Daily and Intraday Herding within Different Types of Investors in Borsa Istanbul
Emerging Markets Finance and Trade, July 2019
Posted: 21 Apr 2021
Date Written: July 8, 2019
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: Suggested Citation