Sentiment and beta herding in the Borsa Istanbul (BIST)

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dc.citation.epage400en_US
dc.citation.spage389en_US
dc.contributor.authorDemir, Nazmien_US
dc.contributor.authorMahmud, Syed F.en_US
dc.contributor.authorSolakoğlu, Mehmet Nihaten_US
dc.contributor.editorBatten, J. A.
dc.contributor.editorWagner, N. F.
dc.date.accessioned2019-05-29T13:39:49Z
dc.date.available2019-05-29T13:39:49Z
dc.date.issued2014en_US
dc.departmentBanking and Financeen_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractThis 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.en_US
dc.identifier.eisbn9781784410261
dc.identifier.isbn9781784410278
dc.identifier.urihttp://hdl.handle.net/11693/51948
dc.language.isoEnglishen_US
dc.publisherEmerald Group Publishingen_US
dc.relation.ispartofRisk management post financial crisis: a period of monetary easingen_US
dc.relation.ispartofseriesContemporary Studies in Economic and Financial Analysis;96
dc.subjectBeta herdingen_US
dc.subjectState-space modelen_US
dc.subjectMarket fundamentalsen_US
dc.subjectCross-section volatilityen_US
dc.titleSentiment and beta herding in the Borsa Istanbul (BIST)en_US
dc.typeBook Chapteren_US

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