Browsing by Author "Mahmud, Syed F."

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    Sentiment and beta herding in the Borsa Istanbul (BIST)
    (Emerald Group Publishing, 2014) Demir, Nazmi; Mahmud, Syed F.; Solakoğlu, Mehmet Nihat; Batten, J. A.; Wagner, N. F.
    This study searches for sentimental herding in Borsa Istanbul (BIST) during the last decade using a state-space model employing cross-section standard deviations of systematic risk (Beta). It has been found that herding toward the market in the BIST-100 is both statistically significant and persistent independently from market fundamentals such as the volatility of returns and the levels of market returns. Herding trends over the sample period indicate that the financial crisis in 2000–2001 appeared to bring about sentimental herding in BIST which was followed by a calm period during which investors turned to fundamentals. Thereafter, we observe a volatile adverse herding pattern till the end of 2011 due to the confusing environment caused by the internal and external events.