Analysis of Investors Herding Behaviour: An Empirical Study from Istanbul Stock Exchange

Abstract

This study investigates the existence of herding behavior in Istanbul Stock Exchange using a narrow index for the period between January 1, 2000 and December 31, 2018. Besides, the study tests herding behavior of investors during high and low volatility periods. The data is collected from Finnet and it contains daily, weekly and monthly return data. The study uses both CSSD and CSAD models. The finding of the study shows that herding is more prevalent when the market falls and from the three data type it is more prevalent in the daily data. This shows that investors behave rationally when the market rises and they become irrational when the market falls. On the other hand, the level of herding is considerably significant during high market volatility periods. Therefore, we conclude that there is aymmetrical investor behavior in Istanbul Stock Exchange.