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

Dalgic, Nihan; Ekinci, Cumhur; Ersan, Oğuz

doi:10.1080/1540496x.2019.1641082

Cited by 6 publications

(5 citation statements)

References 44 publications

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“…Bulgarian and Montenegrin fund managers clustered significantly before and after the 2008 global financial crisis. Additionally, Dalgıç et al (2021) found that different types of investors tend to cluster in bear markets at a daily frequency, but herding behaviour disappears or even reverses at intraday frequency.…”

Section: Discussionmentioning

confidence: 96%

Montenegrin Stock Exchange Market on a Short-Term Perspective

Backović

Karadžić

Gričar

et al. 2023

JRFM

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The objective of this study is to analyse the constitution of the emerging Montenegrin stock exchange. Four methodological time-series econometric steps are involved: the augmented Dickey–Fuller (ADF) test, run test, autocorrelation function (ACF) test, and Hurst test. The study utilises a daily data vector from 5 January 2004 to 20 June 2023, with a specific focus on the period encompassing the growth and peak of market stocks in 2007, followed by the significant 2008 financial crisis and subsequent developments thereafter. The analysis culminates on 28 May 2018, which is considered one of the lowest points in the Montenegrin stock exchange market in a comparative time-series assessment. The results of the tests conducted in this study do not provide empirical evidence supporting the random walk theory and its returns on aggregated shocks in the Montenegrin stock exchange market. By reviewing previous empirical studies and presenting new empirical findings, this study confirms the presence of stochastic trends in co-movements in finance, contributing to a deeper understanding of emerging stock exchange markets. Study implications support greater reliance on market efficiency, risk management, and portfolio diversification.

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Section: Discussionmentioning

confidence: 96%

Montenegrin Stock Exchange Market on a Short-Term Perspective

Backović

Karadžić

Gričar

et al. 2023

JRFM

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“…Secondly, due mostly to herding behavior (Dalgıç et al 2021) motivated by informed trading, the net purchases of various investor groups can also have an impact on each other (Ülkü and Weber 2013;Ülkü et al 2023). Consequently, our next null hypothesis is the following.…”

Section: Hypothesis 1amentioning

confidence: 94%

Impact of the COVID-19 Market Turmoil on Investor Behavior: A Panel VAR Study of Bank Stocks in Borsa Istanbul

Ekinci,

Ersan

2024

IJFS

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Assuming that investors can be foreign or local, do high-frequency trading (HFT) or not, and submit orders through a bank-owned or non-bank-owned broker, we associated trades to various investors. Then, building a panel vector autoregressive model, we analyzed the dynamic relation of these investors with returns and among each other before and during the COVID-19 market crash. Results show that investor groups have influence on each other. Their net purchases also interact with returns. Moreover, during the turmoil caused by the pandemic, except foreign investors not involved in HFT, the response of any investor group (retail/institutional, domestic investors doing HFT and those not doing HFT, and foreign investors doing HFT) significantly altered. This shows that the interrelation among investor groups is dynamic and sensitive to market conditions.

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“…Investors of financial markets feel various emotions when they make investment decisions because of the fluctuations of these markets and the significant amount of risk associated with this type of investment. These emotions affect their decisions, leading to less rational investments (Dalgıç et al, 2021). Wrong choices lead to poor investments and losing money in the market.…”

Section: Introductionmentioning

confidence: 99%

Analyzing the interrelations among investors’ behavioral biases using an integrated DANP method

Safaie,

Sadighi,

Ghazani

2024

10.5267/j.dsl

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This research investigates the relationships between investors’ behavioral biases and compares their relative importance. For this purpose, a survey is conducted, and analytical methods are used. The sample for this study has been 512 individual investors of the Tehran Stock Exchange who completed an online questionnaire. The respondents replied about their behavior in different situations to analyze the prevalence of asymmetric discounting, mental accounting, shifting risk preference, loss aversion, regret aversion, overconfidence, proxy decision making, ambiguity aversion bias, anchoring, and herd behavior as significant fields of behavioral biases in their investment decisions. The data is analyzed using two different analytical techniques. A model based on structural equations is designed and tested to analyze the relations between these fields. Another integrated method, the DEMATEL-based analytic network process, is also used to prioritize and rank these behavioral biases. Finally, the results are compared and confirmed by each other. Analyzing the results proves the existence of 19 positive and statistically significant relations between these fields. Thus, an increase or decrease in the intensity of a particular field of behavioral biases in one’s decisions significantly affects the intensity of other fields. The present study finds that shifting risk preference, anchoring, loss aversion, and regret aversion are the most important fields of behavioral biases based on their prevalence among investors and their correlations with other biases.

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

Cited by 6 publications

References 44 publications

Montenegrin Stock Exchange Market on a Short-Term Perspective

Montenegrin Stock Exchange Market on a Short-Term Perspective

Impact of the COVID-19 Market Turmoil on Investor Behavior: A Panel VAR Study of Bank Stocks in Borsa Istanbul

Analyzing the interrelations among investors’ behavioral biases using an integrated DANP method

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