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      Sentimental herding in Borsa Istanbul: informed versus uninformed

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      Author
      Solakoglu, M. N.
      Demir, N.
      Date
      2014
      Source Title
      Applied Economics Letters
      Print ISSN
      1350-4851
      Electronic ISSN
      1466-4291
      Publisher
      Routledge
      Volume
      21
      Issue
      14
      Pages
      965 - 968
      Language
      English
      Type
      Article
      Item Usage Stats
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      120
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      Abstract
      This study searches for sentimental herding in Borsa Istanbul (BIST) using a state-space model for two distinct groups of investors/traders. We expect to find no sentimental herding in BIST30 as the investors are closely following the market, given their access to maximum amount of information and high quality of guidance from the world-known intermediaries that reduce information asymmetries. However, as the SNM investors are mostly local investors with smaller assets and with higher level of information asymmetry, we expect to find evidence of sentimental herding. As expected, we find no evidence of herding by the BIST30 investors from 2000 to 2013. In contrast, our findings provide evidence that the SNM investors demonstrate sentimental herding persistently and independently from market fundamentals in three stages: evidence of herding in the first stage (2000-2004), a 4-year (2005-2008) no-herding calm period and finally a volatile adverse herding pattern (2009-2013) where fundamentals about the firm values became more important.
      Keywords
      Cross-sectional volatility
      Emerging market
      Herding
      State-space model
      Permalink
      http://hdl.handle.net/11693/26523
      Published Version (Please cite this version)
      http://dx.doi.org/10.1080/13504851.2014.902015
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      • Banking and Finance 37
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