An empirical analysis of herd behavior in financial markets; BIST-30 example

The aim of this study is to investigate the existence of herd effect in BIST 30 index and to determine to what extent it has an effect on investors if this effect exists. The study covers the period between 02.01.1997 and 31.08.2018. Daily and monthly closing prices of BIST-30 index were used in the study. The study covers a large data period. However, the difference of the study from other studies in the literature is that the herd effect is tested on the BIST-30 index. In this study, horizontal cross section standard deviation method developed by Christie and Huang (1995) and Chang, Cheng and Khorana (2000) was used. At the end of the study, Christie and Huang (1995) could not find evidence for the presence of herd effect in both daily and monthly data obtained according to the horizontal cross-sectional standard deviation method. According to the second method used in the study, Chang, Cheng and Khorana (2000), the data indicating the presence of herd behavior were found in the daily data, but no evidence of herd effect was found in the monthly data. Christie and Huang (1995), Chang, Cheng and Khorana (2000), similar results were obtained with the results of Excel and Regression analysis.