DOES BORSA ISTANBUL INCORPORATE HERDING AND CALENDAR ANOMALIES? AN EMPIRICAL EVIDENCE

Authors : Ahmet Mete Cilingirturk, Meltem Ulusan Polat, Handan Sumer Gogus

Pages : 12-27

Doi:10.17261/Pressacademia.2020.1189

View : 14 | Download : 7

Publication Date : 2020-03-30

Article Type : Research

Abstract :Purpose- Anomalies and herding rather than individual rational decisions could be detected in capital markets. Such formations’ enabling abnormal returns under volatility, may be of interest in respect of Turkish capital markets. This study analyzes the herd behavior and calendar anomalies in Borsa Istanbul (BIST) by generalizing the main index and the sectoral indices. Methodology- The data set is based on the weekly closing prices, trading volume and the number of contracts of BIST-100 Index and 17 sectoral indices for the January 2012 to December 2016. A symmetric GARCH (1,1) and an asymmetric SAARCH (1,1) models have been employed for a comparative analysis. Findings- Since GARCH (1,1) findings revealed a quiet weak simultaneous interaction between volatility and return, the research was deepened through employment of the SAARCH (1,1) asymmetric estimation model, which revealed an increase in both trading volume and return when considering negative shocks. Hence, a significant herding in BIST has been confirmed. SAARCH (1,1) model has detected day of the week (DoW) and a significant January effect, as well, while both estimation models have detected Ramadan effects. Conclusion- It becomes apparent that there is a gap in the Turkish capital market-related combined studies on herding and calendar anomalies. The aim of this study, therefore, is to fill this gap, using analyses of the BIST-100 and sectoral indices. Main indices, consisting of blue-chips, are analyzed frequently; however, abnormal trading behaviors could be detected specifically on sectoral basis.
Keywords : Herding, calendar anomalies, GARCH, SAARCH, panel data analysis