administrative and Social Sciences ( email )

Cibali Mah., Fatih
Istanbul, 34083
Turkey

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
108
PlumX Metrics