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

Abstract

This study investigates the existence of herdingbehavior in Istanbul Stock Exchange using a narrow index forthe period between January 1, 2000 and December 31, 2018.Besides, the study tests herding behavior of investors duringhigh and low volatility periods. The data is collected from Finnetand it contains daily, weekly and monthly return data. The studyuses both modified CSSD and CSAD models. The finding of thestudy shows that herding is more prevalent when the marketfalls and from the three data type it is more prevalent in the dailydata. This indicates that investors behave rationally when themarket rises and they become irrational and herd the marketconsensus when the market falls. On the other hand, the level ofherding is significantly high during high market volatilityperiods. Therefore, we conclude that there is an asymmetricalinvestor behavior while pricing assets in Istanbul StockExchange.