European Journal of Business and Management Research, cilt.5, sa.2, ss.1-11, 2020 (Hakemli Dergi)
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 modified 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 indicates that investors behave rationally when the
market rises and they become irrational and herd the market
consensus when the market falls. On the other hand, the level of
herding is significantly high during high market volatility
periods. Therefore, we conclude that there is an asymmetrical
investor behavior while pricing assets in Istanbul Stock
Exchange.